Unit information: Quantitative Methods for Finance 2 in 2022/23

Unit name	Quantitative Methods for Finance 2
Unit code	EFIM30054
Credit points	20
Level of study	H/6
Teaching block(s)	Teaching Block 1 (weeks 1 - 12)
Unit director	Professor. Chris Brooks
Open unit status	Not open
Units you must take before you take this one (pre-requisite units)	Quantitative Methods for Finance 1 Financial Data
Units you must take alongside this one (co-requisite units)	None
Units you may not take alongside this one	None
School/department	School of Accounting and Finance - Business School
Faculty	Faculty of Social Sciences and Law

Unit Information

This unit focusses on techniques and topics that are specific to Finance. It will have a much more time-series flavour than QMF1. The unit will be built around a mix of Finance and econometric topics.

Finance topics can include:

• Review and empirical tests of asset pricing models; Valuation models and the equity premium; Tests of interest rate parity and forward rate unbiasedness; Tests of market efficiency and anomalies; Rational bubbles and learning;
• Covariance matrix estimation
• Applications of linear factor models
• Introduction to univariate and multivariate volatility models (ARCH, GARCH).
• Forecasting models and evaluation of forecasts.
• Stationary VARs; Models for nonstationary variables: cointegration and error correction.

Your learning on this unit

Students will be able to:

1. Understand the nature of risk in financial markets and the techniques used by investors and managers to control it
2. Understand the relationship between financial theory and empirical testing
3. Locate, extract data and manipulate financial data from multiple sources, including acknowledging and referencing of sources
4. Evaluate structured and unstructured problems from a given dataset
5. Critically evaluate arguments and evidence
6. Solve problems relating to time series econometrics.

How you will learn

Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in sessions, discussion boards and other online learning opportunities.

How you will be assessed

Formative assessment

A mix of classroom practice questions and computer-based assignments involving actual financial data.

Summative assessment

2.5 hour closed book exam. This assesses all learning outcomes.

Resources

If this unit has a Resource List, you will normally find a link to it in the Blackboard area for the unit. Sometimes there will be a separate link for each weekly topic.

If you are unable to access a list through Blackboard, you can also find it via the Resource Lists homepage. Search for the list by the unit name or code (e.g. EFIM30054).

How much time the unit requires
Each credit equates to 10 hours of total student input. For example a 20 credit unit will take you 200 hours of study to complete. Your total learning time is made up of contact time, directed learning tasks, independent learning and assessment activity.

See the Faculty workload statement relating to this unit for more information.

Assessment
The Board of Examiners will consider all cases where students have failed or not completed the assessments required for credit. The Board considers each student's outcomes across all the units which contribute to each year's programme of study. If you have self-certificated your absence from an assessment, you will normally be required to complete it the next time it runs (this is usually in the next assessment period).
The Board of Examiners will take into account any extenuating circumstances and operates within the Regulations and Code of Practice for Taught Programmes.