STATS 241: Data-driven Financial Econometrics
(SCPD students register for 241P) Approximate dynamic programming and time series approaches in options, interest rate, and credit markets. Nonlinear least squares, nonparametric regression and model selection. Behavioral finance and efficient markets. Economic capital, risk measures, and regulatory supervision. Quantile regression, extreme value theory, and applications to market risk analytics. Empirical Bayes approach to pricing insurance contracts. Corporate bonds, bond ratings, and corporate default analytics. Prerequisite or corequisite:
STATS 240 or equivalent.
Last offered: Spring 2021
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