Objectives
This programme helps participants master the most important statistical and econometric tools applied in the analysis, valuation and modelling of financial instruments and markets.

In the current financial environment, the use of quantitative tools is being generalised. The course will develop the essential base to master and apply the new quantitative techniques oriented toward risk control, asset valuation and foreseeing macroeconomic variables, via a fair combination between theoretic training and its practical correspondence in techniques and real examples of financial markets.

Participants
The course is aimed at professionals from the areas of cash flow, capital markets and risk control of credit institutions, portfolio and estate agents, financial consultants and advisors, professionals from the finances areas of non-financial companies, as well as sophisticated investors who wish to gain a deeper knowledge of quantitative methods.

Programme
I. Analysis of volatilities and correlations

1.  Econometric modelling for financial markets: introduction to
     Econometric Eviews

2.  Causal models oriented to financial markets: methodological aspects

- Multiple regression model 
- Extensions and applications of the regression model

3.  Statistical nature of the volatility and correlation in financial markets.
     Correlation, implicit and historical volatility

- Practices with Econometric Eviews

4.  Modelling of volatility and correlation: mobile media models and GARCH
      model family

- Practices with S-Plus , Econometric Eviews

II. Modelling of market risk

5.  Nuances of variances - co-variances: applications in the field of
      investment analysis and in risk management

- Real cases on the Markowitz Model for optimising portfolios. Model based
  on historic information. 
- Real cases on the Markowitz Model. Introduction of expectations in the
  calculation of optimisation. Incorporation of market timing in decision-
  making.

6.  Value-at-Risk : variance - co-variance models and simulation models.
      Validation models and analysis of scenarios

- MicrosoftExcel and Econometric Eviews Practices

7.  Modelling non-normal profitabilities: distribution mix. Practices
      with @Risk

III. Statistical and econometric models for financial markets

8.   Time series models: univariates (ARMA) and multivariates (VAR)

- Practices with Econometric Eviews

9.   Non-linear models in finances: neuronal models

- Practices with S-Plus

10. Time series econometrics: cointegration in financial markets

- Practices with Econometric Eviews

11. Cointegration. Applications in investment analysis

12. Econometric modelling for financial markets: design of market models

- CAPM Model 
- Economic provision model
- CPI provision model
- GNP provision model 
- Assets provision model
- Short-term interest rate provision model ( Taylor 's Rule)
- Long-term interest rate provision model (German Tir Bund at 10 years) 
- Stock securities selection model
- Clusters 
- Procedure, classification and definition of undefined borders

13. Valuation of financial products: beyond the formulas  

- Methodologies to find asset prices (Analytical and Simulation) 
- Case of derivatives on variable income, applications of Montecarlo
   Simulation 
- Case of derivatives on fixed income, Models on interest rates

Duration:  57 hours

Place:  IEF classrooms, Gran Vía, 670, 2º, - 08010 Barcelona