Graduate Program

Course Credit: 3

Risks of financial institution; Interest rate risk, Market risk, Credit risk, Liquidity risk, Off-balance sheet risk, Sovereign risk, Foreign exchange rate risk, Technology risk; Interest rate risk; The Repricing model; Weaknesses of repricing model; Maturity model; Duration; Features of duration; Duration and interest rate risk; Immunization and regulatory consideration; Difficulties in applying duration model; Incorporating convexity into duration model; Credit risk: Individual loan risk; Types of loan; Calculating return on a loan; Quantitative default risk models; Qualitative default risk models; Credit risk: Loan portfolio and Concentration risk; Migration analysis; Loan concentration limit; Loan portfolio diversification & MPT, Moody’s analytics portfolio manager model; Partial application of portfolio theory; Regulatory models; Liquidity risk; Liquidity risks at DI; Liquidity risks at insurance companies; Liquidity risks at investment funds; Foreign exchange risk; Sources of foreign exchange risk exposure; Nature of foreign exchange risk: Hedging foreign exchange risk; Sovereign risk; Debt repudiation vs. debt rescheduling; Country risk evaluation; Market risk; The Riskmetrics model; Back Simulation approach; Expected shortfall approach; Monte Carlo Simulation; Partial risk factor approach; Off-balance-sheet risk; Off-balance-sheet activities; Risks of off-balance-sheet activities.

Course Credit: 3

Derivatives: Forward and Futures Contract, Option, Swap and other derivatives; Forward Contract: Forward Market, Participants, Quotation, Premium or Discount, Relationship between Forward and Spot Price, Arbitrage Arguments; Futures Contract: Futures Market, Clearing Houses, Positions, Taxation, Open Interest, Marking to Market, Basis, Spreads, Regulations; Swaps and the Evaluation of Credit Risk: Interest Rate Swap, Currency Swaps, Credit Risk, Regulation, Credit Conversion Factor; Options: Characteristics and Principles, Pricing Relationship and graphical presentation of Option’s Payoff, Factor affecting Prices ofOptions, Early Exercise, Equity as a Call Option, Put-Call Parity and Synthetic Construction of Options, Effects of Dividends; Trading Strategies involving Options; Model of the Behavior of Stock Prices, The Process for Stock Prices and the Process for Derivative Securities; Option Theory and pricing: Pricing Models: Risk Neutral Argument, Valuation – Mimicking Strategy (Synthetic Construction), Analytical Pricing Formula- Ito’s Lemma, Derivation of the Black-Scholes Formula, Implied Volatilities, Dividend correction; Numerical Pricing Models: Binomial-Lattice Approach; Pricing Corporate Securities, Options on Currencies Indices, Currencies and Futures Contracts; Hedging Positions in Option and other Derivative Securities; Managing Equity Risk: Strategies, Return enhancement Strategy, Value Protection Strategy, Stock Index Future, Portfolio Insurance using Put Options, Portfolio Insurance using Replication Strategy.

