20110106_定量分析培训资&a

20110106_定量分析培训资&a

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Unformatted text preview: 1 FRM Quantitative Analysis 2011.1.8 - 1.9 2 Copyright 2011 By GFEDU Quantitative Analysis: Outline Quantitative Analysis 20% Discrete and continuous probability distributions Population and sample statistics Statistical inference and hypothesis testing Estimating the parameters of distributions Graphical representation of statistical relationships Linear regression with single and multiple regressors The ordinary least squares (OLS) method Interpreting and using regression coefficients ,the t-statistic, and other output Hypothesis testing and confidence intervals Heteroskedasticity and multicollinearity 3 Copyright 2011 By GFEDU Quantitative Analysis: Outline Quantitative Analysis 20% Monte Carlo methods Estimating correlation and volatility: EWMA and GARCH models Volatility term structures Quantifying volatility in VaR models 4 Copyright 2011 By GFEDU Readings for Quantitative Analysis James stock and Mark Watson, introduction to econometrics, Brief edition (Boston: Pearson Education, 2008). Chapter 2 Review of Probability Chapter 3 Review of Statistics Chapter 4 Linear regression with one regressor Chapter 5 Regression with a single regressor: Hypothesis Tests and confidence intervals Chapter 6 Linear regression with multiple regressors Chapter 7 Hypothesis Tests and confidence intervals in multiple regression 5 Copyright 2011 By GFEDU Readings for Quantitative Analysis 10.Svetlozar Rachev, Christian Menn, and Frank Fabozzi, Fat Tailed and S kewed Asset Return Distributions: Implications for Risk Management, Portfo lio Selection and Option Pricing (Hoboken, NJ: Wiley, 2005). Chapter 2 Discrete Probability Distributions Chapter 3 Continuous Probability Distributions 11. Philippe Jorion, ValueatRisk, The New Benchmark for managing financial risk, 3 rd edition Chapter 12 Monte Carlo Methods 12.John Hull, Options, Futures, and Other Derivatives, 7th Edition (New Yor k: Prentice Hall, 2009). Chapter 21 Estimating Volatilities and Correlations 13.Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach (Oxford:Blackwell Publishing, 2004). Chapter 2 Quantifying Volatility in VaR Models 6 Copyright 2011 By GFEDU Readings for Quantitative Analysis 7 Copyright 2011 By GFEDU Chapter 2 Review of Probability Chapter2 Discrete Probability Distributions Chapter 3 Continuous Probability Distributions Chapter 3 Review of Statistics...
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This note was uploaded on 11/02/2011 for the course FINANCE 611 taught by Professor Liyang during the Spring '11 term at Covenant School of Nursing.

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20110106_定量分析培训资&a

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