Possible sub-areas for Master-Theses in SoSe 2019
in Financial Econometrics and Quantitative Risk Management
In the summer-term 2019 all of the following suggested sub-areas for possible Master-Theses in our research area are regarding the development of the Basel-Accord and the required measures for market risk in different versions of the Basel-Accord. All theses consist of a part with a methodological summary and an empirical part with the application to own data examples.
- The application of different parametric and semiparametric GARCH models in quantitative risk management; definition and implementation of suitable back-testing approaches based on the above mentioned models; comparative studies for different approaches
- The application of some multivariate GARCH models (such as the CCC and the DCC) and possibly their semiparametric generalizations to calculate suitable risk measures of portfolios; definition and implementation of suitable back-testing approaches based on the above mentioned models; comparative studies for different approaches
- Forecasting of volatility based on parametric and semiparametric GARCH models with application to quantitative risk measures over a given period (for more than one day).
- Possible further, advanced topics in quantitative risk management related to our current research activities
Remark 1: Prerequisites for writing a Master-Thesis in our research area are Econometrics, Financial and Time Series Econometrics and Advanced Methods of Empirical Economic Research. If you have not visited the two advanced modules but are going to visit them in the summer-term 2019, please indicate this in your application.
Remark 2: You can and are also encouraged to write your thesis with a few other team members on different topics set from the same sub-area.