Skip to Content

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 therefore include the risk analysis of short-term trading and investment portfolios as well as future cash flows for a project (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, GARCH models (for changing volatility), analysis of correlation/co-movement and heavy-tailed distributions (for modelling extreme events). Case studies and computer workshops are used in class.

Credit Points: 2
When Offered:

AFC Term 2 CBD - Applied Finance Centre, City Campus, March to June

AFC Term 3 MB - Applied Finance Centre, Melbourne Campus, June to September

Staff Contact(s): Mr Luke Gower

(Admission to MAppFin or GradDipAppFin) and ECFS868 Prerequisite Information


Unit Designation(s):
Assessed As: Graded
Offered By:

Department of Applied Finance and Actuarial Studies

Faculty of Business and Economics

Course structures, including unit offerings, are subject to change.
Need help? Ask us.