Course ObjectiveIn this course you will learn about modelling of financial risks and
In the financial modelling module, the central concept is the
relationship between risk and return on financial assets (Knowledge).
The goal of this part of the course is to gain insight into the risk
associated with financial portfolios and investments and to be able to
calculate/estimate such risk on the basis of historical data.
Furthermore, other goal is to learn how to construct portfolios on the
basis of mean-variance optimization and how to benefit from
diversification possibilities. Finally, another goal is to learn how to
compute expected returns on investments and the cost of capital on the
basis of the Capital Asset Pricing Model and multifactor models
In the derivatives module, the goal is to gain insight into various
financial derivatives such as futures and options, their properties,
valuation and risks associated with them (Knowledge). Another goal is to
learn how these derivatives can be used to hedge financial risks
Upon accomplishing these goals, you will gain new academic, research and
quantitative skills, as well as develop your professional knowledge in
the area of financial risk and derivatives. Furthermore, by illustrating
the concepts with examples of portfolios, investments and hedging
problems provided by financial institutions, we will bridge the gap
between theory and practice, enabling you to translate theoretical
concepts into practical applications (Bridging theory and practice).
Course ContentIn this course you will be immersed in the world of financial risks and
instruments available to deal with these risks. You will gain a deep
understanding in the relationship between risk and return and in the
concepts of diversification of investment portfolios. You will be able
to calculate various measures of risk, such as volatility and beta, for
portfolios, using historical data and/or information about the current
state of the financial markets and risks associated with individual
investment opportunities. Furthermore, you will be able to calculate the
expected return on companies and their cost of capital. Upon completing
this course, you will know the main types of the financial derivatives
and the ways to calculate their values and risks associated with them.
You will also gain the insights into how these derivatives can be used
to hedge financial risks.
Method of AssessmentWritten exam, two individual assignments
LiteratureJ. Berk and P. DeMarzo, Corporate Finance, Pearson, Global Edition,
chapters 10-13, 20-22.
Recommended background knowledgeFinance I and Quantitative Research Methods I and II.
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. T.C. Dyakov|
|Examiner||dr. T.C. Dyakov|
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Seminar, Lecture, Instruction course|
This course is also available as: