MGTA 632

This course provides an overview of Business Analytics tools applied to finance. We explore analytical tools such as time series analysis applied to financial markets. In particular, we broadly focus on financial decisions involving portfolio selection, risk measurement, risk management, hedging, and other financial modeling decisions involving equity, fixed income and derivative markets. Topics include CAPM and Fama-French 5-factor asset pricing models, portfolio theory, liquidity risks and measurement, options and futures, credit analytics, VaR (Value at Risk), and Monte Carlo Simulation. We focus on R programming to download and process financial and economic data from various sources, such as WRDS, Bloomberg and also publicly available sources such as Yahoo! Finance, Google Finance, FRED (Federal Reserve Bank’s Economic Data Library), and SEC.