Midterm examination (course component within the 20% final-examination allocation only if instructor chooses to split it; otherwise use as formative assessment)
Duration: 120 minutes. A non-programmable calculator and one-page formula sheet are permitted.
Section A — Quantitative foundations (30%)
- Simple and log return calculations.
- Expected return, variance, covariance, and certainty equivalents.
- Mean-variance portfolio calculations.
Section B — Asset pricing (35%)
- CAPM beta and expected return.
- Factor regression and alpha interpretation.
- SDF pricing and no-arbitrage reasoning.
Section C — Fixed income (35%)
- Coupon-bond pricing.
- Spot and forward rates.
- Duration and convexity approximations.
Final examination (20% course component)
Duration: 180 minutes. A non-programmable calculator and two-page formula sheet are permitted.
Section A — Portfolio and asset pricing (25%)
Derive and interpret a portfolio optimization result, CAPM relation, or factor-pricing restriction.
Section B — Fixed income and derivatives (25%)
Price a bond or derivative using supplied market inputs. Explain replication and risk-neutral valuation.
Section C — Corporate finance and institutions (25%)
Calculate project NPV, evaluate a financing choice, or analyze a bank balance-sheet shock.
Section D — Risk and empirical finance (25%)
Calculate and interpret VaR/ES, diagnose a financial econometric model, or design an event-study/forecast evaluation.
Grading rubric
- Mathematical and financial derivation: 35%
- Numerical accuracy and computational reasoning: 25%
- Economic interpretation and assumptions: 25%
- Clarity, units, and reproducibility: 15%
Empirical finance project
The project must include a research question, data dictionary, sample construction, return definitions, model specification, estimation details, diagnostics, out-of-sample or robustness analysis, and reproducible code. Any portfolio performance must be reported net of stated transaction-cost assumptions.