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Summer course: “SA.1.2. Nuevas técnicas para el análisis de los mercados financieros”
20 June, 2016 - 23 June, 2016
For decades, financial markets have played a crucial role in the stability and growth of the world economy. That is why, in parallel with the development of these markets, many economists have dedicated themselves to the study and subsequent development of methodologies to understand and predict the evolution of these markets. Unfortunately, the crisis of 2007 has revealed the failure of many of these techniques and today it is clear that such analysis requires more flexible techniques and are applicable in more general contexts. More precisely, this course will focus on the study of new financial market analysis techniques applied to asset valuation and risk management.
With regard to the first issue, asset valuation, we will focus on the CAPM (Capital Asset Price Model) and its extensions, as well as the CCAPM (Consumption CAPM) and its extensions. These models analyze the determinants of returns on financial assets. Traditionally, these models assume a linear and stable relationship between the expected returns of a given asset and the systematic risk associated with that asset. However, numerous empirical studies indicate that this relationship does not seem constant over time. All this evidence with respect to the so-called unconditional valuation models has led to the introduction of several of the so-called conditional models. The problem presented by these models is the specification of the dynamics in the evolution of risk premiums (the conditional averages of the returns in excess of the insurance asset) and the risks (the conditional covariances of these returns with the factors). In this course we will introduce non-parametric and semi-parametric estimation techniques as a modeling proposal for the above-mentioned conditions.
The second part of the course will deal with risk management and more precisely, on the aggregation of such risks. This problem is also of great importance in the area of financial economics, in particular for portfolio analysis, the calculation of regulatory capital and a better understanding of diversification. Technically, the methodological problem that arises is that the aggregation of heterogeneous risks (with different distributions) such as market, credit or operational risks leads to a generally unknown aggregate distribution. In this course we propose techniques for the calculation of different parameters of the distribution resulting from the aggregation of risks.
Directors of the course: Juan M. Rodriguez-Poo (University of Cantabria) and Francisco Peñaranda (City University of New York).
- Sonia Benito Muela. Associate Professor. National University of Distance Education (UNED).
- Francisco Peñaranda. Associate Professor. City University of New York.
- Faustino Prieto Mendoza. Associate Professor. University of Cantabria.
- Juan M. Rodríguez-Poo. Full Professor. University of Cantabria.
- Jose Maria Sarabia Alegría. Full Professor. University of Cantabria.
- Enrique Sentana. Professor. Centro de Estudios Monetarios y Financieros (CEMFI).
- Alexandra Soberón Vélez. Assistant Professor. University of Cantabria.
- Stefan Sperlich. Full Professor. University of Genevá.