Course Credit: 3

Enquiry into marginalization, Theories of International Trade, Mercantilism, Opportunity cost theory, Political implication of the trade theory; Multinational Financial Management; Agency Problem, Portfolio Theory: Domestic vs International, Spot Rate, Cross Rate, Forward Rate, Arbitrage; Direct and indirect quotes; Fixed Rate and floating Rate, Foreign Exchange Behaviour: Parity Theorems, Inflation and Interest Rates, Expected Exchange Rates, Exchange Rate determination: Determinants of Balance of Trade and Payments: Foreign Exchange Risk: Type of Risk, Efficient Market, Forecasting; Currency Derivative Markets: Forward Rates, Swaps, Futures and Options, Hedging and Speculation; Executing Translations, International Investment and Capital Flow: Types of International Flow; Foreign Debt, International Money Market, Financial Crisis, Macroeconomic Policy in the Open Market; Size and Flow of Foreign Exchange Activities, International financial Markets: International Financial Management, Motives for using International Financial markets, Foreign Exchange Market, Foreign Exchange Transactions, Interpreting Foreign Exchange Quotations, Currency Future and Options Markets, EURO currency Markets, EURO credit Market, EURO Bond Market- Development, Features, International Stock Markets; International Trade flows, Factors Affecting International Trade Flows, International Capital flows, Factors affecting Direct Foreign Investment, Agencies facilitating International flows; Exchange Rate Determination: Measurement of Exchange Rate Movements, Factors Influencing Exchange Rates, Speculation on anticipated Exchange Rates, Impact of Exchange Rate on MNC’c Value; Currency Derivatives: Forward Market, Currency future Market, Currency Option Market, Currency Call Options; Exchange Rate Systems, Fixed, Freely floating, Managed floating, Pegged system, Currency Board, Dollarization, Government Intervention, Intervention as a policy Tool, Government Intervention during Asian Crisis, International Arbitrage and Interest Rate Parity: International Arbitrage, Interest Rate Parity, Exchange Rate Risk Management: Foreign Exchange Rates, Forecasting Techniques, Forecasting Performance, Forecasting under Market Efficiency, Exchange Rate Volatility; Measuring Exposure to Exchange Rate Fluctuations; Multinational Capital Budgeting; Country Risk Analysis; Multinational Cost of Capital and Capital Structure.

Course Credit: 3

Introduction to modern investment theory; Securities and markets; Statistical concepts; Combining individual stocks into portfolio; Finding efficient set; Index models; The Capital Asset Pricing Model; Empirical tests of the CAPM; Factor Models and the APT; Performance Measurement, Performance Analysis, and Performance Attribution; Market inefficiencies or market anomalies - size effect, price earning ratio effect, January effect, Dividend yield effect; Bond portfolio management - valuation and risk, pricing, measuring yield, bond price volatility, Duration, active & passive strategies, immunization and cash flow matching; Options and Futures; Black-Schole and Beyond, Fixed income derivative securities, interest rate derivative securities; Portfolio Insurance, program trading & other recipes for disaster; Stock market in Bangladesh.

Course Credit: 3

The efficient market hypothesis and market predictability-Methods and models for predicting aspects of asset returns, classical theory of efficient markets concept of efficient markets, evidence of predictability of financial variables and reconcile the empirical evidence for asset return predictability with the concept of an efficient; Risk management and Value-at-Risk- models Measuring and managing the exposure to risk generated by a trading desk, a structured product,a traditional portfolio, Value-at-Risk, common models for measuring VaR; Risk management and Value-at-Risk- backtesting Testing how well risk models are performing, Backtesting, methods for backtesting VaR models; Modelling high frequency financial data-Traditionally, empirical studies in finance employed data at the daily and monthly frequencies; Models and methods for high frequency (intra-day) lower frequency dealing with the irregularly-spaced observations; Seasonality Diurnality,conditional variance, bid-ask spreads and in trade durations.

