Time Series Methods for Risk Analysis

Learn with our expert faculty

facultyLuca Gambetti
PhD, Universitat Pompeu Fabra
UAB and BSE

Director
facultyChristian Brownlees
PhD, University of Florence
UPF and BSE

Instructor

Course overview

Identifying, quantifying and predicting macroeconomic and financial risk is key for the decision making process and the design of sound economic policies. The geopolitical events of the last years have exacerbated the need of techniques and tools to analyze and understand risk. This course presents an in-depth overview of the state-of-art techniques for risk in macroeconomics and finance. After this course, which include both theory sessions and hands-on exercises in practical sessions, you will be able to apply these methods to your own research.

The first part of the course introduces univariate time series models used for the analysis of time-varying volatility (GARCH models); multivariate time series models for the analysis of time-varying correlations (DCC models) and the quantile regression model for the analysis of downside risk. The second part of the course presents empirical applications. In the first application, GARCH-DCC models are used to construct a number of systemic risk measures recently proposed in the literature (CoVaR, SRISK). In the second application GARCH models and the quantile regression model are used for Growth-at-Risk forecasting.

Learn risk modeling methodologies to get key insights on the evolution of macroeconomic and financial risk

The course consists of theory sessions (10 hours) and practical sessions (10 hours). During the practice sessions, we will use MATLAB to replicate the methodology as well as the empirical findings documented in the lectures.

You will participate in an active and fruitful environment with international colleagues without incurring high costs, thanks to online live delivery.

Sessions will be recorded and videos will be available for a month once the course has finished.

Get up to speed with the latest developments of the econometric literature on risk modeling and get practical hand-on experience

Central bankers, finance professionals, and academics took part in this course last year. You can read more about the participants from last year here.

This course will be taught online but it will be live and interactive. 

INTENSIVE COURSE

Time Series Methods for Risk Analysis

Applications will open soon!
  ONLINE
Regular Fee 1250 €
Reduced Fee 750 €

10% early-bird discount applies to payments made on or before January 27, 2023 at 23:59 (CET)

See below for reduced fee eligibility


Early-bird payment deadline: January 27, 2023

  ONLINE
Regular Fee 1250 €
Reduced Fee 750 €

10% early-bird discount applies to payments made on or before January 27, 2023 at 23:59 (CET)

See below for reduced fee eligibility


Last day to apply: February 20, 2023

  ONLINE
Regular Fee 1250 €
Reduced Fee 750 €

10% early-bird discount applies to payments made on or before January 27, 2023 at 23:59 (CET)

See below for reduced fee eligibility

This edition is closed. Next edition TBA.

Personalized Services

  • Request a fee calculation for yourself or your group
  • Ask about in-company training for your employees
Contact our course specialists

Interested in this course?

Stay informed about future editions:

Questions about BSE courses and in-company training?

Get in touch with our course specialists