course-details-portlet

BFIN5012 - Risk Management and Empirical Finance

About

Examination arrangement

Examination arrangement: Home exam
Grade: Letters

Evaluation Weighting Duration Grade deviation Examination aids
Home exam 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

Compulsory assignments

  • paper
  • Presentation termpaper

Required previous knowledge

None

Course materials

Literature: 

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.

More on the course

No

Facts

Version: A
Credits:  7.5 SP
Study level: Second degree level

Coursework

Term no.: 1
Teaching semester:  AUTUMN 2021

Language of instruction: Norwegian

Location: Trondheim

Subject area(s)
  • Economics and Administration
Contact information
Course coordinator:

Department with academic responsibility
NTNU Business School

Examination

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.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

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