MØLBA3005 Financial modelling
- Course codeMØLBA3005
- Number of credits7,5
- Teaching semester2024 Autumn
- Language of instructionEnglish
- CampusLillehammer
- 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).
- 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
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)
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)
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
The following teaching methods are used:
- Lectures
- Exercise sessions
- Tutorial videos
- Case studies
- Quizzez
- 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 | Grading scale | Grouping | Duration of assessment | Support materials | Proportion | Comment |
|---|---|---|---|---|---|---|
Written examination with invigilation | ECTS - A-F | Individual | 4 Hour(s) |
| 100 |
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.
Reading list
No reading list available for this course