Econometrics Applications and Simulations

for Financial Markets

Program

This program is designed to impart comprehensive training on the application of Statistics, Econometrics and Simulation technologies in the financial markets.

  • Characteristics of distribution
  • Dispersion and measures of dispersion and relevance to Risk Management
    •     1. Range
    •     2. Variance and standard deviation
    •     3. Quartile and percentile
  • Correlation & Regression
    •     1. OLS, goodness fit R^2 chisquare, modelling Issue (Missing variables, multicollinearity, heteroscedasticity, autocorrelation)
  • Probability distribution
  • Moments of Distribution with respect to analysis on return
  • Discreet probability distribution
  • Continuous probability distribution.
    •     1. Standard normal Distribution
    •     2. Lognormal distribution.
    •     3. Gaussian
    •     4. Extreme value theory & EV distribution.
  • Probability distribution (multivariate)
    •     1. Joint distribution
    •     2. Marginals
  • Copulas
  • Financial Time series analysis.
    •     1. Stationary time series models b.non stationary time series model
    •     2. Forecasting volatility (UWMA, EWMA.ARCH, GARCH)
  • VaR
  • Binomial, Monte Carlo, Black-Scholes Model, Option Pricing
  • Simulation & case studies
  • Research Analyst, Economist, Credit Rating Agencies, Insurance Companies, FII's, Investment Bankers, Risk Management Executive, Brokers, Traders, Modellers, Consultant, Academicians, Portfolio Mangers, AMC, Fund Managers, Treasury professionals, Financial Products Marketing Teams & Financial Intermediaries.

    2 Day
    10.00 am to 5.30 pm

    Rs. 9,500.00 + Applicable Taxes per participant inclusive of tuition fees, and (morning / evening) refreshments only.

    For further details regarding contents,
    E-mail: training@bseindia.com