| CODE | BFI2001 | ||||||||||||
| TITLE | Financial Modelling | ||||||||||||
| UM LEVEL | 02 - Years 2, 3 in Modular Undergraduate Course | ||||||||||||
| MQF LEVEL | 5 | ||||||||||||
| ECTS CREDITS | 4 | ||||||||||||
| DEPARTMENT | Banking, Finance and Investments | ||||||||||||
| DESCRIPTION | Financial Modelling is intended to give students the opportunity to widen and deepen their knowledge of financial theory and practice by explaining how financial models and techniques may be implemented. Students are expected to use Excel to model a number of common applications including the construction of portfolios, tests of market efficiency, estimation of risk measures, performance measurement and the valuation of options. By the end of the unit students should have a much clearer understanding of finance concepts as well as an extended knowledge of the spread sheet package. Study-unit Aims: The aim of this study-unit is to equip students with the knowledge and tools to implement financial models using Excel. The study unit will cover a number of financial modelling methods, including present and future value, matrix calculations, optimisation, regression analysis, simulation, and the event study methodology. Learning Outcomes: 1. Knowledge & Understanding By the end of the study-unit the student will be able to: - Explain the objectives of financial modelling and the characteristics of financial data; - Describe how various financial markets concepts get modelled in excel; - Develop portfolio models i.e. efficient portfolios and the black-litterman approach; - Develop a basic understanding of VBA; - Explain and describe the application of VaR through its 3 methods: Monte Carlo, Historical and Analytical; - Know how to compute VaR in excel; - Develop, construct and run an event study analysis of abnormal returns in stock prices; - Estimate stock鈥檚 betas and calculate a firm's cost of capital and WACC using excel; - Use and develop spreadsheet-based solutions to financial problems. 2. Skills By the end of the study-unit the student will be able to: - Construct and examine the characteristics of distributions of returns; - Download and use financial data from the internet for a range of securities, including stocks, bonds, derivatives and currencies; - Undertake a range of financial and statistical calculations in Excel; - Use Excel's regression analysis tool, linear estimation function and regression functions; - Conduct an Event Study in Excel; - Develop financial models in excel to model and analyse various financial markets concepts; - Interpret results generated by financial models to enable decision making in finance. Main Text/s and any supplementary readings: - Lecturer鈥檚 Powerpoint Slides. - 鈥淔inancial Modelling鈥�, by Simon Benninga (2008), MIT press. - 鈥淎dvanced Modelling in Finance using Excel and VBA鈥�, by Mary Jackson and Mike Staunton (2001), Wiley. - 鈥淎n Elementary Introduction to Mathematical Finance鈥�, by Sheldon Ross (2011), Cambridge University Press. - 鈥淎n Undergraduate Introduction to Financial Mathematics鈥�, by J. Robert Buchanan (2006), World Scientific Publishing. ... amongst any other materials introduced during the unit. |
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| STUDY-UNIT TYPE | Lecture and Tutorial | ||||||||||||
| METHOD OF ASSESSMENT |
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| LECTURER/S | Kane Cortis |
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2025/6. It may be subject to change in subsequent years. |
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