units

AFX4030

Faculty of Business and Economics

18 September 2017 02 May 2024
Monash University

Undergraduate, Postgraduate - Unit

This unit entry is for students who completed this unit in 2012 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

print version

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered, or view unit timetables.

LevelUndergraduate, Postgraduate
FacultyFaculty of Business and Economics
OfferedClayton First semester 2012 (Day)

Synopsis

Topics include consumption-based asset pricing models , two beta ICAPM, intertemporal asset pricing models, modelling for mutual and hedging funds, credit risk models, modelling correlated defaults, term structure of default probability, credit derivatives, credit default swaps, collateralised debt obligations, asset value models.

Outcomes

The learning goals associated with this unit are to:

  1. apply advanced knowledge and skills in the use of Excel and Visual Basic
  2. develop advanced skills in the design and implementation of efficient and robust financial models such as option pricing, portfolio and interest rate models
  3. apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with advanced modelling in finance and demonstrate in an individual summative assessment tasks the acquisition of a comprehensive understanding of the topics covered by AFX4030.

Assessment

Within semester assessment: 50%
Examination (3 hours): 50%

Chief examiner(s)

Professor Francis In

Contact hours

3 hours per week

Prerequisites

Students must be enrolled in course 0181 or 0171 or 4416 to undertake this unit.