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Forecasting for Banking Using Time Series Methods

Quantitative

Registration deadline: 6 November 2019

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  • General description

    This course introduces the use of time series methods for modelling and forecasting economic and financial variables relevant in a banking context. Forecasting is a key ingredient of decision making both in the public and in the private sector. It is particularly important in the context of banking, both for their management and for their supervision.
    Banks’ assets and liabilities are influenced by a number of factors, such as general economic and financial conditions, interest rates, and the prices of financial assets. As these variables are the result of a vast, complex, dynamic and stochastic system, forecasting them is very difficult and forecast errors are unavoidable. Yet, forecast errors can be reduced and forecast precision enhanced by using proper econometric models and methods.

  • Topics covered

    • The main macroeconomic drivers of banking performance
    • Modelling and forecasting economic variables using univariate ARIMA models
    • Unit roots and permanent-transitory decompositions
    • Multivariate VAR models: specification, estimation, forecasting
    • Evaluating shock transmission with VAR models
    • Unit roots in VAR models: cointegration and error correction models

  • What you will learn

    After having completed the course, you will have learned:

    • Empirical specification, estimation and evaluation of univariate ARIMA models and multivariate VAR models for macroeconomic and financial variables relevant in a banking context
    • Construction of point, interval and density forecasts
    • Shock identification and transmission
    • The interaction of short-run and long-run via ECM modelling

  • How the course will work

    Total course length: 13 hours.

    The course will include both theoretical sessions, illustrating the econometric methods, as well as practical sessions with applications based both on simulated and actual economic and financial variables, possibly also provided by the course participants, using the software EViews.

    A certificate of attendance will be provided to all participants after the course.

  • Meet the instructor

    Massimiliano Marcellino is professor of Econometrics in the Economics Department of Bocconi University and fellow of CEPR and IGIER. Previously, he held the Pierre Werner Chair on the Economic and Monetary Union at the EUI, where he was also Director of the Department of Economics. He has published over ninety academic articles in leading international journals on forecasting, econometrics, and empirical macroeconomics, his main areas of research and teaching. He has worked as a consultant for a number of central banks and international organizations, including the European Central Bank, Bundesbank, Bank of Italy, Swiss National Bank, Eurostat, European Commission, International Monetary Fund and Inter American Development Bank. He is currently an editor of the Journal of Forecasting and the coordinator of the European Forecasting Network.

  • Prerequisites

    A Bachelor’ or Master’s Degree in Economics, Finance or related areas is required to be able to follow the course. Basic knowledge of statistics, econometrics, macroeconomics is recommended.

    Technical Prerequisites

    Participant are required to bring their own laptops with the EViews software installed.

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks and European Institutions).

    1900€ – Private Sector.

    950€ – Academics (Full-time Professors, full-time PhD Students and full-time Research Associates). Please submit a certificate attesting your status of Professor, PhD Student or Research Associate to fbf@eui.eu before registering. FBF secretariat will provide you with a code to register.

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.

    Please note that the payment must be settled two weeks before the start of the course.


    GROUP DEALS FOR PUBLIC AUTHORITIES AND PRIVATE SECTOR

    In case of registration of 3 participants from the same organisation, the course fees for each participant are the following:
    • Private Sector: € 1270
    • Public Authorities: € 1170

    To benefit from the deal, the names of the 3 participants have to be communicated to fbf@eui.eu before registering. We cannot communicate the names of other registered people from the same institution (it is upon your responsibility to get in touch with your HR division). FBF secretariat will provide the 3 participants with a code to use to register and benefit from the group deal.

    Special deals apply for larger groups.


    CANCELLATION POLICY

    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who have not yet paid the registration fee can cancel their participation until one month before the start of the course.
    • The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.

    For more details, please contact fbf@eui.eu
  • Practical information

    Accommodation 

    Please notice that the course dinner, and most of the social activities, will take place downtown.

    Recommended hotels nearby the EUI:

    Recommended hotels in downtown Florence:

    Suggested restaurants in Florence city centre

    Wi-Fi

    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

    Privacy Notice

    The personal information you have provided will be processed in compliance with the EUI Privacy Statement for conferences. For general queries: fbf@eui.eu

     

    General information on local transport

    From Florence airport:

    Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.

    A tramway (line T2) connects the airport to the city centre. Trains leave from the airport terminal and take 20 minutes to the main railway station. One-way tickets can be bought from vending machines for €1.50.

    The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.

    From the central railway station:

    Take bus n. 7 at the bus stop Stazione Nazionale in the direction “Fiesole Piazza Mino”, get off at the stop ‘San Domenico 01’. For bus routes and timetables consult the official timetable.

    Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafes (bar). They must be bought before boarding and stamped using the machine on the bus. A ticket costs €1.50 and it is valid for 90 minutes. Bus tickets can be purchased also on board (€ 2.50), but the driver is not obliged to give change.

    Private car

    From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.

    The EUI has several free parking areas available all over the Campus.