Lecture: Statistics for Financial Engineering
David Ruppert, Professor of Statistics at Cornell University, will speak at this week's Finance Seminar. All are invited to attend.
The topic of this talk is "Statistics for Financial Engineering."
Abstract:
In this talk, a number of statistical methods are applied to financial markets data. The examples come from my research and from my textbook on statistics and finance. Nonlinear regression and the transform-both-sides (of the equation) technique is used to estimate default probabilities. The drift and volatility functions of a diffusion model of interest rates are estimated by penalized splines, and a GARCH model is applied to the residuals. In another applications to bonds, the forward rate is estimated by a penalized spline. The final case study uses survival analysis to model the risk of accounting fraud as a function of executive compensation variables. The use of graphical methods for checking modeling assumptions is illustrated.
More information about Professor David Ruppert.
