Economic and Financial Modeling

Course guarantor:

Lecturer:

Tutor:

Supervisor:

Institute of Management Studies

Synopsis:

The course teaches students the design and use of numerical models to solve various problems of corporate economics and finance under uncertainty. It is organized in seminar form in the PC lab and focuses on the solving of case studies and correct interpretation of model results. Methods include sensitivity analyses, numerical optimalization and statistical simulations.

Requirements:

BSc-level course in Statistics, practical skills in the use of MS Excel

Syllabus of lectures:

Syllabus of tutorials:

Numerical Models and their Comparison with Analytical Models

Types of Models and Routine Problem Characteristics

Approximation Errors, Model Risks and Good Practice in Modelling

Software Applications and Specifics, Pseudorandom Number Generation and Transformation in Simulations

Case Studies (Model Design, Solution and Discussion)

- Credit Risk Management

- Market Risk Management, Value at Risk

- Project Cash Flow Risk Analyses

- Real Options

- Economic Optimization of Corporate Processes

Study Objective:

By the end of the course, students will be able to design and interpret various types of models to support managerial decision-making.

Study materials:

Mandatory:

Bierman, H., Smidt, S. Advanced Capital Budgeting: Refinements in the Economic Analysis of Investment Projects. New York: Routledge, 2007. ISBN 978-0-3244-0748-8

Mun, J. Modeling Risk. Hoboken: John Wiley, 2006. ISBN 978-0-471-78900-0

Charnes, J. Financial Modeling with Oracle Crystal Ball and Excel. 2nd ed. Hoboken: John Wiley, 2012. ISBN 978-0-471-77972-8

Supplementary:

Mun, J. Real Options Analysis: Tools and Techniques for Valuing Strategic Investments and Decisions. Hoboken: John Wiley, 2012. ISBN 978-1-1183-9743-5

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans: