ECON6038 (EC75A) Darron Thomas (876)512-3410 SAMB - Room 10 Mon 3-5pm, Wed 1-3pm, by Appt

ECON6039 : Financial Economics II

Course Description  This course is designed to expose students to the main theoretical as well as empirical issues in the literature. In addition, the course covers how to measure and compute value at risk. Particular emphasis will be placed on empirical research as well as the main controversies in the literature. At the end of the course students will have a good knowledge of how to evaluate and forecast risk and they should be able to critically assess empirical studies. Students who are interested in pursuing their doctoral degrees will fund this course substantially useful  While there is a reference text for this course, the course material will come primarily from journal articles and lectures that will be held to cover the more complex material and to introduce students to the main subject matter. However, class sessions will consist mainly of students’ presentations of assigned journal articles. Students will be required to submit papers summarizing the main ideas covered in the articles as well as clearly outlining areas for future research.  The theoretical part of this course is informative which will enable students to enhance their abilities to complete their papers they started in the last semester (Financial Economics I). I expect that students will be submitting their papers to refereed journals for publication at the end of the semester; however, I will schedule each student’s paper for presentation in faculty seminar series starting February 2007. Therefore, all students should be sure that they have completed their paper by the first week of February 2007.  PRE-REQUISITES: Financial Economics I (EC75A) and Knowledge of basic econometrics (EC65A and EC65B) will be assumed. NOTE: I reserve the right to change the course outline, or the sequence of presentations without notice.    Reading List 1. The text for the course is "Value at Risk, Second Edition" Jarion.  2. Assigned List of Journal Articles  3. Suggested Journal Articles in Reference Library  Course Assessment 1.   Presentations of  your paper in faculty seminar series                              14 %  2.   Presentation of journal articles from the assigned list                                36 %  3.   Final examination from the material covered in class                               50 NOTE: 1.      Each student is required to submit a print out-of the summary of a journal article assigned prior to start of presentation. This is standard requirement that you have to adhere to else I would not know where to record your grade. Each presentation should be a power point presentation, and you have to answer all questions on your presentation to obtain full points. Moreover, before the end of the semester, I would like you to submit soft copies of your journal article summaries as well as power point presentations in a readable CD. No grade will be assigned if the CD is not readable.   2.      Each student is required to present his/her paper in faculty seminar series in the Department of Economics. Thereafter, you are required to submit your data, wok files, programs, and soft copies of your papers in a CD that is readable (I repeat your CD should be readable). However, if your CD is not readable, you will not get your final grade.  Course Outline 1. Efficient Markets Hypothesis  2. Risk and Return : Capital Asset Pricing Model (CAPM)  3. Arbitrage Pricing Theory (APT)  4. Measuring and computing Value at Risk  5. Stress Testing and Back testing  6. Forecasting Risks and Correlations  7. Corporate Finance: Modigliani-Miller theorem