Study Programmes 2016-2017
Financial Data Modeling and Analysis
Duration :
30h Th
Number of credits :
Master in economics : general (120 ECTS)5
Master in business engineering (120 ECTS)5
Lecturer :
Laurent Bodson
Language(s) of instruction :
English language
Organisation and examination :
Teaching in the first semester, review in January
Units courses prerequisite and corequisite :
Prerequisite or corequisite units are presented within each program
Learning unit contents :
Organization and Contents
A. MATLAB, Excel... for financial modeling
B. Financial statement forecasting
1. Review of theory and concepts 2. Modeling examples
C. Time Value of Money
D. Bond models
3. Modeling the term structure 4. Duration 5. Bond pricing
E. Equity models
6. Simulating stock prices
F. Portfolio models
7. Efficient portfolios 8. Estimating betas (+Kalman filter) 9. Black-Litterman 10. Value-at-Risk
G. Option-pricing models
11. Binomial option pricing 12. Black-Scholes model 13. Option Greeks 14. Portfolio insurance
Learning outcomes of the learning unit :
This course introduces the foundations for financial models and their applications using IT solutions. It emphasizes three aspects of each model: its set of assumptions, its specification and its applications. Its primary goal is to demonstrate how various financial models can be practically incorporated into companies' strategic decision making and risk management. Intended Learning Outcomes addressed by the courses :
  • Strengthening knowledge and understanding of basic management disciplines in order to use them to perform a rigorous analysis of a management situation and provide pertinent solutions
  • Gaining the knowledge and understanding of one of the following fields: supply chain management, financial engineering, performance management systems or intrapreneuriat; being able to mobilize them in order to solve concrete management problems or cases
  • Capacity to research autonomously and methodically the information needed to solve a complex, transversal management problem, to perform a rigorous analysis of it and to suggest pertinent solutions
  • Understanding and being capable of using modelization methods when seeking a solution for a concrete management problem
  • Providing concrete solutions to a management problem, integrating a dimension of technology, innovation or production
  • Developing a critical sense (arguing)
  • Developing a transversal, global vision
Prerequisite knowledge and skills :
This course requires basic prerequisites in corporate finance, portfolio management and derivative instruments. Familiarity with the cash flows discounting approach and basic statistical techniques (e.g. descriptive statistics, hypothesis testing and linear regression) is assumed but these concepts will be "refreshed".
Planned learning activities and teaching methods :
Ex-cathedra lectures (theory), group presentations, case studies, exercises and financial simulations.
Mode of delivery (face-to-face ; distance-learning) :
Recommended or required readings :
Suggested notes: - Financial Modeling using Excel and VBA, Chandan Sengupta, Wiley Finance, 2004. - Financial Modeling - 3rd Edition, Simon Benninga, MIT Press, 2008.
Assessment methods and criteria :
Case studies:
  • collective works 1/3
  • participation in class 2/3
Relative weighting of the individual assessment : 66%.
Work placement(s) :
Organizational remarks :
Contacts :
Affiliate Professor: