ACADEMIC YEAR 2010-2011 Applied Business Statistics Case Studies Fabio Del Bo

Predictive models and data mining for marketing Market mix modeling o Linear regressions on sales and marketing data to estimate the effectiveness of investments in media Case study : a telecom company and an energy firm

Budget Allocation o Budget allocation among regions and products based on expected media profitability and corporate strategy Case study: Development of a tool in VBA to optimize marketing budget

Propensity scores o Case study : a pharmaceutical company is to promote a new drug. Propensity score approach is used to rank doctors according to their likelihood to prescribe the drug

Panel data and web analytics o Cluster analysis and principal components methods to understand consumer behavior on the internet

Quantitative trading and portfolio management Predictive models for Asset Allocation and Portfolio Management o o Estimate expected return and risk of an investment strategy Portfolio construction based on predictive models and descriptive statistics

Development, testing and execution of systematic trading strategies o Statistical arbitrage : data mining and automated systems to trade stocks and derivatives Case study : development, testing and implementation of a trading model on stocks historical data

Risk Management applications Introduction to Risk management concepts

Consumer and Corporate Credit risk o Statistical techniques for analysing defaults. Case studies: Probability of default estimation: compute likelihood that a company or a retail customer does not make a payment on its debt Assessing Default Risk, Credit spread risk and downgrade risk Modelling dependent defaults Studying sovereign default risk. Effect of public debt, deficit, contagion, and risk aversion on governments debt

Market risk o o Measure portfolio sensitivity to macroeconomic risk factors Structural models of market risk: equity risk, interest rate risk, currency risk, commodity risk and liquidity risk

Introduction to operational risk o Benfords Law to detect fraud