Undergraduate, Postgraduate - UnitBFX4030 - Advanced modelling in finance

This unit entry is for students who completed this unit in 2015 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.

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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.

Level	Undergraduate, Postgraduate
Faculty	Faculty of Business and Economics
Organisational Unit	Department of Banking and Finance
Offered	Caulfield First semester 2015 (Day)

Synopsis

This unit has two key components. The first half covers aspects of theoretical and empirical financial modelling, including modelling the stock price behaviour, consumption-based asset pricing models, multifactor models, two beta, ICAPM, intertemporal asset pricing models, mean-variance frontier and beta representations, bayesian alphas and mutual fund persistence, a bayesian and bootstrap analysis, performance measures of the hedge fund returns. The second half covers technical skills in building Excel models to solve problems in Finance. The aim is to bridge the gap between financial theory and practice. To achieve this, students will learn modelling skills in Excel and be introduced to VBA programming concepts and techniques.

Outcomes

The learning goals associated with this unit are to:

apply advanced knowledge and skills in the use of Excel and Visual Basic
develop advanced skills in the design and implementation of efficient and robust financial models such as option pricing, portfolio and interest rate models
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 BFX4030.

Assessment

Within semester assessment: 50%
Examination: 50%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

Chief examiner(s)

Associate Professor Cameron Truong

Co-requisites

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

Prohibitions

AFX4030