BFC3540 Semester 1(S1-01) 2020 PDF

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Unit Guide 

BFC3540 Modelling in finance Semester 1, 2020 

We acknowledge and pay respects to the Traditional Owners and Elders -past, present and emerging - of the lands and waters on whichMonash Universityoperates.   Handbook link: http://monash.edu.au/pubs/2020handbooks/units/BFC3540.html The information contained in this unit guide is correct at time of publication. The University has the right to change any of the elements contained in this document at any time.

Last updated:19 Feb 2020

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Table of contents Unit handbook information

4

Synopsis

4

Mode of delivery

4

Workload requirements

4

Class Timetable

4

Unit relationships

4

Prerequisites

4

Prohibitions

4

Co-requisites

4

Enrolment rules

4

Chief Examiner Unit Coordinator(s)

5 5

Academic overview

5

Course outcomes

5

Unit learning outcomes

5

Teaching approach

6

Recording of lectures

7

Live streaming

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Unit schedule Assessment summary Second marking

8 9 9

Return of final marks

10

Exam viewing

10

Assessment criteria

10

Assessment requirements

10

Hurdle requirement

10

Assessment tasks

10

Extension and penalties

17

Resubmission of assignments

18

Referencing requirements

18

Feedback

19

Bring your own device

19

Learning resources

19

Required resources

19

Technological requirements

20

2

Q Manual

20

Prescribed text and readings

20

Recommended resources

20

Examination material or equipment

20

Other information

21

Policies

21

Student Academic Integrity Policy

21

Special Consideration

21

Graduate Attributes Policy

21

Student Charter

21

Student Services

21

Monash University Library

21

Disability Support Services

22

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Unit handbook information Synopsis Topics include the development and application of financial spreadsheets, Excel and Visual Basic programming in financial modelling, modelling company financial statements, fixed income securities analysis, asset allocation and portfolio analysis, optimization using Solver, technical analysis of financial markets, Interest rate models, option pricing models, numerical methods and risk management models.

Mode of delivery Clayton (On-campus)

Workload requirements Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

Class Timetable Follow thislinkto view the scheduled times for your unit's learning activities for this teaching period.

Unit relationships 

Prerequisites ( BFC2140 or BFB2140 or BFW2140 or BFF2140 ) and ( BFF3751 or BFC2751 or BFW2751 )

Prohibitions None

Co-requisites None

Enrolment rules 4

None

Chief Examiner Name:Associate ProfessorPaulLajbcygier Campus:Clayton Phone:+61 3 990 59694 Email:[email protected]

Unit Coordinator(s) Name:Assoc ProfessorPaulLajbcygier Campus:Clayton Email:[email protected] Phone:+61 3 990 59694 Contact hours:Mon 2-4pm (by appointment)

Academic overview Course outcomes Courseoutcomes associated with this unit are that graduates will: 1. be a critical and creative scholar who: ● ● ●

produces innovative solutions to problems applies research skills to business challenges communicates effectively and perceptively

2. be a responsible and effective global citizen who: ● ● ●

engages in an internationalised world exhibits cross cultural competence demonstrates ethical values

3. demonstrate broad knowledge and technical skills in at least one area of commerce and be able to provide discipline based solutions relevant to the business, professional and public policy communities that you serve 4. be able to construct conceptual frameworks and use these to analyse complex issues in the corporate sector, government and the professions.

Unit learning outcomes On successful completion of this unit, you should be able to:

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1. apply knowledge and skills in the use of Excel and Visual Basic

2. develop skills in the design and implementation of efficient and robust financial models such as option pricing, portfolio and interest rate models 3. apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with advanced modelling in finance and demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered in BFC3540.

Teaching approach The lecture sessions will cover significant points of the topics (see Unit Schedule), and may be used to discuss a number of the set problems. It is not intended that the staff memberwill cover every aspect of each topic, but rather provide a framework of the important theoretical concepts and practical issues. Given this framework students are expected to attend all lecture and laboratorysessions and participate actively. In order to participate and to gain maximum benefit from the sessions, all the questions, set for each week, are to be attempted before the laboratoryfor that week. At times in the lecture and laboratory sessions the staff member will invite students to raise and discuss relevant issues and areas of concern. Students should take this opportunity, particularly in laboratories, to clarify areas of difficulty and to contribute actively to the discussion of the model answers to the set of weekly questions. Students are expected to spend additional private study time and access the recommend readings, which are listed in this guide and on Moodle. In addition to the recommended readings and sets of weekly questions, a number of past examinations and tests, together with model answers, are provided on Moodle. These resources enable students to develop a mastery of the topics covered by the unit. To ensure a high probability of completing successfully this unit, students need to approach it in a systematic way. At a minimum this should involve:

● ● ● ● ●

reading the prescribed material prior to each weekly session;· preparing solutions to each set of questions prior to the session;· attending sessions and participating in discussions of model answers;· reviewing material from other references from time to time; and· attempting relevant past examination and test questions.

