Module: Financial & Actuarial Models

Module Specifications.

Current Academic Year 2024 - 2025

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Date posted: September 2024

Module Title	Financial & Actuarial Models
Module Code	MS349 (ITS) / MTH1001 (Banner)
Faculty	Science & Health	School	Mathematical Sciences
Module Co-ordinator	Paolo Guasoni
Module Teachers	-
NFQ level	8	Credit Rating	7.5
Pre-requisite	Not Available
Co-requisite	Not Available
Compatibles	Not Available
Incompatibles	Not Available

None

Description

This module offers a theoretical and practical introduction to the analysis of financial and actuarial data, with practical assignments based on the statistical language R. Students learn to estimate statistical properties of financial and actuarial data in the time series and the cross section, to make predictions based on ARIMA time-series techniques, and on back testing the performance of predictors. The module includes case-studies on portfolio optimization, estimation of extreme events probabilities, the construction of stock indexes, and the principal-component-analysis of commodities futures. The course involves the use of large datasets, downloading data on-the-fly from online repositories, and otherwise manipulating data in multiple formats.

Learning Outcomes

1. Analysis of Data
2. Model Design
3. Model Testing and Interpretation

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	36	Classes
Independent Study	160	Independent work
Total Workload: 196

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Type	Description	% of total	Assessment Date
Course Work Breakdown
In Class Test	Laboratory practical test	25%	n/a

Reassessment Requirement Type
Resit arrangements are explained by the following categories: Resit category 1: A resit is available for both* components of the module. Resit category 2: No resit is available for a 100% continuous assessment module. Resit category 3: No resit is available for the continuous assessment component where there is a continuous assessment and examination element.
* ‘Both’ is used in the context of the module having a Continuous Assessment/Examination split; where the module is 100% continuous assessment, there will also be a resit of the assessment
This module is category 1

Indicative Reading List

Other Resources

None