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Modelling Prices and Risk - ECFS899
Quantitative modelling is an essential part of modern finance yet models are often misinterpreted and misused. The aim of this unit is to build an understanding of modelling techniques for prices in liquid markets (currencies, commodities, equities). We consider techniques for analysing the distribution of possible prices over both short- and medium-term horizons. Applications will include the risk analysis of short-term trading and investment portfolios as well as future prices for project evaluation in non-financial corporations. Model risk is a focus of this unit, helping students to appreciate the deficiencies of all models, to make appropriate model selections and to consider the ethical dimensions of price and risk modelling. You will improve your modelling abilities and also your capacity to communicate and interpret complex technical information. Techniques include simulation analysis, mean reversion models, models for the forward curve, GARCH models (for changing volatility), analysis of correlation/comovement and heavy-tailed distributions (for modelling extreme events). Case studies and computer workshops are used in class.
| Credit Points: | 2 |
| When Offered: | AFC Jan CBD - Applied Finance Centre, City Campus, November 2013 to June 2014 AFC Jul CBD - Applied Finance Centre, City Campus, May to November |
| Staff Contact(s): | Associate Professor Elizabeth Sheedy |
| Prerequisites: |
(Admission to MAppFin or PGCertAppFin) and ECFS868 |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
For unit timetable information and session dates for external offerings please visit the Timetables@Macquarie Website.