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2012/2013  KAN-CM_SU06  Topics in Finance

English Title
Topics in Finance

Course information

Language English
Exam ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration Summer
Course period Summer
NOTE: The course schedule is at the moment ONLY available at www.cbs.dk/summer
Time Table Please see course schedule at e-Campus
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Faculty - Nektarios Aslanidis, Universitat Rovira i Virgili
    Patricia Plackett - Department of Operations Management
Main Category of the Course
  • Finance
Last updated on 21-11-2012
Learning objectives
At the end of the course students should be able to:
  • compute the Net Present Value of an investment project and apply the main investment evaluation criteria
  • have mastered the quantitative techniques required in order to analyze issues in asset pricing and market finance
  • be familiar with recent empirical findings based on financial empirical models
  • have gained valuable insights into the functioning of financial markets
  • measure the risk of a financial investment portfolio
  • understand some of the key practical issues in the modeling of key financial market variables such as asset prices, risk and dependence
  • use the econometrics software Gretl
Undergraduate finance and statistics/econometrics
Topics in Finance
4-hour written exam:
Type of test Written Exam
Marking scale 7-step scale
Second examiner No second examiner
Exam period Summer Term
Aids Closed Book
Duration 4 Hours

Answer any FOUR questions out of SIX (4 x 25 = 100 marks).

Course content
Although quantitative methods in economics are often associated with analyzing problems such as economic growth, consumption and investment, the applications in the areas of finance have grown rapidly in the last few decades.
This course provides the quantitative techniques required to analyze theoretical and empirical issues in finance. 
The course covers the following topics: valuation of bonds and stocks (Net Present Value, annuities and perpetuities, valuing bonds); statistical properties of financial data (stylised facts about financial data, distribution of asset returns, time dependency); models of time-varying expected returns (univariate time series models (ARMA), applications to finance); risk measurement and investment decisions (the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), empirical tests of CAPM and APT); models of time-varying risk (modelling volatility (GARCH), asymmetric shocks and the leverage effect); asset allocation (multivariate volatility models, models of financial market correlations and dependence).
Teaching methods
This subject will be taught via lectures (50%) and seminars (50%). In the seminars, the students will learn using the econometrics software Gretl (available free from the internet.
Expected literature
 Required course readings and literature:
Brooks C. (2008), Introductory Econometrics for Finance, 2nd edn, Cambridge University Press. Chapters 2, 3, 4, 5, 7, 8.
  • Aslanidis N. and C. Savva (2011), Are there still portfolio diversification benefits in Eastern Europe? Aggregate versus sectoral stock market data, The Manchester School, forthcoming.
  • Bauwens L., S. Laurent and J. Rombouts (2006), Multivariat GARCH models: a survey, Journal of Applied Econometrics21, 79-109.
  • Cappiello L., R.F. Engle and K. Sheppard (2006), Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics4, 537-572.
  • Engle R.F. (2001), Financial econometrics: A new discipline with new methods, Journal of Econometrics100,53-56.
Last updated on 21-11-2012