2021/2022 xxx11 Financial Modelling Læringsutbytte Knowledge Upon completion of the course, the student can: review the characteristics of a good risk and return model, describe and compare models for measuring market risk and return, explain the principles of portfolio management, review various debt, equity and hybrid financing options available to firms, summarize the main financial risk management instruments, explain key concepts of the term “structure of interest rates” and review the most important findings from research within some topics in the course. Skills Upon completion of the course, the student can: use simulations to model unknown multi-variate distributions, measure the risk of portfolios using a number of different approaches/measures, value a firm and its equity using different valuation methods, manage financial risk, price futures, options and other derivatives in accordance with the no-arbitrage principle, apply Monte Carlo simulation to compute option prices, implement trading strategies and demonstrate appropriate numeracy skills by doing applied research. General competence Upon completion of the course, the student can: advise and assist firms in their financing decisions, compose plans for funding and strategies for firms, assess, evaluate and apply the key features of different derivative/risk management instruments and debate findings from research on financial modelling with peers. Innhold The following topics are covered. Risk portfolio: Theory and risk diversification, CAPM, empirical tests of EMH and CAPM Capital structures: Type of financing, optimal financial mix Valuation: Principles and practice Risk management: Forwards, futures and options Modelling volatility and correlation: Implied volatility, realized volatility and correlation, volatility forecasting (ARCH, GARCH, HAR-RV), VaR forecasting (including the use of quantile regression) Arbeids- og undervisningsformer The following teaching methods are used, Lectures Exercise sessions Tutorial videos Case studies Quizzes Obligatoriske krav som må være godkjent før eksamen kan avlegges Students must pass three out of four mandatory course requirements to be allowed to take the exam. 50% attendance in classes is required. Eksamen 4-hour individual exam under attendance. Tillatte hjelpemidler til eksamen All resources.