# STATISTICAL SCIENCES FOR FINANCE | STATISTICS FOR FINANCE AND INSURANCE

## STATISTICAL SCIENCES FOR FINANCE STATISTICS FOR FINANCE AND INSURANCE

 0222400017 DEPARTMENT OF ECONOMICS AND STATISTICS EQF7 STATISTICAL SCIENCES FOR FINANCE 2022/2023

 OBBLIGATORIO YEAR OF COURSE 1 YEAR OF DIDACTIC SYSTEM 2014 SPRING SEMESTER
SSD CFU HOURS ACTIVITY TYPE OF ACTIVITY SECS-S/01 5 30 LESSONS SUPPLEMENTARY COMPULSORY SUBJECTS
 ALESSANDRA AMENDOLA T
ExamDate
STATISTICS FOR FINANCE AND INSURANCE05/04/2023 - 09:30
STATISTICS FOR FINANCE AND INSURANCE05/04/2023 - 09:30
Objectives
THE COURSE FOCUSES ON REGRESSION TOOLS FOR FINANCIAL AND INSURANCE DATA ANALYSIS. PARTICULAR EMPHASIS WILL BE GIVEN TO REGRESSION MODELS AND INFERENCE TOOLS FOR THE ANALYSIS CONTINUOUS, DISCRETE AND MIXED TYPE DATA.

KNOWLEDGE AND UNDERSTANDING:
- KNOWLEDGE OF ANALYSIS OF THE STATISTICAL TOOLS USEFUL FOR THE QUANTITATIVE STUDY OF REAL PHENOMENA OF INTEREST IN FINANCE AND INSURANCE, FOR THE UNDERSTANDING OF PROBLEMS AND IMPROVEMENT OF DECISION-MAKING PROCESSES.

- KNOWLEDGE OF DESCRIPTIVE-EXPLORATORY AND INFERENTIAL PROCEDURES USEFUL TO SUPPORT DECISIONS REGARDING PHENOMENA AND/OR FINANCIAL AND ACTUARIAL SYSTEMS WHERE LARGE AMOUNTS OF DATA, VARIABILITY AND UNCERTAINTY IMPLY A LEVEL OF COMPLEXITY UNMANAGEABLE USING OTHER TECHNIQUES.

- ABILITY TO ANALYZE AND INTERPRET QUANTITATIVE INFORMATION, AND TO PRODUCE INDICATORS AND REPORTS SUPPORTING CONTROL AND MANAGEMENT POLICIES OF COMPANIES, BOTH IN PUBLIC OR PRIVATE SECTORS, OPERATING IN THE FIELD OF FINANCE AND INSURANCE.

APPLYING KNOWLEDGE AND UNDERSTANDING:
- STUDENTS WILL BE ABLE TO INDEPENDENTLY ANALYZE AND EVALUATE DOCUMENTS AND REPORTS THAT INCLUDE QUANTITATIVE INFORMATION; FORMULATE CRITICAL JUDGMENTS ON HOW TO COLLECT DATA AND HOW TO PROCESS THE INFORMATION COLLECTED; EVALUATE THE VALIDITY, INTERNAL AND EXTERNAL, OF THE CONCLUSIONS.

- STUDENTS WILL GAIN ABILITY TO PRESENT WITH PROPERTIES OF LANGUAGE, EFFECTIVELY AND CLEARLY, THE INFORMATION OF A QUANTITATIVE NATURE, BOTH IN ORAL AND WRITTEN FORM.
- STUDENTS WILL ACQUIRE THE LOGICAL-CONCEPTUAL STRUCTURE NECESSARY FOR THE ANALYSIS AND PROCESSING OF QUANTITATIVE INFORMATION, WHILE PROVIDING THE ABILITY TO LINK THE SKILLS ACQUIRED WITH THOSE LEARNED IN THE COURSES OF STUDY MORE SIMILAR (ECONOMICS, FINANCE, MATHEMATICS, ASSET-PRICING).
Prerequisites
IT IS REQUIRED A BASIC KNOWLEDGE OF MATRIX ALGEBRA AND STATISTICAL INFERENCE.
Contents
EDA TOOLS. SCATTER AND BUBBLE PLOTS. GRAPHICAL REPRESENTATION FOR MULTIVARIATE DATA MATRICES. CORRELATION MATRIX. REGRESSION MODELLING. ESTIMATE, INFERENCE, VALIDATION AND USE OF THE REGRESSION MODEL. HETORSCHEDASTICITY AND AUTOCORRELATION. VARIABLE SELECTION. OUTLIERS AND ROBUSTNESS. MISSING VALUES PROBLEMS. NONLINEAR REGRESSION. LOGIT AND PROBIT MODELS. CASE STUDIES WITH R.
Teaching Methods
THE COURSE CONSISTS OF 30 HOURS INCLUDING LECTURES AND CASE STUDIES. PRACTICAL CLASS WITH THE SOFTWARE R ARE ALSO INCLUDED.
Verification of learning
THE STUDENT WILL BE ASSESSED DURING THE FINAL EXAM TO BE HELD AT THE DATES SCHEDULED BY THE DEPARTMENT. DURING THE FINAL TEST, THE STUDENT WILL HAVE TO TAKE A WRITTEN TEST (ASSESSED ON A SCALE OF 30) AND AN ORAL TEST.
THE DATE OF THE WRITTEN TEST IS PROVIDED BY THE DEPARTMENT CALENDAR, WHILE THE DAY OF THE ORAL TEST, WHICH WILL TYPICALLY TAKE PLACE IN THE DAYS IMMEDIATELY FOLLOWING, IS AGREED WITH THE STUDENTS AT THE END OF THE WRITTEN TEST.
THE WRITTEN TEST (LASTING ABOUT 2 H) IS AIMED AT ASCERTAINING THE STUDENT'S ABILITY TO DEAL WITH THE THEORETICAL AND PRACTICAL ISSUES OF THE COURSE PROGRAMME.
THE ORAL EXAM (LASTING ABOUT 30 MINUTES) CONSISTS OF AN INTERVIEW WITH THEORETICAL QUESTIONS AND DISCUSSION. THE FINAL GRADE (MIN 18, MAX 30 POSSIBLY CUM LAUDE) IS ATTRIBUTED BY EVALUATING THE RESULTS OF THE WRITTEN AND ORAL EXAM IN WHICH THE MASTERY OF THE COURSE CONTENTS, APPROPRIATENESS OF THE DEFINITIONS AND THEORETICAL REFERENCES, CLARITY OF THE ARGUMENT, KNOWLEDGE OF THE SPECIALIZED LANGUAGE IS ASSESSED.
Texts
1. M. VEERBEK, A GUIDE TO MODERN ECONOMETRICS, WILEY
2. LECTURE NOTES AND JOURNAL PAPERS SUGGESTED BY THE INSTRUCTOR AVAILABLE ON INSTRUCTOR’S WEB PAGE