Macquarie University

Financial Modelling and Forecasting - AFIN890

This unit applies financial modelling and forecasting principles to various methods and theories covered in the financial risk and return modelling, securities and market analysis and financial forecasting fields. This is an excellent unit for students with an interest in a career in financial risk and return analytics and applied financial econometrics, and combines well with the other Masters units in those fields. The modelling and forecasting principles covered in this course are not simply an application of extrapolative techniques to historical data. Rather, there is an emphasis on modelling the uncertainty, and alerting decision makers, of consequences as the forecast horizon increases and the risk level changes. Financial Modelling and Forecasting is very much a hands-on course, with the seminars conducted in the computer laboratories emphasising upon empirical work and applied analysis of real market data. The Lectures use worked examples throughout, requiring students to be at computer terminals with access to Excel, R and industry standard financial databases. The worked examples are designed to reinforce the financial modelling and forecasting principles covered in the unit.