Course Credit: 3

Agency Relationship and Agency Conflicts; Stakeholders and Corporate Performance, Development of corporate governance as an issue: Historical background and recent questions, Stakeholder and Corporate Performance, The Roots of Unethical Behavior, Philosophical Approaches to Ethics; Ethics and Ethical Behavior, Values, Moral Reasoning Reasons for various ethical practices, Cultural Relativism, Checklist for dealing with ethical dilemmas; Social Responsibility and Governance, Organizational Environments And Social Responsibility, General Environment, Specific Environment, Social Responsibility; Board Room Review, Role of Board of Directors, Types of Board of Directors and their responsibilities; Principles of Good Corporate Governance, Stakeholder Analysis & Five Golden Rules, Reporting System, Corporate Governance and The Strategic Management Process, The Whole picture, Strategy analysis aligning perceptions & expectations; A comprehensive strategic management model including corporate governance, Internal analysis, Internal analysis and strategic capability, The stakeholder analysis process, Weighting the stakeholders; Good Reporting, Basic features of Good reporting system, A Model for Reporting System; Measuring Exposure to Exchange Rates Fluctuation; Relevancy of Exchange Rate; purchasing Power Party Argument; Investors Hedge Argument; Currency Diversification Argument; Stakeholder Diversification Argument; Types of Exposure; Transaction Exposure; Economic Exposure; Translation Exposure; Country Risk Analysis, Types of Country Risk Assessment, Techniques of Assessing Country Risk, Developing A Country Risk Rating; Internal control system, coso’s framework, enterprise risk management. Deal and Kennedy: risk, feed back and reward; Legal framework: Laws governing mergers, acquisitions and tender offers, securities laws, business judgment rule, Antitrust laws, regulation of insider trading; Merger strategy: Growth, synergy, diversification, and hypotheses of takeovers; Hostile takeovers: Antitakeover measures, preventive antitakeover measures, and active takeover defenses and takeover tactics; Corporate Restructuring: Divestitures, Voluntary Liquidation or Bustups, Restructuring of the 1990s; Restructuring in Bankruptcy: Business failure, costs, reorganization vs. liquidation, prepackaged bankruptcy, corporate control and default, liquidation and investing in distressed companies; Valuation of Mergers and Acquisitions: Financial Analysis, valuation of corporations and tax issues.

Course Credit: 3

Introduction: features of fixed income securities, indenture and covenants, maturity and par value, coupon rate, conversion privilege, put provision, embedded options; risks associated with investing in bonds; understanding yield spreads: interest rate determination, treasury rates, yields on non-treasury rates; valuation of fixed income; term structure and the volatility of interest rates; valuing bonds with embedded options; the binomial securities: traditional approach to valuation, arbitrage-free valuation approach, valuation models, traditional yield measures, theoretical spot rates, forward rates, terms structure of interest rates; measurement of interest rate risk-model, valuing a callable bond, valuing a putable bond, valuing a step-up callable note, valuing a capped floater; mortgage-backed securities; asset-backed securities; valuing mortgage-backed and asset-backed securities; framework for assessing trading strategies: principle of leverage, borrowing funds via repurchase agreements, total return, controlling for interest rate risk.

Course Credit: 3

Case problems on capital structure, dividend policy, financial planning, cost of capital, capital investments, mergers and acquisitions, financial distress and financial restructuring.

Course Credit: 3

Introduction to Behavioral Finance; Neoclassical vs. Behavioural Finance; Rational Investors; Bayesian Updating; The Efficient Market Hypothesis (EMH); Testing the EMH; Empirical evidence of EMH; Empirical challenges; Systematic Errors; Errors in Expectations; Biases in Beliefs; Implications of Representativeness; Anomaly: Long run reversals; Value Premium; IPO’s Return Predictability; Price Momentum; PEAD; Dividend Initiations and Omissions; Prospect Theory; Expected Utility Theory; Prospect Theory; The Equity Premium Puzzle; Disposition Effect; Loss Aversion; Pricing of Skewness; Ambiguity Aversion; Probability in Decision Making; The Ellsberg Paradox; Equity Premium; Limited Participation; Updating Beliefs under Ambiguity; Perceived Ambiguity; Overconfidence; Rational Information Processing; Biases in Decision-Making; Overconfidence and Investment Decisions; Asset Pricing with Overconfidence; Trading Volume and Overconfidence; Overconfidence and Excess Volatility; Sophistication and Overconfidence; Miscalibration; Entry in a New Market; Self-Attribution; Investor Sentiment; Sentiment, Emotions in Economics; Effect of Sentiment on Risk Perception; Measuring Investor Sentiment; Sentiment and Aggregate Stock Market Returns; Sentiment and the Pricing of Risk; Limits to Arbitrage; EMH and Arbitrage; Limits to Arbitrage; Fundamental Risk; Noise Trader Risk; Arbitrage and Agency Problems; Implementation Costs; Destabilizing Arbitrage; Behavioral Corporate Finance and Managerial Decision-Making; Neoclassical Corporate Finance; Behavioural Corporate Finance; Rational Managers and Irrational Markets; Irrational Managers and rational markets; Anchoring and M&A Activity.

