course-details-portlet

BFIN5012

Risk Management and Empirical Finance

Credits 7.5
Level Second degree level
Course start Autumn 2025
Duration 1 semester
Language of instruction Norwegian
Location Trondheim
Examination arrangement Aggregate score

About

About the course

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

Compulsory assignments

  • Compulsory attendance
  • Mandatory papers
  • Oral presentation of the term paper

Further on evaluation

The assessment consists of a written school exam of 4 hours and a group assignment where each part counts 50% of the overall grade. Both partial exams must be passed in order to receive a grade in the course.

There are three mandatory exercises.

  • Mandatory assignment 1. -Attendance at a minimum of 70% of the lectures is mandatory where the students themselves must take turns presenting small papers and participate actively in academic discussions.
  • Mandatory assignment.2. -Compulsory exercises/papers.
  • Mandatory assignment 3. -Oral presentation of the term paper

In the event of a fail and/or improvement of the grade, it will be possible to retake the individual partial assessment.

In the case of a re-sit exam and the last exam after the course has been discontinued, the form of assessment may be changed to an oral exam

The course is open to all master's students at NTNU. See recommended previous knowledge for more information.

Required previous knowledge

None

Course materials

Curriculum

Carol Alexander, Market Risk Modelling, (2008) Wiley Volume I, II and Selected Parts of Volume IV.

https://www.amazon.com/Market-Analysis-Quantitative-Methods-Finance/dp/0470998008/ref=sr_1_2?s=books&ie=UTF8&qid=1503170533&sr=1-2

Papers listed in course information.List is given at start of term.

Changes are subject to change.

Subject areas

  • Economics and Administration

Contact information

Course coordinator

Department with academic responsibility

NTNU Business School

Examination

Examination

Examination arrangement: Aggregate score
Grade: Letter grades

Ordinary examination - Autumn 2025

School exam
Weighting 50/100 Examination aids Code D Date 2025-12-10 Time 15:00 Duration 4 hours Exam system Inspera Assessment
Place and room for school exam

The specified room can be changed and the final location will be ready no later than 3 days before the exam. You can find your room location on Studentweb.

Sluppenvegen 14
Room SL310 hvit sone
22 candidates
Assignment
Weighting 50/100 Date Release 2025-11-07
Submission 2025-11-14
Time Release 08:00
Submission 14:00
Exam system Inspera Assessment

Re-sit examination - Summer 2026

School exam
Weighting 50/100 Examination aids Code D Duration 4 hours Exam system Inspera Assessment Place and room Not specified yet.