FIE435 Financial Modelling
Topics covered will be drawn from: asset allocation, portfolio management, yield curve modelling, risk measurement, volatility modelling and exchange rate modelling.
Financial Modelling is a semi-intensive course that equips students with the knowledge and tools to implement financial models using Excel and VBA. The course covers a range of topics in finance, including both standard material and more advanced topics, with the emphasis on practical application. Lectures on each topic are followed by in-depth practical classes, in which students work through real world problems using Excel and VBA.
By the end of the course, students will be able to:
- understand the objectives of financial modelling
- download financial data from the internet for a range of securities, including stocks, bonds, derivatives and currencies
- be familiar with the characteristics of financial data and their statistical properties
- undertake a range of financial and statistical calculations in Excel
- understand the principles of passive and active portfolio management
- use simulation to model the unknown distribution of financial security returns
- Measure the risk of an investment portfolio using a number of different measures
- model the dynamic properties of the volatility of financial assets
- Construct a model of fixed income yields and use this to estimate the yield on a bond
- Implement a trading strategy for foreign exchange
The course will be delivered through a combination of lectures and practical classes. In each practical class, students will be given a practical problem that they will be expected to work though either individually or in groups. The course is restricted to a maximum of 50 students.
Requirements for course approval
For course approval, students are required to attend lectures and tutorials and submit a one-page written report for each of the practical exercises.
Mandatory Attendance: Attendance in all classes is mandatory for this course. Exemptions for not attending a specific class can be obtained from the lecturer on a case by case basis.
Home-based group assignment, to be completed in English.
Grading scale A - F.
The course will make extensive use of Excel and some use of VBA. Students should have at least a basic understanding of Excel, but do not need to be especially familiar with financial functions in Excel, or be familiar with VBA.
The recommended text for this course is Financial Modeling (fourth edition) by Simon Benninga, MIT Press, 2014. Additional reading will be assigned for some of the topics.
- ECTS Credits
- Teaching language
Autumn. Not offered 2019
Adjunct Professor Evarist Stoja, Department of Finance, NHH.