course-details-portlet

IØ8304

Market Risk Analysis

Choose study year
Credits 7.5
Level Doctoral degree level
Course start Autumn 2017
Duration 1 semester
Language of instruction English
Examination arrangement Oral examination

About

About the course

Course content

This course covers advanced empirical and quantitative analyses of financial and commodity markets. With financial markets we mean stocks, currency, and bond markets. With commodity markets we mean energy, metals, agricultural markets, and related markets (such as fish/shipping/freight markets/weather markets etc.). Through the course, the students are expected to develop competence in conducting their own empirical analyses of asset prices. The course will consist of a mixture of standard lecturing and practical exercises, interfacing econometric methods and theories and topics from finance and commodity market economics.

Learning outcome

After completing the course, the student should
- understand the most important empirical concepts for modeling and forecasting of prices, returns, volatility, and risk from various markets.
- have aquired experience of applying relevant market data and implemented state of the art econometric models.
- read and understand research articles in the area of empirical finance.
- conduct and presented exercises and a termpaper based on selected topics from the literature.

Learning methods and activities

Lectures, performance of datacases, seminars/student presentations, project work, guest lectures.

The course can be given in form of intensive lectures with several hours per day, several days per week, during a limited number of weeks. Alternatively, the course can also be taken as an independent study program.

Compulsory work: Computor exercises/presentations covering all areas of the course. Oral exam will be based on pensum and seminar activities.

Compulsory assignments

  • Computer exercises

Course materials

Carol Alexander, 2008, Market Risk Analysis, Wiley (4 Books)

Credit reductions

Course code Reduction From
TIØ4557 3.5 sp
This course has academic overlap with the course in the table above. If you take overlapping courses, you will receive a credit reduction in the course where you have the lowest grade. If the grades are the same, the reduction will be applied to the course completed most recently.

Subject areas

  • Business Economics
  • Managerial Economics, Finance and Operations Research
  • Financial Economics
  • Industrial Economics and Technology Management

Contact information

Course coordinator

Department with academic responsibility

Department of Industrial Economics and Technology Management