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2017/2018  KAN-CCMVV2006U  Financial Models in Excel and VBA

English Title
Financial Models in Excel and VBA

Course information
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
  • Peter Raahauge - Department of Finance (FI)
Further information: https:/​/​studentcbs.sharepoint.com/​CEMS/​Pages/​Valgfag-paa-CBS_DK.aspx
Main academic disciplines
  • Finance
Last updated on 30-06-2017

Relevant links
Learning objectives
To achieve the grade 12, students should meet the following learning objectives with no or only minor mistakes or errors: Use Excel, VBA, and the methods used in the course-exercises to solve problems similar or slightly different from the problems solved in exercises of the course.
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.

Note that it is not possible to write a term paper in this course.
Examination
Financial Models in Excel and VBA:
Exam ECTS 7,5
Examination form Written sit-in exam on CBS' computers
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
Aids Limited aids, see the list below:
The student is allowed to bring
  • USB key for uploading of notes, books and compendiums in a non-executable format (no applications, application fragments, IT tools etc.)
  • Any calculator
  • Books (including translation dictionaries), compendiums and notes in paper format
The student will have access to
  • Access to CBSLearn
  • Access to the personal drive (S-drive) on CBS´ network
  • Advanced IT application package
At all written sit-in exams the student has access to the basic IT application package (Microsoft Office (minus Excel), digital pen and paper, 7-zip file manager, Adobe Acrobat, Texlive, VLC player, Windows Media Player). PLEASE NOTE: Students are not allowed to communicate with others during the exam : Read more about exam aids and IT application packages here
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

 

Exam answers are handed in in Excel files.
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 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. Factor Models
  7. European, American, and Bermuda options in binomial grids.
  8. Black-Scholes and implied volatility
  9. Volatility predictions (Moving average, ARCH, GARCH)
  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 and VBA 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.
Feedback during the teaching period
For the main part, the physical lectures will be used for interaction with the students, where individual questions and problems are discussed and solved.
Student workload
Course Introduction and explanation of the "flipped classroom" tea 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 Modelling

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

Notes and exercises
Last updated on 30-06-2017