Course Credit: 3

Introduction to Business Research; The Research Process: Coming to Terms; Selecting a Problem and Reviewing the Research; Problem Definition and Research Proposal; The problem definition process, Converting managerial decision statements to research objectives/questions/hypotheses, Determining unit of analysis and relevant variables, Four levels of scale measurement; Data Collection; Primary and secondary data; Qualitative and quantitative research; Qualitative research tools; Importance of survey research; Different categories of surveys; Sources of errors in surveys; Guidelines on how to design a questionnaire; The Importance of Practicing Ethics in Research; Sampling and Generalizability; Sampling Design; Population and Sample; Reasons for sampling; Stages in the selection of a sample; Sampling errors; Types of sampling methods; Determining an appropriate sample design; Sample size determination; Hypothesis Testing; Null hypothesis; Alternate hypothesis; Type I error; Type II error; t-test and z-test for comparing two means; z-test for comparing two proportions; ANOVA, F-test; Measurement, reliability, and validity; Regression Analysis; Descriptive Statistics; Correlation matrix; Least Square Principle; Simple linear regression; Multiple linear regression; Assumptions of linear regression; Addressing multicollinearity and heteroscedasticity problems; Spurious regression; Writing a Research Manuscript; Panel Data Analysis; Balanced vs. Unbalanced panel data; Fixed Effects (FE) regression; Random Effects (RE) regression; Hausman test; Feasible Generalized Least Square (FGLS) regression model; Dummy Variables and Non-linear Regression; Probit regression model, Logistic regression model, Marginal Effects, Tobit regression model, Ordered Probit/Logistic regression model; Time Series Data Analysis; Trend analysis; Cyclicality; Seasonality; Autocorrelation problem; VAR; ARDL; ARIMA; Qualitative Research: PRA & Focus Group Discussion.

Course Credit: 3

The structure of economic data; Causality and the notion of Ceteris Paribus in econometric analysis; Cross-Sectional Data; Deriving the Ordinary Least Squares Estimates; Properties of OLS on any sample data; Effects of changing units of measurement on OLS statistics; Incorporating nonlinearities; The Gauss-Markov assumptions; Mechanics and interpretation of OLS; Omitted Variable Bias; Variance of the OLS estimates: Multicollinearity, variances in misspecified Models, Estimating standard errors of the OLS Estimators; Functional form (logarithmic functional form, quadratics, interaction terms); Heteroskedasticity: Consequences of Heteroskedasticity for OLS; Heteroskedasticity- Robust inference after OLS Estimation; Testing for Heteroskedasticity; Weighted Least Squares Estimation; Feasible GLS (FGLS); Time Series Data; The nature of time series data; Time series regression models (static, finite distributed lag); Finite sample properties of OLS under classical assumptions; Functional forms; Trends and seasonality; Stationary and weakly dependent time series; Properties of OLS with Serially correlated errors; Testing for serial correlation; Correcting for serial correlation with exogenous regressors; Differencing and serial correlation; Heteroskedasticity in time series regressions; Infinite distributed lag models; Testing for unit roots; Spurious regression; Cointegration and error correction models; Forecasting (one-step-ahead, multiple-step-ahead); Panel Data Analysis; Pooling independent cross sections across time; Differencing; Fixed effects estimation; Random effects models; Endogeneity; Testing for endogeneity; Testing overidentifying restrictions; Instrumental variables; Two Stage Least Squares (2SLS) with hetroskedasticity; Differences-in-Differences based on a “natural” experiment; Multiple natural experiments in one regression; Logit and Probit models for binary response; Tobit model for corner solution responses; Poisson regression model; Censored and Truncated regression model.