If you are allocated to a lecture activity as a livestream unit you do not need to come to campus for your lecture. A link to the livestreams will be available in your Moodle unit. For information on how to participate in your lectures via live streaming you can review this guide created by the library: https://guides.lib.monash.edu/learning-tools/video

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If you have any technical issues please contact the service desk: https://www.monash.edu /esolutions/contact

If you need more information on timetabling you can visit their site: https://www.monash.edu /timetables/fix-problems

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Recording of lectures This unit will have lectures recorded. These recordings will be available to current students. In the event that there is an equipment failure and the lecture is not recorded in part or in full, no alternative recording will be provided. The Chief Examiner may determine a part or parts of lecture unsuitable for recording.

Live streaming If you are allocated to a lecture activity as a livestream unit you do not need to come to campus. A link to the livestreams will be available in your Moodle unit. For information on how to participate in your lectures via live streaming you can review this guide created by the library:https://guides.lib.monash.edu/learning-tools/video If you have any technical issues please contact the service desk:https://www.monash.edu /esolutions/contact If you need more information on timetabling you can visit their site:https://www.monash.edu /timetables/fix-problems

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Unit schedule For units with on-campus classes, teaching activities are normally scheduled to start on the hour (teaching will commence on the hour and conclude 10 minutes prior to the scheduled end time). Students should note that the program outlined below is a guide to the material to be covered in this unit and not a definitive statement of when that material will be covered. Specific details relating to the timing will be discussed in class.

LECTURES

LABORATORIES

TAKE HOME ASSESSMENTS

Content

IN-LECTURE ASSESSMENT

Content

INLABORATORY ASSESSMENT

OPEN AT THE START OF THE WEEK AND DUE AT 5PM SUNDAY

WEEK 1

Introduction to Subject & Statistical Properties of Portfolio 1 (Single Asset)

FLUX Polls (Not assessed)

Introduction to Subject VBA 1: OOP, input/output, variables & data type, 1D array

No assessment

Spreadsheet 1 VBA 1

WEEK 2

VBA Lecture 1

FLUX Polls (VBA 1)

VBA 2: More loops and debugging

Test 1

VBA 2 Resub: VBA 1 Resub: Spreadsheet 1

WEEK 3

Statistical Properties of Portfolio (Two-Asset)

FLUX Polls (SS1)

No content

Q&A 1

Resub: VBA 2

WEEK 4

VBA Lecture 2

FLUX Polls (VBA 2)

No content

Macro debates 1 Group activity 1

WEEK 5

Statistical Properties of Portfolio (Multi-Asset)

FLUX Polls (SS2)

VBA 3: IfStatements

No assessment

VBA 3 Spreadsheet 2

WEEK 6

VBA Lecture 3

FLUX Polls (VBA4)

VBA 4: Transpose and Matrix Multiplication

No assessment

VBA 4 Resub: Spreadsheet 2 Resub: VBA 3

WEEK 7

VarianceCovariance Matrix

FLUX Polls (SS3)

VBA 5: VarianceCovariance Matrix

Test 2

Spreadsheet 3 VBA 5 Resub: VBA 4

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WEEK 8

VBA Lecture 4

FLUX Polls (VBA 5)

No content

Q&A 2

Resub: Spreadsheet 3 Resub: VBA 5

WEEK 9

Capital Market Line

FLUX Polls (SS4)

No content

Macro debates 2 Group activity 2

Spreadsheet 4

Mid-Semester Break WEEK 10

Beta & Security Market Line

FLUX Polls (SS5)

VBA 5: Revisit ifstatements

Test 3

Resub: Spreadsheet 4

WEEK 11

No Short Sales

FLUX Polls (SS5)

No content

Q&A 3

Spreadsheet 5

WEEK 12

Conclusion

No assessment

No content

Macro debates 3 Group activity 3

Resub: Spreadsheet 5

Assessment summary Within semester assessment: 100% Assessment task

Value

Due date

Weekly Laboratory Class Group Debate

15%

Week 4,9,12

Group VBA Spreadsheet Activity

15%

Weeks 4,9,12

Weekly Excel Spreadsheet Assignments

5% Lecture-Stream (or 10% LiveStream)

Week 1, 5, 7, 9, 11

Weekly VBA Spreadsheet Assignment

5% Lecture-Stream (or 10% Live Stream)

Week 1,2,5,6,7

In-laboratory VBA Subroutine Tests

20%

Week 2, 7, 10

In-laboratory Visual Basic Programming Q&A Test

30%

Week 3, 8, 11

Lecture Stream Flux Polls

10% Lecture-Stream (or 0% LiveStream Students)

Lectures Weeks 2-11

A student’s final mark is normally the sum of the marks obtained in all of the individual assessment items in the unit.

