Daniel Caraway

Daniel Caraway

I put the fun in functions.

MSDS FIN 654: Financial Analytics

2 minute read

Financial Analytics

MSDS (MBA) - Q5: FIN654

Description:

This course is designed for analysts interested in pursuing a career in financial services with an emphasis on business analytics. Financial services traditionally includes banking, insurance, securities markets, and regulators. However, financial services are also found in organizational treasuries, departments of finance, CFO offices, investor relations, and any project where budgets, valuations, road maps, planning, and process efficiency require future projections of cash flows, growth rates, risk, and return.

An introduction to methods and tools useful in decision-making in the financial industry, which may from time to time include: macroeconomic event studies, analysis of term structures, equity data analysis, style analysis, credit risk, extreme value analytics, trading analytics, volatility measurement, portfolio management, and enterprise risk management.

Learning Goals

Linear algebra, calculus, Boolean logic, numerical methods, optimization, and programming languages are not strictly pre-requisites. However, work in these areas enhances one’s numeracy, that is, capability to abstract complex, ill-posed business problems into tractable systematic models of behavior often mathemat- ically expressed.

Throughout the course we will use technically accurate notions of simultaneous equations, optimization of single and multiple variable functions, cumulants (summation and aggregation), probability statements (for quantiles, confidence intervals, and hypothesis testing), linear model formulation and interpretation, random sampling, Monte Carlo simulation and bootstrapping. The course will introduce and review these areas as they emerge in financial analytic topics.

Deliverables:

Class Outline:

Assessments

  • Assignment 1: Team Project 1
  • Assignment 2: Team Project 2
  • Assignment 3: Team Project 3
  • Assignment 4: Team Project 4
  • Assignment 5: Personal Project
  • Assignment 6: Participation - Asynchronous Unit 1
  • Assignment 6: Participation - Asynchronous Unit 2
  • Assignment 6: Participation - Asynchronous Unit 3
  • Assignment 6: Participation - Asynchronous Unit 4
  • Assignment 6: Participation - Asynchronous Unit 5
  • Assignment 6: Participation - Asynchronous Unit 6

Unit 1 | R Startup

  • 1.1 Week 1 Readings
  • 1.2 Exercise: Imagine This
  • 1.3 Exercise: Hot and Cold Running Resources
  • 1.4 Exercise: Tickle the Ivories
  • 1.5 Exercise: Build Some Character
  • 1.6 Exercise: The Plot Thickens
  • 1.7 Exercise: An Array of Good Things to Come
  • 1.8 What Have We Done This Week?

Unit 2 | R Data Model

  • 2.1 Week 2 Readings
  • 2.2 Exercise: Previously on Financial Analytics
  • 2.3 Exercise: Pivot and Parry
  • 2.4 Exercise: What’s a Function?
  • 2.5 Exercise: Make Distributions
  • 2.6 Exercise: Last But Not Least
  • 2.7 The Wrap

Unit 3 | Macrofinancial Analysis

  • 3.1 Week 3 Readings
  • 3.2 Exercise: Imagine This
  • 3.3 Exercise: Stylized Facts
  • 3.4 Exercise: Getting Caught in the Crosscurrent
  • 3.5 Exercise: Time is On Our Side
  • 3.6 Exercise: Give It the Boot
  • 3.7 The Wrap

Unit 4 | Market Risk

  • 4.1 Week 4 Readings
  • 4.2 Exercise: Imagine This
  • 4.3 Exercise: History Speaks
  • 4.4 Exercise: Now to The Matter at Hand
  • 4.5 Exercise: Carl Friedrich Gauss, I Presume
  • 4.6 Exercise: Let’s Go to Extremes
  • 4.7 All Together Now
  • 4.8 The Wrap

Unit 5 | Portfolio Analytics

  • 5.1 Week 5 Readings
  • 5.2 Imagine These Scenarios
  • 5.3 Exercise: Let’s Walk Before We Run
  • 5.4 Exercise: Let’s Keep Moving On
  • 5.5 Exercise: Now to Fulfill Our Optimized eExperience
  • 5.6 The Wrap

Unit 6 | Enterprise Risk Analytics

  • 6.1 Week 6 Readings
  • 6.2 The Problem with Enterprise Risk
  • 6.3 Exercise: Let’s Make Copulas
  • 6.4 Exercise: Skylar’s in the House
  • 6.5 Exercise: Risk Measures
  • 6.6 We Can
  • 6.7 What Have We Done This Week?

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