Alessandra AMENDOLA | STATISTICS FOR FINANCE AND INSURANCE
Alessandra AMENDOLA STATISTICS FOR FINANCE AND INSURANCE
cod. 0222400017
STATISTICS FOR FINANCE AND INSURANCE
| 0222400017 | |
| DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE | |
| EQF7 | |
| STATISTICAL SCIENCES FOR FINANCE | |
| 2020/2021 |
| OBBLIGATORIO | |
| YEAR OF COURSE 2 | |
| YEAR OF DIDACTIC SYSTEM 2014 | |
| SECONDO SEMESTRE |
| SSD | CFU | HOURS | ACTIVITY | |
|---|---|---|---|---|
| SECS-S/01 | 5 | 30 | LESSONS |
| Objectives | |
|---|---|
| THE COURSE FOCUSES ON REGRESSION TOOLS FOR FINANCIAL AND INSURANCE DATA ANALYSIS. PARTICULAR EMPHASIS WILL BE GIVEN TO REGRESSION MODELS AND INFERENCE TOOLS FOR THE ANALYSIS CONTINUOUS, DISCRETE AND MIXED TYPE DATA. KNOWLEDGE AND UNDERSTANDING: - KNOWLEDGE OF ANALYSIS OF THE STATISTICAL TOOLS USEFUL FOR THE QUANTITATIVE STUDY OF REAL PHENOMENA OF INTEREST IN FINANCE AND INSURANCE, FOR THE UNDERSTANDING OF PROBLEMS AND IMPROVEMENT OF DECISION-MAKING PROCESSES. - KNOWLEDGE OF DESCRIPTIVE-EXPLORATORY AND INFERENTIAL PROCEDURES USEFUL TO SUPPORT DECISIONS REGARDING PHENOMENA AND/OR FINANCIAL AND ACTUARIAL SYSTEMS WHERE LARGE AMOUNTS OF DATA, VARIABILITY AND UNCERTAINTY IMPLY A LEVEL OF COMPLEXITY UNMANAGEABLE USING OTHER TECHNIQUES. - ABILITY TO ANALYZE AND INTERPRET QUANTITATIVE INFORMATION, AND TO PRODUCE INDICATORS AND REPORTS SUPPORTING CONTROL AND MANAGEMENT POLICIES OF COMPANIES, BOTH IN PUBLIC OR PRIVATE SECTORS, OPERATING IN THE FIELD OF FINANCE AND INSURANCE. APPLYING KNOWLEDGE AND UNDERSTANDING: - STUDENTS WILL BE ABLE TO INDEPENDENTLY ANALYZE AND EVALUATE DOCUMENTS AND REPORTS THAT INCLUDE QUANTITATIVE INFORMATION; FORMULATE CRITICAL JUDGMENTS ON HOW TO COLLECT DATA AND HOW TO PROCESS THE INFORMATION COLLECTED; EVALUATE THE VALIDITY, INTERNAL AND EXTERNAL, OF THE CONCLUSIONS. - STUDENTS WILL GAIN ABILITY TO PRESENT WITH PROPERTIES OF LANGUAGE, EFFECTIVELY AND CLEARLY, THE INFORMATION OF A QUANTITATIVE NATURE, BOTH IN ORAL AND WRITTEN FORM. - STUDENTS WILL ACQUIRE THE LOGICAL-CONCEPTUAL STRUCTURE NECESSARY FOR THE ANALYSIS AND PROCESSING OF QUANTITATIVE INFORMATION, WHILE PROVIDING THE ABILITY TO LINK THE SKILLS ACQUIRED WITH THOSE LEARNED IN THE COURSES OF STUDY MORE SIMILAR (ECONOMICS, FINANCE, MATHEMATICS, ASSET-PRICING). |
| Prerequisites | |
|---|---|
| IT IS REQUIRED A BASIC KNOWLEDGE OF MATRIX ALGEBRA AND STATISTICAL INFERENCE. |
| Contents | |
|---|---|
| EDA TOOLS. SCATTER AND BUBBLE PLOTS. GRAPHICAL REPRESENTATION FOR MULTIVARIATE DATA MATRICES. CORRELATION MATRIX. REGRESSION MODELLING. ESTIMATE, INFERENCE, VALIDATION AND USE OF THE REGRESSION MODEL. HETORSCHEDASTICITY AND AUTOCORRELATION. VARIABLE SELECTION. OUTLIERS AND ROBUSTNESS. MISSING VALUES PROBLEMS. NONLINEAR REGRESSION. LOGIT AND PROBIT MODELS. CASE STUDIES WITH R. |
| Teaching Methods | |
|---|---|
| LECTURES, LABORATORY AND CASE STUDY |
| Verification of learning | |
|---|---|
| THE STUDENT WILL BE ASSESSED DURING THE FINAL EXAM TO BE HELD AT THE DATES SCHEDULED BY THE DEPARTMENT. DURING THE FINAL TEST, THE STUDENT WILL HAVE TO TAKE A WRITTEN TEST AND AN ORAL TEST. |
| Texts | |
|---|---|
| 1. M. VEERBEK, A GUIDE TO MODERN ECONOMETRICS, WILEY 2. LECTURE NOTES AND JOURNAL PAPERS SUGGESTED BY THE INSTRUCTOR AVAILABLE ON INSTRUCTOR’S WEB PAGE |
| More Information | |
|---|---|
| LECTURE WILL BE GIVEN IN ENGLISH. GIVEN THE CHARACTERISTICS OF THE DISCIPLINE AND ITS THEORETICAL AND PRACTICAL APPROACH, THE ATTENDANCE IS STRONGLY RECOMMENDED, ALTHOUGH NOT MANDATORY. STUDENTS WHO DECIDE NOT TO ATTEND CLASSES ARE ADVISED TO FOLLOW THE SYLLABUS AND THE SCHEDULED TOPICS. |
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