Second marking In the Faculty of Business and Economics, all of the following assessment items graded as a fail by the first marker are blind marked by a second marker:

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● ●

examination papers in-semester assessment items worth 20% or more

Return of final marks Faculty policy states that 'the final mark that a student receives for a unit will be determined by the Board of Examiners taking into account all aspects of assessment'. The final mark for this unit will be released by the Board of Examiners on the date nominated in the Faculty Calendar. Student results will be accessible through the my.monash portal.

Exam viewing Feedback on student performance in examinations and other end-of-semester assessment is required. The feedback should be in accordance with the University's procedures on Unit Assessment. Details of the examination script viewing arrangements set down by the Faculty of Business and Economics are available athttps://www.monash.edu/business/current-students /exams-and-results/exam-performance-and-feedback

Assessment criteria Assessment Criteria Grading Descriptors available at: https://www.monash.edu/__data/assets/pdf_file/0006/801690/Assessment-in-Coursework-UnitsGrading-and-Marking-Procedures.pdf

Assessment requirements Hurdle requirement There is no hurdle in this unit.

Assessment tasks Assessment task title:Weekly Laboratory Class Group Debate Due Date: Date:Week 4,9,12 Weighting/Value: Weighting/Value:15% Details of Task: Students are required to form debating groups (Groups of 6 where possible, and same Group VBA Spreadsheet assessment) Each group will take a position in a number of stocksand justify their investments using a 'top down approach' (considering the global economy, national economy, sector specific economy and finally stock information).

See full assessment task information in unit outline on Moodle.

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Release date: Start of relevant week Word limit:n/a Presentation requirements: requirements:Each portfolio group is required to justify their portfolio investments and debate any differences between their investments and their rival laboratorygroups. This can be done with the aid of power point slides. The entire group must contribute to the debate in order to score well.

More details are provided in Moodle.

Estimated return date: Marks will be available at the end of the laboratory each week. Criteria for marking: marking:Each week of the debates (weeks 8–10) the eligible groups (see above) are ranked. Each week for each debatethe mean mark will be 65% by construction. Marking criterion are set out in detail in Moodle. Remember to be eligible to receive these marks a group must have at least two-thirds of its members attend the debate, and prepare and submit a summary sheet as specified above

See Moodle for details of how to implement this assignment.  Learning objectives assessed: All Learning Objectives are assessed in this task. Submission details: Debate concluded in Laboratory. Penalties for late lodgement: There is no late lodgement. Assessment coversheet: n/a Additional information: n/a

Assessment task title:Group VBA Spreadsheet Activity Due Date: Date:Weeks 4,9,12 Weighting/Value: Weighting/Value:15% Details of Task: Students are required to implement an extended VBA programming task during laboratory. (Groups of 6 where possible, and same as Weekly Group Debates)

See full assessment task information onMoodleand as advised by lecturer.

Release date: Start of relevant week Word limit:n/a Presentation requirements: n/a Estimated return date: Marks will be available via Moodle approximately two weeks after submission. Criteria for marking: marking:Criterion will be provided on Moodle. Each week for each debatethe mean mark will be 65% by construction.

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 Learning objectives assessed: All learning objectives are assessed in this task. Submission details: Submitted online via Moodle . Penalties for late lodgement: No late lodgement. Assessment coversheet: n/a Additional information: information:You will get zero marks if you do not enter your name and Monash student authcate correctly (as required). You must use the same technology used in the Monash University computer laboratory, specifically an MS Windows computer. Due to the nature of the technology you are unable to use Apple computers, and will receive zero marks for any assignments which do not use an MS Windows computer.

Assessment task title:Weekly Excel Spreadsheet Assignments Due Date: Date:Week 1, 5, 7, 9, 11 Weighting/Value: Weighting/Value:5% Lecture-Stream (or 10% Live-Stream) Details of Task: Students are required to complete a Financial Modeling task in a spreadsheet.

Details to be provided in Moodle.

Release date: Start of relevant week Word limit:n/a Presentation requirements: n/a Estimated return date: Marks will be made available via Moodle within a week of submission. Criteria for marking: marking:This is an individual task. The marking scheme is based on the number of errors in each spread sheet divided by the total number of errors possible (on a per sheet basis). Your percentage of errors per sheet is calculated as the number of errors you make divided by the total number of allowable per sheet. The mark for the assessment is then calculated by taking an equally-weighted average of your mark per sheet. % Errors

Mark

0–5%

100%

5–10%

90%

10–15%

80%

15-25%

70%

25-35%

60%

35-50%

50%

>50%

0%

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 Learning objectives assessed: All learning objectives. Submission details: Submitted by the date and time specified in Moodle . Penalties for late lodgement: No late lodgement. Assessment coversheet: n/a Additional information: information:After you have obtained feedback on each submission in the assessment category you will have the opportunity to fix any errors and resubmit the assessment. If you choose to do so, the overall mark for the submission will be weighted as 70% of the initial submission and 30% of the second submission. The overall mark for this assessment category will be determined using a 'best of' approach. Of the 'n' assessments in the category the final mark will use the best (i.e., highest) (n-1) assessment...