2017-2018 / FINA0063-1

Financial Data Modeling and Analysis

Duration

30h Th

Number of credits

 Master in economics : general (120 ECTS)5 crédits 
 Master in business engineering (120 ECTS)5 crédits 

Lecturer

Laurent Bodson

Language(s) of instruction

English language

Organisation and examination

Teaching in the first semester, review in January

Units courses prerequisite and corequisite

Prerequisite or corequisite units are presented within each program

Learning unit contents

Organization and Contents
A. MATLAB and Excel for financial modeling
B. Time Value of Money
C. Bond models
Bond pricing Modeling the term structure Duration
D. Equity models
Simulating stock prices
E Portfolio models
Efficient portfolios Estimating betas (+Kalman filter) Black-Litterman Value-at-Risk
F. Option-pricing models
Binomial option pricing Black-Scholes model Option Greeks Portfolio insurance

Learning outcomes of the learning unit

This course introduces the foundations for financial models and their applications using IT solutions. It emphasizes three aspects of each model: its set of assumptions, its specification and its applications. Its primary goal is to demonstrate how various financial models can be practically incorporated into companies' strategic decision making and risk management. Intended Learning Outcomes addressed by the courses :

  • Strengthening knowledge and understanding of basic management disciplines in order to use them to perform a rigorous analysis of a management situation and provide pertinent solutions
  • Gaining the knowledge and understanding of one of the following fields: supply chain management, financial engineering, performance management systems or intrapreneuriat; being able to mobilize them in order to solve concrete management problems or cases
  • Capacity to research autonomously and methodically the information needed to solve a complex, transversal management problem, to perform a rigorous analysis of it and to suggest pertinent solutions
  • Understanding and being capable of using modelization methods when seeking a solution for a concrete management problem
  • Providing concrete solutions to a management problem, integrating a dimension of technology, innovation or production
  • Developing a critical sense (arguing)
  • Developing a transversal, global vision

Prerequisite knowledge and skills

This course requires basic prerequisites in corporate finance, portfolio management and derivative instruments. Familiarity with the cash flows discounting approach and basic statistical techniques (e.g. descriptive statistics, hypothesis testing and linear regression) is assumed but these concepts will be "refreshed".

Planned learning activities and teaching methods

Ex-cathedra lectures (theory), group presentations, case studies, exercises and financial simulations.

Mode of delivery (face-to-face ; distance-learning)

Face-to-face.

Recommended or required readings

Suggested notes: - Financial Modeling using Excel and VBA, Chandan Sengupta, Wiley Finance, 2004. - Financial Modeling - 3rd Edition, Simon Benninga, MIT Press, 2008.

Assessment methods and criteria

Case studies:

  • collective works 1/3
  • participation in class 2/3
Relative weighting of the individual assessment : 66%.

Work placement(s)

Organizational remarks

Contacts

Affiliate Professor: Laurent.Bodson@ulg.ac.be