Магистратура
2021/2022
Количественные методы в экономике и финансах
Статус:
Курс обязательный (Финансы)
Направление:
38.04.08. Финансы и кредит
Кто читает:
Банковский институт
Где читается:
Банковский институт
Когда читается:
1-й курс, 1 модуль
Формат изучения:
с онлайн-курсом
Онлайн-часы:
14
Охват аудитории:
для своего кампуса
Преподаватели:
Шелике Аяна Георгиевна
Прогр. обучения:
Финансы
Язык:
английский
Кредиты:
6
Контактные часы:
10
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;
- On successful completion of the course, students should be able to: solve time value of money problems and use it applications in equity, fixed income, and derivatives analysis;
- 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.
- use statistical methods as a powerful set of tools for analyzing data and draw conclusions;
Course Contents
- The time value of money, money market yields
- Discounted cash flows applications, portfolio return management
- Statistical concepts and market returns
- Probability concepts, portfolio expected return and variance of return
- Common probability distributions
- Sampling and estimation
- Hypothesis testing
Assessment Elements
- Mid-term examThe intermediate test consists of 20-25 problems similar to CFA Level 1 covering Chapters 1 and 2 of the program (10-15 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 three choices of 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 Word or PowerPoint.
- final examThe exam is held in a written form and consists of 40-50 problems similar to CFA Level 1 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 topic of the course will be discussed during contact hours, which will be followed by the practical lessons to provide students with the ability of problem solving.
Bibliography
Recommended Core Bibliography
- DeFusco, R. A., McLeavey, D. W., Pinto, J. E., & Runkle, D. E. (2015). Quantitative Investment Analysis (Vol. Third edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1082450
- Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, & David E. Runkle. (2007). Quantitative Investment Analysis Workbook: 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.