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FT.com presents the fifth online executive education course in partnership with NYU Stern School of Business, featuring Robert Engle, professor of finance.
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FT Business School: Global Financial Volatility
Why are current risk measures so low, when we think there are serious financial risks? Nobel prize-winning economist Robert Engle, professor of finance and director of the Centre for Financial Econometrics at NYU’s Stern School of Business, presents how volatility can be used to assess risk. He explains how ARCH and GARCH can measure time-varying volatility.
He investigates the implications for investors when there is a divergence between short and long-run risk. And finally he examines global financial volatility in the macroeconomic causes of long-run risks.
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Video course contents
Volatility
Part 1 Contents
1. Introduction: Volatility is of interest to market traders, chief executives and investors
2. What is volatility and how to view it with a global perspective
3. Patterns of volatility in the stock market and in different asset classes
4. Why volatility differs across asset classes
5. Closing thought: We need more tools before we can assess assets
Volatility transcript
Additional reading
Time Varying Volatility
Part 2 Contents
1. Measuring volatitly over different periods of time
2. Looking at alternatives to historical volatility
3. ARCH model: Autoregressive conditional heteroskedasticity
4. GARCH model: Generalized autoregressive conditional heteroskedastic
5. Confidence intervals
6. Closing thought: Next, how to use these ideas in financial practice
Time Varying Volatility transcript
Additional reading
Estimating risk
Part 3 Contents
1. Calculating and managing risk
2. Value at risk - How to measure the amount of money a company could lose in a particular investment using the GARCH model
3. Financial risk today
4. Low volatility vs high perceived risk
5. Looking across world markets
6. Closing thought: Making sense of the paradox between financial vs global market risks
Estimating Risk transcript
Additional reading
More video lectures
Long Run Risk
Part 4 Contents
1. Equity market volatiltiy
2. The difference between short and long run risks
3. Evaluating risks
4. Implications for long run risk for investors and policy makers
5. Closing thought: Next, we examine the magnitude of long run risks
Long Run Risk transcript
Additional reading
Global Financial Volatility
Part 5 Contents
1. Putting all the previous lectures together
2. Comparing world markets and inflation
3. Implications for policy makers
4. Solving long run risks
5. Closing thought: Solving long and short term risks
Global Financial Volatility transcript
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