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xxx11 Financial Modelling



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. 


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.


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.


  • 4-hour individual exam under attendance.

Tillatte hjelpemidler til eksamen

  • All resources.