STATISTICS AND RISK MODELLING

Duration: 3 days

STATISTICS AND RISK MODELLING

CONTENT

COURSE OUTLINE

Day 1: Fundamental of Statistics

• Probabilities (Mean, Standard Deviation, Sum of random variables,Skewness and Kurtosis)
• Distributions (Continuous uniform distribution, Binomial distribution, Poisson distribution, Normal distribution)
• Skewness and Kurtosis
• Sum of random variables
• Standardize random Variable
• Bayes’ Theorem
• Expected Value
• Central limit theorem
• Statistic: Variance,Covariance,Correlation
• Desirable of an Estimator
• Population and Sample (Variance, Covariance, Standard error, Confident interval)
• Testing (Hypothesis test, T-test, Chi-square test, F-test)

Day 2: Risk modelling

• Simple linear Regression (Total sum square, Coefficient of Determination, Standard Error of the regression (SER))
• Linear regression assumption and Violations
• Multiple linear Regressions (Adjusted R-squared, The F-statistic)
• Forecasting Model selection
• Covariance Stationary
• AR/MA/ARMA model, EWMA Model, GARCH Model
• Simulation modeling
• Logistic Model/Order Logistic Model, Prohibit Model
Pratices

Day 3: SPSS pratices

• Introduction to SPSS
• Descriptive statistics (frequency, mean, standard deviation, etc.)
• The foundation steps to set up the model
• Correlation analysis
• Exploratory factor analysis (EFA)
• Time series analysis.
• Single & multiple regression analysis
• Two-group comparison (T-test)
• Non-parametric testing
• Analysis of variance (ANOVA)
• Regression with dummy variables.
• Stepwise regression analysis
• Logistic regression

BENEFIT

• Understand the nature and pattern of variability of a phenomenon through quantitative obersevations

• Helps in collecting an appropriate quantitative data

• Know how to prepare risk and financial projection

• A fundamental knowledge to develop deeper research

WHO SHOULD ATTEND

• Risk analysts
• Finance analyst
• Researcher
• Professionals
• Students

TESTIMONIALS

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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