2024/2025
Количественные методы в экономике
Статус:
Маго-лего
Кто читает:
Банковский институт
Когда читается:
1, 2 модуль
Охват аудитории:
для своего кампуса
Язык:
английский
Кредиты:
6
Контактные часы:
72
Course Syllabus
Abstract
No financial analysis is possible without use of quantitative methods, and mastering them is crucial to be able to keep focus on economic background of the problem rather than technicalities. Selection of efficient quantitative techniques, performance of correct calculations, and provision of adequate economic interpretation of the results, all are integral parts of investment decision-making process, both in corporate finance and at financial markets.
The program presents the fundamentals of some quantitative techniques essential in financial analysis which would be further applied in many parts of the Financial Analyst program, including Corporate Finance, Financial Markets: Equities and Debt, Portfolio Management, Forecasting in Economics and Finance, Business Valuation, Venture Capital, Risk Management.
The first part of the program covers the time value of money concepts and quantitative techniques applied in decision-making process in corporate finance and valuation of various financial instruments (stocks, bonds etc.), as well as probability approach to financial data analysis (risk, return etc.).
The second part introduces statistical approach to financial analysis and decision-making, including estimation of investment risk and returns, testing related hypotheses and economic interpretation of the test results.
The program is based on Chartered Financial Analyst (CFA) curriculum.
Learning Objectives
- The course aims to provide students the quantitative skills, which are value to financial analysts in both an academic and vocational setting. In particular the course has the following objectives: • to give students a comprehensive understanding of time value of money, probability, statistical, sampling, estimation and hypothesis testing concepts; • to develop students’ ability to apply quantitative techniques to the real-world economic cases; • to provide students with the ability to identify issues and assumptions underlying quantitative analysis.
Expected Learning Outcomes
- apply sampling and use sample information to estimate the population parameters;
- understand and apply the probability tools needed to frame and address many real-world problems involving risk;
- understand probability distributions and perform their investment uses;
- understand the framework of hypothesis testing and make judgements about the population in the basis of a sample analysis.
- solve time value of money problems and use it applications in equity, fixed income, and derivatives analysis
- use statistical methods as a powerful set of tools for analyzing data and draw conclusions
- apply the probability tools needed to frame and address many real-world problems involving risk
- use probability distributions and perform their investment uses
- apply sampling and use sample information to estimate the population parameters
- undеrstand the framework of hypothesis testing and make judgements about the population in the basis of a sample analysis
- solve time value of money problems and use it applications in equity, fixed income and derivatives analysis
Course Contents
- Rates and returns
- Time value of money
- Statistical measures of asset returns
- Probability trees and conditional expectations
- Portfolio mathematics
- Probability distributions and Applications:
- Simulation methods
- Sampling and estimation:
- Hypothesis testing:
Assessment Elements
- Midterm intermediate testThe midterm test is held offline in SMART LMS and consists of 20-25 problems similar covering Chapters 1 , 2, 3 and 4 of the program (4-6 problems per chapter). There are essentially three problem types aimed at testing knowledge of definitions, understanding of concept, knowledge of formulas / ability to make calculations. Each problem provides several choices of answer or requires a short numerical answer.
- HomeworkHomework represents a mini-case that should be analyzed with the techniques introduced in the program. Results are presented as an Excel spreadsheet supplemented with a short report in pdf.
- Final ExamThe exam is held offline in SMART LMS and consists of 40-50 problems covering all the chapters of the program (5-8 problems per chapter). There are essentially three problem types aimed at testing knowledge of definitions, understanding of concept, knowledge of formulas / ability to make calculations. Each problem provides several choices of answer or requires a short numerical answer.
Interim Assessment
- 2024/2025 2nd module0.5 * Final Exam + 0.2 * Homework + 0.3 * Midterm intermediate test
Bibliography
Recommended Core Bibliography
- Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, & David E. Runkle. (2007). Quantitative Investment Analysis: Vol. 2nd ed. Wiley.
Recommended Additional Bibliography
- Frank J. Fabozzi, Sergio M. Focardi, & Petter N. Kolm. (2010). Quantitative Equity Investing : Techniques and Strategies. Wiley.
- Richard Brealey, Stewart Myers, & Franklin Allen. (2020). ISE EBook Online Access for Principles of Corporate Finance: Vol. Thirteenth edition. McGraw-Hill Education.