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Master of Science in Risk and Asset Management

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Module 2 - Financial Modelling


Investment analysis and portfolio management rely increasingly on statistical methods to understand the past and forecast the future.
This course equips participants with the techniques that should be part of the toolkit of any finance professionals and more specifically econometric modelling and time series forecasting.
The course starts with a review of matrix algebra and calculus, descriptive statistics, statistical inference, sampling and data analysis. It then provides an in-depth study of the linear regression model.
The final part of the course covers advanced material in financial econometrics with a specific focus on GARCH models for time series modelling. Empirical exercises on a range of real financial markets data follow the theoretical presentation of models.

Written by DELPHINE DUFIET
Date of update June 4, 2008

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