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

Submitting two written assignments

Compulsory assignments

• Paper
• Presentation of paper

Specific conditions

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.

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

Changes are subject to change.