ECO3401H: Advanced Econometrics

This course will present the factor models in both a static and a dynamic framework.This includes the Singular Value Decomposition (SVD) in the static case as well as the state space modelling of dynamic factor models,and their extensions for large number of observed variables or individuals.Among the applications, the granularity adjustment required in the new Basel 2 regulation for credit risk will be completely derived.

Credit Value (FCE)

0.50

Campus(es)

St. George

School of Graduate Studies University of Toronto 63 St. George Street Toronto, ON Canada M5S 2Z9
Tel: 416-978-6614

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