Course - Risk Management and Empirical Finance - BFIN5012
Risk Management and Empirical Finance
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.
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.
Papers listed in course information.List is given at start of term.
Changes are subject to change.
Subject areas
- Economics and Administration
Contact information
Examination
Examination
Ordinary examination - Autumn 2025
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.
Assignment
Submission 2025-11-14 Time Release 08:00
Submission 14:00 Exam system Inspera Assessment