Performing Quantitative Financial Analysis
The programme aims to develop knowledge and understanding in relation to the theoretical and empirical analysis of financial variables. There is a focus on the major capital markets and the foreign exchange market.
7-8 March 2012
Royale Bintang Damansara
The programme will develop a number of skills in quantitative financial analysis. First, the mathematical skills required to understand the behaviour of asset prices and returns. Second, the ability to test theories and interpret empirical results. Third, the ability to interpret and analyse published financial data.
LEARNING OBJECTIVES
After completing this programme, the participants should be able to:
• Collect data on financial variables from relevant data sources and manipulate them for the purpose of empirical testing of theories
• Relate the theoretical financial models to practical financial decision-making situations
• Critically assess the validity of the empirical tests of such models found in the literature
• Analyse proposals for financial regulation put forward by sources such as governments, central banks, or other observers of the financial system
TARGET AUDIENCE
Stock analysts, investment analysts, fund managers, consultants, researchers, post-graduate students
SPEAKER
Dr Tang Kin Boon is an Assistant Professor in finance and economics at the Nottingham University Business School, the University of Nottingham Malaysia Campus, where he teaches a variety of finance modules for both postgraduate and undergraduate programmes. His areas of teaching include investments, financial risk management and international finance. Dr Tang’s research interests are in the field of financial economics, quantitative economics and international finance. His most recent research inquiries involve various aspects of international parity conditions. In his recent publication, The Precise Form of Uncovered Interest Parity: A Heterogeneous Panel Application in ASEAN-5 Countries (which appeared in Economic Modelling, 2011), he reexamines the empirical validity of the UIP hypothesis for five ASEAN countries and analyses the institutional and practical issues firms must consider in deciding whether to borrow or invest funds denominated in the domestic currency or in a foreign currency.
PROGRAMME OUTLINE
Day 1: Basic Statistics in Finance
• Correlation
• Regression
• Granger Causality
• Estimating Stock’s Beta
• Performing an Event Study
Day 2: Modelling Long-Run Relationships in Finance
• Unit Root Test
• Cointegration
• Vector Autoregression
• Vector Error Correction
• Autoregressive Conditionally Heteroscedastic (ARCH) Models
• Generalized ARCH (GARCH) Models
• Estimation of ARCH/GARCH Models
• Volatility Forecasting
• Estimating Stock’s Beta
• Performing an Event Study
Please contact Mr Adrian Liew at 03-8924 8795 [email protected] or Dr Angelina Yee at [email protected] or fax to us at 03-8924 8798 for registration or more information. Please register early to enjoy a special rate.
