FBE 443

FBE 443 - FBE 443 INTRODUCTION TO FORECASTING AND RISK...

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FBE 443 INTRODUCTION TO FORECASTING AND RISK ANALYSIS Selo İ mrohoro ğ lu http://www-rcf.usc.edu/~simrohor/main.html COURSE SYLLABUS Spring 2008, HOH 301, MW 2:00 – 3:50 pm Professor Selo İ mrohoro ğ lu Office: Hoffman Hall 720 Phone: 213-740-6546 Fax: 213-740-6650 E-mail: selo@marshall.usc.edu OFFICE HOURS Office hours are 11:00-12:00 am on Monday and Wednesday, or by appointment. I am around most of the time but I strongly advise that you get in touch with me ahead of time if you want to talk to me outside of class and outside of my office hours. Just let me know when you want to talk to me so we can set up an appointment. COURSE PREREQUISITES I will assume that the student is familiar with basic statistics (BUAD 310) and finance (BUAD 306) concepts. In addition, we will go much deeper into some of the quantitative tools of mathematics and statistics as they are applied in portfolio management and economic consulting, and therefore we will cover some advanced reading material. This effort will require at least high school level algebra and statistics. We will spend some time reviewing these tools. COURSE OBJECTIVES FBE 443 is an upper level Finance elective course that aims to develop the econometric tools used in many practical problems of modern economics and finance . The course will combine economics, finance and statistics to put together a working toolset for estimating and forecasting objects such as sales, housing starts, demand for a product, business cycles, equity returns, and return covariances and variances. Practitioners in the financial sector can use the quantitative tools developed in this course to estimate various asset pricing models and obtain estimates of asset return correlations and volatility. This “covariance matrix” is a necessary input for many critical decisions in capital structure, optimal asset allocation, risk management of portfolios and derivatives pricing. Economic consultants can use the techniques covered in this course to make statements about sales and demand for various products and services. The course will combine theory and computer applications, with a bias toward the latter, and develop applied tools that are currently in use in the investment banking, management, and business and economic consulting areas .
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REQUIRED COURSE MATERIAL Required Textbook: Chris Brooks (2002), Introductory Econometrics for Finance , (1st edition) Cambridge University Press. I will also cover parts of Bob Litterman (2003), Modern Investment Management: An Equilibrium Approach , John Wiley and Sons, Inc. Required Articles: 1. John Cochrane (1999), “New Facts in Finance”, Federal Reserve Bank of Chicago, Economic Perspectives , Third Quarter 1999. 2.
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FBE 443 - FBE 443 INTRODUCTION TO FORECASTING AND RISK...

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