FIN 517: Financial Analysis Software II

School of Business Studies, IBA Karachi

Program: MS Finance
Department Offering: Finance
Class ERP Number: 71209 (Spring, 2024)
Faculty: Dr. Mohsin Sadaqat
Class details

Class Timing and Room 2:00 p.m. to 5:00 p.m., MCL-2 (111-LAB), AMAN CED, Main Campus

Session Days Saturday

Credit Hours: 3 Credit Hours

Email [email protected]
Contact # 021 38104700 Extension: 3053

Course Description

This course comprises a set of Econometric and Statistical tools, STATA and R, designed to learn
empirical applications of Finance Theories and Models. This is an applied course, developing skills in
quantitative analysis of financial data and developing programming skills to manage and analyze large
datasets. We will analyze a variety of Finance Models with the help of real time datasets and will learn
how to perform empirical estimations using key packages, like STATA and R. Some of objectives of this
subject are:

1. To acquire knowledge of various advanced financial econometric models and its empirical
application using the real-world data.
2. To be able to interpret the results obtained during their research projects/thesis.
3. To be able to conduct financial econometric analysis of data properly and understand the results
4. To learn how to estimate the econometric models in STATA package and write basic R codes
using real world data

Program Learning Outcomes and Goals

PLO 302: Students will be able to critically interpret the output from statistical and financial
models

LG1: Understanding of financial software systems and their applications

Students will acquire basic knowledge of various financial software platforms and their functionalities.
Students will have the ability and knowledge of financial analysis tools, such as discounted cash flow
analysis and Monte Carlo simulations.

LG2: Effective handling of financial data

Students will develop proficiency in describing, retrieving, and analyzing financial market data and
instruments. Students will gain a comprehensive understanding of financial data management and
database systems, including Bloomberg and Reuters. By the end of the course, students should be able
to skillfully utilize these tools to retrieve and analyze financial data to support financial decision making.

PLO 402: Students will be able to construct the variables within their area of specialization using
appropriate software

LG3: Knowledge of applied tools for better financial decision making

Students will develop the ability to apply a variety of econometric tools and techniques for estimating
and predicting trends in financial data. Through hands-on experience with software such as Stata and
R, students will learn to model these trends using appropriate econometric methods to improve financial
decision making. Upon completion of this course, students should be able to analyze financial data and
effectively apply econometric models to support informed decision making.

LG4: Better quantitative modelling of risk and uncertainties

Students will be able to utilize financial software for effectively managing and analyzing financial data,
while comprehending the role of software in decision-making and risk management. By the end of this
course, students will be able to identify and evaluate the risks and uncertainties present in financial
markets and demonstrate proficiency in applying relevant econometric techniques to model these risks
and uncertainties at both micro and macro levels.

Financial Analysis Software II Course Learning Outcomes (CLOs)

1. Gain introductory programming skills in the context of finance theory and application using Stata
and R platforms. Appreciate the possibilities and boundaries of technology.
2. Students will be able to apply regression analysis and econometric tools practically.
3. Students will be able to get meaningful information from raw data.
4. Students will be able to use statistical and data analysis for financial modelling.
5. Understand ARCH and GARCH models and be able to apply them to financial time series which display
volatility clustering and asymmetry.
6. Estimate the Panel data models and interpret the results.
Skills/Abilities
The course will inculcate skills on data analysis, quantitative analysis, and numeracy.
AOL Assessment Mapping
Program Mapping Rubrics Standardized
Seq No Learning Exceeds Meets Below Assessment
Objective Expectations Expectations Expectations method
PLO302 Students will Financial Student is able Student Student Project, Final
be able to Analysis to clearly manages to struggles to Exam
critically Softwares interpret the interpret the interpret the
interpret the 2 (Stata findings of findings of findings of
output from and R) statistical and statistical and statistical and
statistical financial financial financial models
and financial models and models but and cannot
models understand cannot make make
their practical connection connection
implications between the between the
evidence and evidence and
 their practical their practical
implications implications

PLO402 Students will Financial Student Student Student is Project, Final

be able to Analysis expertly manages to unable to Exam
construct the Softwares executes the execute the construct the
variables 2 (Stata software codes software codes variables of
within their and R) to construct to construct interest due to
area of variables of variables of their lack of
specialization interest interest, but understanding
using their execution of execution of
appropriate is not efficient software codes
software

