MØLBA3005 Financial modelling

Start semesters

- Number of credits
  7,5
- Teaching semester
  2023 Autumn
- Language of instruction
  English
- Campus
  Lillehammer
- Required prerequisite knowledge
  Prerequisites: LMØS120 Management Accounting and Control (Økonomisk styring og kontroll). Recommended prerequisites: LDBA200 Applied Programming (Anvendt programmering) and MØLBA3004 Business Forecasting (Prognosemodeller for økonomi og finans).

Course content

Portfolio theory and risk diversification
Empirical tests of Efficient Market Hypothesis (EMH) and CAPM
Capital Structures: type of financing and optimal financial mix
Valuation: principles and practice
Forwards, futures, and options
Modelling volatility and correlation:
- implied volatility
- realized volatility and correlation
- volatility forecasting (ARCH, GARCH, HAR-RV, quantile regression)

Learning Outcome

Knowledge

The student

Have advanced knowledge about the characteristics of a good risk and return
model (k1)
Explain and compare models for measuring market risk and return (k2)
Have specialized knowledge about the principles of portfolio management (k3)
Have in-depth knowledge about various debt, equity, and hybrid financing options
available to firms (k4)
Explain how the main financial risk management instruments work (k5)
Demonstrate key concepts of the term structure of interest rates (k6)

Skills

The student can

Use simulations to model unknown multi-variate distributions (f1)
Measure the risk of portfolios using a number of different approaches/measures (f2)
Value a firm and its equity using different valuation methods (f3)
Manage financial risk (f4)
Price futures, options, and other derivatives in accordance with the no-arbitrage principle (f5)
Apply Monte Carlo simulation to compute option prices (f6)
Implement trading strategies (f7)
Demonstrate appropriate numeracy skills by doing applied research (f8)

General competence

The student can

Advise and assist firms in their financing decision (g1)
Compose plans for funding and strategies for firms (g2)
Assess, evaluate and apply the key features of different derivative/risk management instruments (g3)T

Teaching and working methods

The following teaching methods are used:

Lectures
Exercise sessions
Tutorial videos
Case studies
Quizzez

Required coursework

Mandatory homework assignments must be handed in before each teaching module (a total of 4). These will be combinations of practical and theoretical exercises covering key topics in the course.
Three out of four homework assignments must be passed to be allowed to take the exam.
Attendance on at least 50% of the courses lectured teaching.

Form of assessment

Four-hour individual digital exam under attendance involving elements from all modules of the course. Graded A-F, where E is minimum for passing the exam.

Assessments

Form of assessment	Grading scale	Grouping	Duration of assessment	Support materials	Proportion	Comment
Written examination with invigilation	ECTS - A-F	Individual	4 Hour(s)	No support materials Approved calculator

Reading list

No reading list available for this course

Faculty

Inland School of Business and Social Sciences

Department

Department of Business Administration