Financial Analytics
Subject Overview
The fifth Business Analytics group elective, covering financial data wrangling and time series basics, volatility modeling and risk measurement, regression models and credit risk/fraud detection analytics, and portfolio analytics and optimization with stress testing. A 4-credit elective theory paper.
Unit-wise Syllabus
4 units — click WhatsApp below to get the full notes for each
Unit 1: Financial data and time series
Role of analytics in finance, types of financial data, data wrangling and cleaning, exploratory data analysis, time series components, decomposition, stationarity, ACF/PACF, introduction to ARMA/ARIMA
Unit 2: Volatility and risk measurement
ARCH/GARCH volatility models, volatility clustering, statistical distributions and Value at Risk estimation, hypothesis testing in finance, Monte Carlo simulation for risk analysis and option pricing
Unit 3: Regression and risk analytics
Regression models and factor models in finance, forecasting financial variables, logistic regression for credit scoring, ROC curves and confusion matrix, Benford's Law for fraud detection, K-means clustering for customer segmentation
Unit 4: Portfolio analytics
Portfolio returns, risk and performance metrics (Sharpe ratio), Markowitz mean-variance framework and efficient frontier, stress testing and backtesting, visualization and reporting of financial insights