Financial Model Implementation and Practice

Study Board of Market and Management Anthropology, Economics, Mathematics-Economics, Environmental and Resource Management

Teaching language: English
EKA: B540032102
Censorship: Second examiner: None
Grading: 7-point grading scale
Offered in: Odense
Offered in: Summer school (autumn)
Level: Bachelor

Course ID: B540032101
ECTS value: 5

Date of Approval: 24-03-2020


Duration: Intensive course

Course ID

B540032101

Course Title

Financial Model Implementation and Practice

Teaching language

English

ECTS value

5

Responsible study board

Study Board of Market and Management Anthropology, Economics, Mathematics-Economics, Environmental and Resource Management

Date of Approval

24-03-2020

Course Responsible

Name Email Department
Mo Zhang mo@sam.sdu.dk Institut for Virksomhedsledelse og Økonomi

Offered in

Odense

Level

Bachelor

Offered in

Summer school (autumn)

Duration

Intensive course

Recommended prerequisites

The basic operations in spreadsheet program like Microsoft are required. The student must have an elementary background in mathematics, matrix algebra, statistics and econometrics. The student is familiar with simple optimization methods (e.g., first-order conditions and Lagrange optimization). 

Aim and purpose

The course is numerically intensive and requires a considerable amount of student input. This purpose of the course is that the students can implement some important financial models with extensive use of computer software, for example, Excel/VBA, or other programming languages agreed between the instructor and student, and develop modelling skills for analyzing a variety of financial decision problems by using real-world data. The student obtains competencies to master modelling techniques such as regression analysis, optimization and binomial trees; and, the student can apply these modelling skills in specific financial contexts such as portfolio management, option pricing, sensitivity analysis in discounted cash flow models.

Content

The course is constructed to cover a wide variety of topics in financial modelling:
For example:
  • Corporate valuation in terms of Discounted Cash Flow models
  • Portfolio optimization problem in finance
  • Valuation of options 
  • Financial Risk modelling

Description of outcome - Knowledge

Demonstrate knowledge about the course’s focus areas enabling the student to
  • Explain the model choice for selected research topics.
  • Explain the parameters, characteristics of selected empirical models.
  • Understand basic simulation techniques. 

Description of outcome - Skills

Demonstrate skills, such that the student is able to:
  • Implement theoretical models and numerical computation for enterprise valuation.
  • Calculate the variance-covariance matrix and Find optimal portfolios.
  • Apply option pricing models, e.g. the binomial model and alternative models.
  • Measure financial risk with Value-at-risk and alternative models.

Description of outcome - Competences

Demonstrate competences, such that the student is able to: 
  • Use software (for example, Excel/VBA, or alternative software agreed between the student and instructor) to skillfully implement financial models introduced in the course in order to make empirical financial analysis.
  • Discuss the meaning of empirical results and the plausible values of its parameters.
  • Compare the advantages and disadvantages of different models and argue his/her model choice for specific dataset.

Literature

Examples
  • Benninga, Simon: “Financial modelling” The MIT press, newest edition. 
  • Reading package, and lecture notes.

Teaching Method

To enable the student to achieve the learning goals of the subject, the instruction is planned as following:
  • The preparation package will be given two weeks before lecture starts to help the student to get familiar with the theories and models which will be used during lectures
  • In-class lectures provide practical contents of the topics
  • In-class exercises help students consolidate the knowledge and skills taught in the lectures
  • Two consultation sessions provide students opportunities of discussing unclear topics and assist them to better apply the models with different settings.

Workload

Scheduled classes:

Four hours of lectures per day (4x5) for 2 consecutive weeks

Each four-hour teaching session mixes the lecture and in-class exercises

The course will be conducted from the second week of August


Workload:

The students' workload is expected to be distributed as follows:

  • Lectures: 40 hours
  • Preparation, lectures: 62 hours
  • Preparation, exam: 30 hours
  • Exam: 3 hours
  • Total: 135 hours

Examination regulations

Exam

Name

Exam

Timing

Exam: August
Reexam: September

Tests

Exam

Name

Exam

Form of examination

Written examination on premises

Censorship

Second examiner: None

Grading

7-point grading scale

Identification

Student Identification Card - Exam number

Language

English

Duration

3 hours

Length

No limitations

Examination aids

All exam aids allowed except for use of the internet. 

Assignment handover

In the examination room

Assignment handin

Digital exam

ECTS value

5

Additional information

The exam will be held on the last day of teaching.

Examination form at the reexam may be changed. 

EKA

B540032102

External comment

NOTE - This course is new.
Used examination attempts in the former identical course will be transferred.
Courses that are identical with former courses that are passed according to applied rules cannot be retaken.

Courses offered

Offer period Offer type Profile Education Semester

URL for Skemaplan