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2016/2017  KAN-CCMVV1616U  Financial Models in Excel (full semester version)

English Title
Financial Models in Excel (full semester version)

Course information
Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Semester
Start time of the course Autumn, Spring
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
  • Peter Raahauge - Department of Finance (FI)
Contact information: https:/​/​e-campus.dk/​studium/​kontakt
Main academic disciplines
  • Finance
Last updated on 01-12-2016
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 implement correctly in Excel the right method for solving the questions asked at the exam.
Course prerequisites
The course is oriented towards a second year master student (at CBS) with the following background:

1. Master course in portfolio theory,
2. Master course in bond and option analysis
3. Introductory course in statistics
4. Basic knowledge about optimization and matrix algebra.

Students at cand.merc.fin cannot follow this course due to overlap. Instead, they are referred to the course Financial Models in Excel and VBA

Due to overlap, students cannot follow both this course and Financial Models in Excel and VBA.

Note that it is not possible to do a termpaper in this course.
Examination
Financial Models in Excel (Full Semester):
Exam ECTS 7,5
Examination form Written sit-in exam
Individual or group exam Individual exam
Assignment type Written assignment
Duration 4 hours
Grading scale 7-step scale
Examiner(s) One internal examiner
Exam period Winter and Summer
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
  • 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.

Exam answers are handed in in Excel files.

No access to the internet or 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.

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 topics/exercises dealt with in the course are as follows:

  1. Introduction to Excel (Names, array functions, matrix/vector calculation, the Excel-solver, regression analysis etc.)
  2. Monte Carlo, return properties, and portfolios.
  3. Traditional Portfolio Theory
  4. Black-Litterman
  5. Empirical tests of the CAPM
  6. Performance evaluation of investment funds.
  7. Black-Scholes and implied volatility
  8. Volatility predictions (Moving average, ARCH, GARCH)
  9. European, American, and Bermuda options in binomial grids
  10. European and Asian option prices based on Monte Carlo
  11. Portfolio choice under parameter uncertainty
  12. Bonds, duration, and immunization strategies
  13. Term structure estimation
  14. Interest rates in binomial grids and callable bond prices
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
Course Introduction 2 hours
14x12 hours work outside classroom (online) with 14 worked examples 168 hours
Scheduled "flipped classroom" classes with instructor 31 hours
Exam preparation 5 hours
Further Information

Term papers are not allowed due to the special nature of the course.
Expected literature

Simon Benninga, Financial Modeling

  • ISBN-10:0262027283
  • MIT Press
  • 4. edition

Notes and exercises
Last updated on 01-12-2016