ECTS
2 crédits
Composante
École d'économie de la Sorbonne (EES)
Volume horaire
18h
Période de l'année
Printemps
Description
Summary: The course is divided in two:
- Copulas with applications to portfolio management; extensions with Bayesian networks to deal with high dimensional systems, notably to assess contagion of extreme risks.
- Panel data econometrics applied on non-financial firms accounting data. (9h)
Professors: Catherine Bruneau (Professor of Economics - University Paris 1 Panthéon-Sorbonne), Jean-Bernard Chatelain (Professor of Economics - University Paris 1 Panthéon-Sorbonne)
Student assessment: 2 projects (Python / R) + Short exam