Teaching
Teaching
The course offers an introduction to financial risk management. Topics include market and credit risks, liquidity, and operational and legal risks, including volatility modeling, and derivatives as tools for controlling risk. Using modern econometric models, such as ARCH and GARCH, along with widely used quantitative methods (Monte Carlo simulation and Filtered Historical simulation), the course describes how to measure and control risk exposure towards various types of risks, especially market and credit risk.
This is an introductory course to neoclassical microeconomics. It introduces students to the economics of markets and market economies. By the end of the course, students should be acquainted with the basic neoclassical concepts of demand, supply, decision-making by individuals and firms, prices, elasticities, taxes, price controls, and perfect and imperfect competition. The course focuses on applying concepts seen in class to real-life situations, spanning from the number of cars sold in the U.S. to the root cause of asset price bubbles and economic crises.
This is a one-year course for PhD students who must complete their first examination. It is grounded in econometric theory and has strong foundations in calculus, mathematical statistics, and linear algebra. The course covers models and methods that are widely used in economic research, including the classic linear regression framework, generalized least squares, treatment effects, and structural estimations.