What is FiRRM?
The Centre of Finance, Risk and Resource Management (FiRRM) is a team of researchers at the Technical University of Dortmund. We specialize in modern financial applications and risk management. Our focus? Data-driven research within the fields of economics and finance. Our goal? To build a community of talented analysts.
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Joint Finance Seminars
We are delighted to announce one of our latest projects- the Joint...
CoronaFuturum – Covid-19
At the beginning of the Covid-19 Pandemic Crisis, we at FiRMM have been asking "What can we expect...
Collaborative lecture: Applied Financial Econometrics
Teaching Project
Applied Financial Econometrics is one of our upcoming...
Using the Extremal Index for VaR Backtesting
A. Bücher, P. Schmidtke, P. N. Posch
We introduce a set of new Value-at-Risk independence backtests by establishing a connection
between the independence property of Value-at-Risk forecasts and the extremal index,
a general measure of extremal clustering of stationary sequences. For this purpose, we introduce
a sequence of relative excess returns whose extremal index is to be estimated. We
compare our backtest to both popular and recent competitors using Monte Carlo simulations
and find considerable power in many scenarios. In an applied section we perform realistic
out-of-sample forecasts with common forecasting models and discuss advantages and pitfalls
of our approach.
Investment and Financing
Our course Investment and Financing covers the basic concepts of financial markets and investment valuation.
Investment-, Portfolio- and Risk- Management
Learn how to optimize your portfolio and discover tools for risk management.
Financial Modeling
Hands-on: Implementation of relevant topics covering investment-, portfolio- and risk management using Excel and VBA
Quantitative Finance
Get deep insights into state-of-the-art interest rate models and derivative valuation in practice. Hands-on real problem sets using Python
Financial Econometrics
Basic concepts for financial econometrics like multivariate regressions. Advanced methods for time series analysis and forecasting.
Research topics in Finance
Cutting-edge ML techniques on real datasets. Replicate the main results of an A+ ranked journal article using Python and extend this strand of research