2015/2016
KAN-CCMVV2006U Financial Models in Excel and VBA
| English Title |
| Financial Models in Excel and
VBA |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Elective |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Start time of the course |
Autumn |
| Timetable |
Course schedule will be posted at
calendar.cbs.dk |
| Max. participants |
100 |
| Study board |
Study Board for MSc in Economics and Business
Administration
|
| Course
coordinator |
- Claus Parum - Department of Finance (FI)
|
Teacher: Peter
Raahauge - pr.fi@cbs.dk
Kontaktinformation:
https://e-campus.dk/studium/kontakt
eller Contact information:
https://e-campus.dk/studium/kontakt |
| Main academic
disciplines |
|
|
|
Last updated on
02-03-2015
|
| Learning objectives |
| To achieve the grade 12, students
should meet the following learning objectives with no or only minor
mistakes or errors: The student should be able to implement
correctly in Excel and VBA the right method for solving the
questions asked at the exam. |
| Course prerequisites |
The course is oriented towards a
master-students with solid quantitative skills and the following
background:
1. Master course in portfolio theory,
2. Master course in bond and option analysis
3. Undergraduate course in statistics
4. Math course in optimization and basic matrix algebra.
Due to overlap, students cannot follow both this course and
Financial Models in Excel. |
| Examination |
|
Financial
Models in Excel and VBA:
|
| Exam ECTS |
7,5 |
| Examination form |
Written sit-in exam |
| Individual or group exam |
Individual |
| Assignment type |
Written assignment |
| Duration |
4 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Winter |
| Aids allowed to bring to the exam |
Limited aids, see the list below:
- Written sit-in-exam on CBS' computers
- Books and compendia brought by the examinee
- Allowed dictionaries
- Allowed calculators
- Notes in paper format brought by the examinee
- Access to personal drive (S-drive) on CBS' network
- USB key to upload your notes before the
exam
|
| Make-up exam/re-exam |
Same examination form as the ordinary exam
If the number of registered candidates for the make-up
examination/re-take examination warrants that it may most
appropriately be held as an oral examination, the programme office
will inform the students that the make-up examination/re-take
examination will be held as an oral examination
instead.
|
Description of the exam
procedure
PC exam on CBS computers without print.
Hand in on CD-ROM provided by CBS.
It is not allowed to bring your own PC and printer.
No access to the internet and Learn.
Access to personal S:/drive.
Before the exam starts information can also be uploaded from a
USB-key to PC, then the USB-Key should be put away during
exam.
|
|
| Course content and
structure |
|
The aim of the course is to provide capabilities of practical
implementation of financial theory using real world data.
Compared to Financial Models in Excel, the course utilizes the
the students quantitative skills and VBA to a greater extend.
The course is very exercises based, and the main workload consists
of solving exercises in Excel for each of the 14 topics dealt with
during the course.
The course provide lectures online as screencasts and
physical lessons. The former will assist the students understanding
and ability to solve the exercises. The latter will be driven
by problems and questions raised by the students.
The 14 topics/exercises dealt with in the course are as
follows:
- Introduction to Excel and VBA for basic financial problems
- Monte Carlo, return properties, and portfolios.
- Portfolio choice under parameter uncertainty
- Robust portfolio choice
- CAPM and factor models
- Performance evaluation of investment funds.
- Black-Scholes and implied volatility
- Volatility predictions (Moving average, ARCH, GARCH)
- European, American, and Bermuda options in binomial grids
- European and Asian option prices based on Monte Carlo
- Bonds and immunization strategies
- Term structure estimation and advanced immunization
- Interest rates in binomial grids and callable bond prices
- Risk Management
|
| Teaching methods |
The course is very exercises based,
and the main workload consists of solving exercises in Excel for
each of the 14 topics dealt with during the course.
The course provide lectures online as screencasts and physical
lessons. The former will assist the students understanding and
ability to solve the exercises. The latter will be driven by
problems and questions raised by the students. |
| Student workload |
| On average, each of the 14 topics are assumed to require around
2 days of full time work (15 hours) |
210 hours |
| Course overhead and exam preperation |
30 hours |
|
| Further Information |
|
Term papers are not allowed due to the special nature of the
course
|
| Expected literature |
|
Simon Benninga, Financial Modelling
- ISBN-10:0262027283
- MIT Press
- 4. edition
Notes and exercises
|
Last updated on
02-03-2015
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