Teaching and Learning Methodology

1. Students are required to read the topic prior to the lecture. During the lecture, we will discuss the
syntax and logic behind the commands and codes to solve specific problem.
2. Real world cases, in-class and home assignments based on real data will be used as a companion
to the lectures.
3. Course folder comprising of practice implementation (additional to the textbook) will be uploaded
on Learning Management System (LMS).
4. In-class empirical exercises (on Stata and R) will be done on selected topics.
Course Learning Outcomes (CLOs) mapped to Program Learning Outcomes (PLOs) Mapping
CLO 1, CLO Understanding of financial software systems and their applications PLO 302
3, CLO 4
CLO 1, CLO 2 Effective handling of financial data PLO 302
CLO 4, CLO 5 Knowledge of applied tools for better financial decision making PLO 402
CLO 5, CLO 6 Better quantitative modelling of risk and uncertainties PLO 402

Mapping to Course
Reading/ Package Session Topic
Learning Outcomes

• Introduction and discussion of the course outline

• Introduction to Stata Interface
Lecture Notes / Stata CLO2/CLO1
• Type of Data
• Data Management in Stata

• Linear Regression Models

• Estimation and Interpretation of Results
Lecture Notes / Stata
CLO1 • Multiple Regression
• CAPM Models and Factor Models
• GRS Test
• Newey and West Robust Standard Errors

• Customized reports and tables in Stata

Lecture Notes / Stata CLO1/CLO2
• Data Visualization in Stata
 • Panel Data Models (Pooled, Fixed, Random, High
Lecture Notes / Stata
CLO2/CLO3 Dimension Fixed Effect)
• Endogeneity, Instrumental Variables and 2SLS

• Event Study Methodology in Stata

Lecture Notes / Stata CLO3 • Fama and Macbeth Methodology
CLO4 • GARCH Models
• Principal Component Analysis

CLO3 • Programming in Stata

Lecture Notes / Stata
CLO4 • Bootstrapping
CLO6 • Rolling Regressions

• Introduction to R interface
Lecture Notes / R CLO5
• Data management in R
CLO4
• Data Visualization in R

Lecture Notes / R • Regression Analysis in R

CLO6 • Reporting Results in R
• Basic Machine Learning Models in R

Text Book and Pre-Course Reading Material, Important Dates.

Recommended Text:
• STATA Guide to accompany ‘Introductory Econometrics for Finance, by, Chris Brroks – 4th
Edition by Lisa Schopohl, Robert Wichmann and Chris Brooks, 2014.
• An Introduction to Analysis of Financial Data with R, by, Ruey S. Tsay, Wiley Publishers, 2012

Dates
• Final Exam: May 2023

Prerequisite Skills and Knowledge to take this Course

The prerequisite for this course is Financial Econometrics. Students needing help can come for
counseling during counselling hours.

Assessments and Grading Scheme

Assessment Due Date Remarks

- Students will pick any finance related topic
Project
and write a term project.
Exam Paper Exam Weeks Final Exam
This course follows absolute grading.
Marks Distribution

Marks Total Marks

Marks Head Total Frequency Total Exempted
/Frequency /Head

Project 1 0 50 50

Final Exam 1 0 50 50
 Total Marks 100

Note: Computer assignments sets will consist of applied financial modeling work using STATA and R. I
encourage students to work together on homework assignments. However, all students must write up
their answers independently of each other. Students caught submitting identical, or nearly identical,
assignments will receive a zero grade for that assignment. Late assignments will receive a score of zero.
There will be plenty of time allocated for the assignments so that there is no excuse for a late assignment.

Comments and/or Suggestions

• Active class participation will be rewarded by adjusting the grade upwards when it is on the
margin.
• Since subsequent topics build on previously learned material, it is imperative that students keep
up with the material. In addition, you should ensure that lectures are understood properly.
• A student who misses a class is responsible for obtaining any handouts and information on
course content, assignments, due dates, test dates, etc.
• Unethical behavior (cheating, plagiarism, proxy attendance) will be strictly penalized.

Technology & Innovation

• All course materials will be posted on LMS and grades will be posted on ERP. Students are
responsible to stay updated on these platforms. For discussions and course related queries,
please join the course fb group.
• Please bring old-fashioned pen and paper in every class.
• Students should bring the laptop for the spreadsheet sessions (this will be announced in prior
session or on course page).
• Some assignments may require you to collect data from Thomson Reuters DataStream and PSX
and IMF websites. Visit library and get comfortable in using the DataStream portal.
Experiential Learning Exposure(s)

Students will do one term projects as part of the course.

Social Contribution / Impact

The course will emphasize on the concept of business sustainability and how it can be measured using
econometrics. Through practical application of these concepts, the discussion will include tools for maximizing
returns while not imposing burden on the current natural environment and not damaging the well-being of the
society.

Academic Conduct

IBA policy

Attendance Policy

IBA policy

Plagiarism Policy

IBA policy

Withdrawal Policy

IBA policy