2.0

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This course introduces students to the empirical methods used in financial econometrics. The techniques we study are employed by a wide range of institutions including commercial banks, non-banking financial companies, mutual funds, hedge funds, investment banks, as well as central banks, consulting firms and governments. Applications include the evaluation and backtesting of trading strategies, risk management and hedging, transactional analysis, and applications in regulation and policy making. The course draws on the econometrics sequence taught in the program but the emphasis is on how to use the techniques in actual applications such as event studies, the analysis of short- and long-run stock returns, multi-factor models, and the analysis of credit risk. The course embraces the traditional approaches in financial econometrics as well as predictive modeling from the data sciences and applications in “Big Data” environments. Students will learn about the typical datasets used in financial econometrics and learn how to design, code, and analyze the models used to analyze these datasets.