module specification

FE6055 - Financial and Economic Modelling (2022/23)

Module specification Module approved to run in 2022/23
Module title Financial and Economic Modelling
Module level Honours (06)
Credit rating for module 15
School Guildhall School of Business and Law
Total study hours 150
 
9 hours Assessment Preparation / Delivery
105 hours Guided independent study
36 hours Scheduled learning & teaching activities
Assessment components
Type Weighting Qualifying mark Description
Coursework 100%   Individual Coursework 2000 Words
Running in 2022/23

(Please note that module timeslots are subject to change)
Period Campus Day Time Module Leader
Autumn semester North Thursday Morning
Autumn semester North Monday Afternoon

Module summary

The module develops the students’ understanding of financial and economic modelling using the foundations of econometrics and financial data analysis introduced within the teaching at earlier levels. It provides an in-depth understanding of a wide variety of financial and economic models and their implications by using statistical and econometric software such as EViews. The knowledge and skills embedded within the module are designed to assist students in their efforts to design, undertake and evaluate empirical studies within the field of banking, finance and economics.

Syllabus

  • Review of the Simple Regression Model LO1;LO2
  • Review of the Multiple Regression Model LO1;LO2
  • Univariate Time Series Modelling and Forecasting LO1;LO2
  • Multivariate Models LO1;LO2
  • Modelling Long-Run Relationships in Finance (such as Stationarity and Unit Root Testing, The Cointegrated System) LO1;LO2
  • Modelling Volatility and Correlation (such as ARCH, GARCH Models) LO1;LO2
  • Panel Data Models LO1:LO2
  • Capital Asset Pricing Model, Arbitrage Pricing Theory LO1;LO2
  • Conducting Empirical Research LO3

Balance of independent study and scheduled teaching activity

Delivery of the module will consist of 2-hour lectures and 1-hour seminar where software such as EViews may be employed. The sessions will be student centred. Students will be encouraged to research financial and economic issues from a variety of sources such as Bloomberg, newspapers, textbooks and online sources relevant to their areas of study.

Students are encouraged to reflect on their learning development through participation in feed-forward and feedback sessions.  They are expected to develop subject specific knowledge and skills as well as cognitive abilities and generic skills that enable an appreciation of the nature of the operation of economic and financial modelling.

The virtual learning environment (Weblearn) supports relevant module learning and teaching materials such as lecture slides, seminar questions, guideline instructions for seminar questions, past examination papers, coursework brief, assessment and grading criteria, deadlines and feedback details.

Learning outcomes

On successful completion of this module students will be able to:

  1. Demonstrate a broad knowledge and a systematic understanding of financial and economic models;
  2. Employ financial and economic models using statistical and econometric software such as EViews for the analysis of Time Series, Cross Sectional and Panel Data;
  3. Interpret financial and economic data and carry out statistical and financial analysis for conducting empirical studies.

Assessment strategy

Students will be assessed by means of formative and summative assignments.

Formative assessment will take place in seminars through learning activities on a weekly basis. Students are required to conduct analysis and construct financial and economic models, and formative feedback will be provided to students on an ongoing basis.

Summative assessment will take the form of an end-of-semester individual coursework (100% weighting).

Bibliography

Library Talis Link:
https://rl.talis.com/3/londonmet/lists/A659F1F2-C5F1-B5E5-2BB2-34DAC72AF4F8.html?draft=1&lang=en-GB&login=1

Core Textbook:

Brooks, C. (2019). Introductory econometrics for finance, 4th edition, Cambridge: Cambridge University Press. This is an E-BOOK and hard copies are available at 332.015118 BRO.

Additional Textbooks:

Asteriou, D. and Hall, S. G. (2016). Applied econometrics, 3rd edition, Palgrave Macmillan. This is an E-BOOK. Hard copies are available at 330.015195 AST.

Barrow, M. (2017). Statistics for economics, accounting and business studies, 7th ed., FT Prentice Hall. This is an E-BOOK. Hard copies available at 519.502433 BAR.

Benninga, S. (2014). Financial Modelling, 4th ed., MIT Press, London. Hard copies available at 332.015118 BEN.

Dougherty, C. (2016). Introduction to econometrics, 5th edition, Oxford. Hard copies available at 330.015195 DOU.

Gujarati, D. N. (2015). Econometrics by example, 2nd ed., Palgrave MacMillan. This is an E-BOOK. Hard copies available at 330.015195 GUJ.

Gujarati, D. N. and Porter D. (2010). Essentials of econometrics, 4th ed., McGraw Hill. Hard copies available at 330.015195 GUJ.

Gujarati, D. N. and Porter D. (2009). Basic econometrics, 5th ed., McGraw Hill. Hard copies available at 330.015195 GUJ.

Wooldridge, J. M. (2016). Introduction to econometrics, 4th ed., South Western College Publishing. This is an E-BOOK. Hard copies are available at 330.015195 WOO.