Course - Risk Management and Empirical Finance - BFIN5012
BFIN5012 - Risk Management and Empirical Finance
Examination arrangement: Home exam
|Evaluation||Weighting||Duration||Grade deviation||Examination aids|
|Home exam||100/100||5 hours|
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
- 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
- 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.
- 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
- Presentation termpaper
Compulsory activities from previous semester may be approved by the department.
Admission to a programme of study is required:
Accounting and Auditing (MRR)
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
Carol Alexander, Market Risk Modeling, Wiley 2008 Bind I, II and parts of IV. Other articles and chapters from books are announced at the start of the semester. Subject to changes.
Credits: 7.5 SP
Study level: Second degree level
Term no.: 1
Teaching semester: AUTUMN 2021
Language of instruction: Norwegian
- Economics and Administration
Examination arrangement: Home exam
- Term Status code Evaluation Weighting Examination aids Date Time Digital exam Room *
- Autumn ORD Home exam 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"