ERM512: Advanced Quantitative Methods for Risk Management

This Thematic Unit / Module is designed to introduce students to econometric techniques and their applications in economic analysis and decision-making. The main objective of the module is to train students in (i) handling economic data; (ii) quantitative analysis of economic models with probabilistic tools; (iii) econometric techniques, their application as well as their statistical and practical interpretation; (iv) implementing these techniques on any given econometric software.

The module focuses on practical and conceptual issues involved in substantive applications of econometric techniques. Estimation and inference procedures are formally analysed for simple econometric models and illustrated by empirical case studies using real-life data. The module covers sampling, estimation and statistical inference techniques, linear and non-linear regression models.