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This course/examination is part of the module(s) listed below. Please check the relevant examination regulations to determine whether a module is classed as a compulsory, elective compulsory, or elective module in your degree program. The learning objectives are given in the module description, which can be viewed by clicking on the module number.

Module number (link to module description) Module title Module coordinator ECTS credits for module


Course no.: Exam no.:
82-021-FBK03-S-VL-0507.20191.001
Course title: Exam title:
Financial Modeling
Kategorie:
Lecture
Language of lesson:
Englisch
Date:
4/24/2019 - 7/10/2019
Organizer:
Wirtschaftswissenschaftliche Fakultät
Lecturer: Examiner:
Schmid Peter Alfons
Exam type:
end-of-semester examination
Exam mode:
Klausur
Max. number of participants:
60 unlimited
Type of studies:
Learning objectives:
The course offers an introduction to the evaluation and application of Elementary Financial Assets. It consists of lectures and workshops. After every lecture there is the corresponding workshop:
In the lectures students should become familiar with the (subjective) evaluation of risky assets, the portfolio theory, event studies and the popular value at risk concept.
In the workshops students should learn to apply these theoretical models in Excel and R.
Content/topics:
Subjective evaluation of risky assets
- Expected utility hypothesis, risk premium
- Alternatives to the expected utility hypothesis
Portfolio theory
- Returns and risks of portfolios of risky and risk free assets
- Construction of the mean variance envelope
Factorial Asset Pricing Models
- Capital Asset Pricing Models
- Arbitrage Price Theory
- Black Littermann Approach to Portfolio Theory
Event studies: Modeling and Application
Value at Risk: Evaluation and application
Recommended prerequisites:
Microeconomics I, Mathematics
E-learning offer (URL):
Literature:
Simon Benninga, Financial Modeling, The MIT Press, Cambridge Mass., 4th ed. 2014.
George Pennachi, Theory of Asset Pricing, Addison and Wesley, Boston, 2007.
Phillipe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, 3rd ed., 2006.
Teaching and learning formats/course types:
Lecture + Workshop
Registration from… to:
3/12/2019 -
Last possible date of deregistration:
Status:
Closed
Comments:
The second lecture (t.b.a.) will be given by visiting professor Shusen Qi, Ph.D., from Xiamen University. His lecture introduces the valuation of long term assets, both equity and bonds. The date of this lecture is not fixed yet.
Room:
Scheduled event/examination dates 
Date / Time Room Lecturer Comment
Wed 24.04.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
Wed 08.05.2019 12:15 - 2:00 PM HB-112
Visiting Professor Shusen Qi
Wed 08.05.2019 14:15 - 4:00 PM HB-112
Visiting Professor Shusen Qi
Wed 08.05.2019 16:15 - 6:00 PM HB-112
Visiting Professor Shusen Qi
Wed 15.05.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
Wed 29.05.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
Wed 05.06.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
Tue 25.06.2019 14:00 - 6:00 PM HB-013 Schmid, Peter Alfons
Wed 26.06.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
Wed 03.07.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
Wed 10.07.2019 10:15 - 3:45 PM HB-112 Schmid, Peter Alfons
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