Prerequisites / Exemptions
Prerequisite: A course that you must have ordinarily attempted all elements of before you are permitted to register for another particular course.
If taken as part of a BSc degree, courses which must be attempted before this course may be taken:
- EC2020 Elements of econometrics
- EC2066 Microeconomics.
Students can only take FN3142 Quantitative finance at the same time as or after FN3092 Corporate finance, not before.
- Concepts and measures of risk
- Time-series analysis
- Empirical features of financial asset returns
- Market risk models
- Models of financial market correlations
- Forecast evaluation methods
- Risk management
- Asset allocation decisions
- Market microstructure and high frequency data
If you complete the course successfully, you should be able to:
- Demonstrate mastery of econometric techniques required in order to analyse issues in asset pricing and market finance
- Demonstrate familiarity with recent empirical findings based on financial econometric models
- Understand and have gained valuable insights into the functioning of financial markets
- Understand some of the practical issues in the forecasting of key financial market variables, such as asset prices, risk and dependence.
Unseen written exam (3 hrs 15, including reading time).
- Christoffersen, P.F., Elements of Financial Risk Management. Second Edition. Academic Press, London.
- Diebold, F.X., Elements of Forecasting. Fourth Edition. Thomson South-Western, Canada.
Course information sheets
Download the course information sheets from the LSE website.