Course - Risk Management and Empirical Finance - BFIN5012
BFIN5012 - Risk Management and Empirical Finance
About
Examination arrangement
Examination arrangement: Home examination
Grade: Letter grades
| Evaluation | Weighting | Duration | Grade deviation | Examination aids |
|---|---|---|---|---|
| Home examination | 100/100 | 5 hours |
Course content
Professional content
The course consists of complementary parts of financial econometrics and risk management. The course deals with empirical analysis of financial and commodity markets (equities, currency, bonds, energy, metal, and agriculture).
- Descriptive Analysis
- Return of Returns
- Regression Analysis / Factor Models for Stocks
- Finance Optimization and Portfolio Selection
- Principles for Optimization of Portfolios of Bonds and Shares
- Index Funds
- Dynamic Portfolio Strategies
- Risk Management
- Value at Risk
- Parametric, historical and simulation-specific estimation of Value at Risk
- Assessment of model risk and stress testing
- Principal component analysis for modeling of forward curves
- Modeling of volatility and correlation in different markets
- Handling strategies with univariate and multivariate time series models
- Co-integration analysis
- Use of copula and quantum regression
- Extreme Value Models
- Panel data methods
- Empirical corporate finance,
- Empirical analysis of capital structure and dividend decisions
- Mergers and acquisitions, and securities issues
- Bankruptcy Risk
- Evaluation of models
- Hedge fund analysis and alternative Investments
Learning outcome
Knowledge
- The theoretical basis for analysis of financial data
- Methods for analysis and optimization of portfolios of financial and related assets
- Risk measurement methods and risk management
- Methods for analysis of company financing
Skills
- Provide training in thinking about portfolio selection as a result of balance between risk and return,
- Provide the ability to formulate and solve portfolio management issues in static and dynamic circumstances,
- Provide knowledge in methods of statistical processing of financial data using econometric models for assessment of financial decisions, price development and other risk factors.
General Competence
- Provide training in financial analysis in spreadsheets and use of financial databases.
- Provide training in the implementation of financial econometric methods by writing an independent semester assignment.
Learning methods and activities
Lectures and assignment
Mandatory activity: Writing a term paper in groups consisting of 3-4 students
Submitting two written assignments
Compulsory assignments
- Paper
- Assessment
Further on evaluation
The assessment consists of a written home exam of 5 hours. Compulsory activity must be passed in order to take the exam (obl.1 and 2).
New assessment if not passed, see supplementary rules at the Faculty of Economics.
Specific conditions
Admission to a programme of study is required:
Accounting and Auditing (MRR)
Economics (MSØK)
Economics (MSØK/5)
Economics and Business Administration (MSIVØK5)
Economics and Business Administration (ØAMSC)
Financial Economics (MFINØK)
Industrial Economics and Technology Management (MTIØT)
International Business and Marketing (860MIB)
Recommended previous knowledge
The course is based on knowledge of the financial courses in the 1st year of study at the Master of Economics and Administration at NTNU School of Business. Knowledge equivalent to these courses is recommended, but is not an absolute requirement. The financially interested student willing to read up on relevant topics is welcome to attend the course.
Required previous knowledge
None
Course materials
Curriculum
Carol Alexander, Market Risk Modelling, (2008) Wiley Volume I, II and Selected Parts of Volume IV.
Changes are subject to change.
No
Version: A
Credits:
7.5 SP
Study level: Second degree level
Term no.: 1
Teaching semester: AUTUMN 2023
Language of instruction: Norwegian
Location: Trondheim
- Economics and Administration
Examination
Examination arrangement: Home examination
- Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
-
Autumn
ORD
Home examination
100/100
Release
2023-12-19Submission
2023-12-19
09:00
INSPERA
14:00 -
Room Building Number of candidates - Summer UTS Home examination 100/100 INSPERA
-
Room Building Number of candidates
- * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
For more information regarding registration for examination and examination procedures, see "Innsida - Exams"