Economic and Financial Modelling
| Code | Completion | Credits | Range | Language |
|---|---|---|---|---|
| G63E3301 | KZ | 3 | 0P+2C | English |
- Garant předmětu:
- Lecturer:
- Tutor:
- Supervisor:
- Institute of Economic Studies
- Synopsis:
-
The course is organized in 2 seminars weekly, 3 credits.
Analyzing and solving models of optimal allocation of assets, management of risk, and Portfolio allocation
- Requirements:
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BSc-level course in Statistics, advanced usage of MS Excel.
- Syllabus of lectures:
-
Numerical Models and their Comparison with Analytical Models
Zero-Coupon Bond. Matrix Solution of the Zero-Coupon Bond problems
Empirical Properties and Classical Theories of the Term Structure
Hedging Interest-Rate Risk with Duration
Other hedging Methods
Models of Risks management
The Capital Asset Pricing Model. CAPM model
Markowitz Theory of Portfolio
Case Studies (Model Design, Solution and Discussion)
Market Risk Management, Value at Risk
- Syllabus of tutorials:
-
Weekly practical exercises will be assigned for solving at home.
Exercises will be the basis for stating the questionnaires for the Exam.
For the grading, as long as there is only one seminar, at the end of the semester, one practical exercise will be assigned combining the statistical procedure and the theoretical explanation.
The grading levels are A B C D E (F – failed).
- Study Objective:
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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:
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Le Bellac, Mathieu, Viricel Arnau (2017). Deep Dive Into Financial Models: Modeling Risk And Uncertainty. Word Scientific Publishing Co.
Keynes JM. (1936) The General Theory of Employment, Interest, and Money. Palgrave Macmillan.
Moorad Choudhry (2001) The Bond and Money Markets: Strategy, Trading, Analysis. Butterworth-Heinemann
Anthony Saunders & Linda Allen (2002). Credit Risk Measurement. John Wiley & Sons, Inc.
Lütkepohl Helmut 2005. New Introduction to Multiple Time Series Analysis. Springer-Verlag Berlin Heidelberg
Martellini Lionel, Priaulet Philippe and Priaulet Stephane. Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies. John Wiley & Sons Ltd
Martin Anthony, (1996). Mathematics for Economics and Finance: Methods and Modelling. Cambridge University Press.
Ruey s. Tsay (2005). Analysis of Financial Time Series. Second Edition. A John Wiley & Sons, Inc., publication
Oxford (2014). Dictionary of Statistics. Oxford University Press.
Oxford (201). Dictionary of Finance and Banking. Oxford University Press.
Mun, J. Modeling Risk. Hoboken: John Wiley, 2006. ISBN 978-0-471-78900-0
Scholes Myron (1997). Derivatives in a Dynamic Environment. Nobel Prize Lecture. Stockholm.
Wilmott Paul (2006). On Quantitative Finance. Second Edition. John Wiley & Sons Ltd
Recommended Complements:
Black, F & Scholes M. The Pricing of Options and Corporate Liabilities. Journal of Political Economy. 81, 637-654.
Kahneman Daniel (2002). Maps of Bounded Rationality a Perspective on Intuitive Judgment and Choice. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/kahnemann-lecture.pdf
Markowitz Harry (1990). Foundations of Portfolio Theory. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/markowitz-lecture.pdf
Merton Robert. (1997). Application of Option-Pricing Theory: Twenty-five years later. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/merton-lecture.pdf
Sharpe William (1990). Capital Asset Prices with and without Negative Holdings. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/sharpe-lecture.pdf
- Note:
- Further information:
- http://moodle-vyuka.cvut.cz/course/view.php?id=164
- No time-table has been prepared for this course
- The course is a part of the following study plans:
-
- Prospectus (elective specialized course)
- N-PRI-prez.forma od 15/16 (compulsory course of the branch)
- N-PRI-prez.forma od 16/17 (compulsory elective course)
- N-PRI-prez.forma od 17/18 (compulsory course of the branch)
- N-PRI-CP prezenční navazující studium od 18/19 (compulsory course of the branch)
- N-PRI-CP prezenční navazující studium od 19/20 Financial Management (PS)
- N-PRI-CP prezenční navazující studium od 20/21 Financial Management (PS)
- N-PRI-CP prezenční navazující studium od 21/22 Financial Management (compulsory course of the branch)
- N-PRI-CP prezenční navazující studium od 21/22 Regional Studies (compulsory elective course)
- N-PRI-CP prezenční navazující studium od 21/22 Process Management (compulsory elective course)
- N-PRI-CP prezenční navazující studium od 21/22 Project Management (compulsory elective course)
- Process Management, prezenční - 22/23 (compulsory elective course)
- Financial management, AR 22/23, prezenční forma (compulsory course of the branch)
- Regional Studies, prezenční forma, AR 22/23 (compulsory elective course)
- Project management, prezenční forma, AR 2022/2023 (compulsory elective course)
The requirement for course G63E3301 can be fulfilled by substitution with the course 32ME-P-EFNM-01.