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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 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:

TBD - Not offered in the current year; next offering is to be determined

Staff Contact(s): Finance Staff
Prerequisites:

(Admission to MAppFin or MAppFin(Adv) or GradDipAppFin) and ECFS868 Prerequisite Information

Corequisites:

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

Department of Applied Finance

Faculty of Business and Economics

Course structures, including unit offerings, are subject to change.
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