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FNCE 5321: Financial Time Series and Volatility Modeling
This course aims to provide the participants a solid background to identify various risks in the financial markets using advanced financial models and to acquire the analytical and programming abilities to analyze related risks in different financial settings. The course covers the following topics: (i) financial time series, volatility models, and risk estimation; (ii) modeling risk exposures with value at risk and expected shortfall; (iii) multivariate risk models; (iv) introduction to simulation methods (Monte Carlo simulation, historical simulation); (v) backtesting and stress testing.
- Credits
- 3
- Offered
- Spring 2027
- Campuses
- Stamford
Spring 2027 sections
Taught by Hang Bai.
| Section | Type | Meets | Instructor | Campus | Room | Seats |
|---|---|---|---|---|---|---|
| 811 | LEC | 6:30PM - 9:30PM / Tu | Hang Bai | Stamford | DWTN 134 | 32 of 40 open |
Seats as of Nov 12, 2026. HuskyScheduler shows live seats when you search.