Theoretical econometrics considers questions about the statistical properties of estimators and tests. The goal of this project is to develop econometric methods that will allow for a better assessment and monitoring of financial and insurance risks.
One aim of this project is to improve the econometric modeling (dynamic or marginal) of the distribution of risk and the dependencies that can occur between different sources of risk, employing both parametric and nonparametric methods. The types of risk that the proposed methods encompass are rather general and include credit risk, market risk or operational risk.
A second aim of this project is to investigate the impact of small samples when conducting inference. It will cover a range of econometric testing procedures whose underlying assumptions deviate from the typical asymptotic theory and account for the fact that, in practice, data is often limited.
All the econometric tools can be used in many areas in finance as they can be applied to various types of data such as interest rates, exchange rates, and stock returns. As such, they should allow for a better understanding of how to control financial losses for banks, insurance companies or other large investors.