Finance II 2400-FIM2FI2
Finance II is a course carried out on the basis of a program and standards compliant with the ACCA-accredited Finance II (ACCA) course. This does not mean that the ACCA standard exam is more difficult or easier than its equivalent taken in the WNE standard. It may be different, but it tests the same knowledge as the Faculty-standard exam. Participation in this subject and passing the exam according to the form required by ACCA standards may help students who are willing to take the exam for the ACCA (FM) certificate.
The following topics will be covered during lectures:
1. The nature and purpose of financial management
2. Interest rate risk – types of risk, causes of interest rate fluctuations, term structure of interest rates, yield curve, theories describing the yield curve shape, spot vs. forward rates, traditional methods of interest rate management (immunization, cash flow matching)
3. Foreign currency risk – types of risk, causes of exchange rate fluctuations, forecasting exchange rates, traditional methods of foreign currency risk management
4. Financial instruments used to hedge interest rate and exchange rate risk
a) Forward and futures contracts: forward contracts based on interest rates: forward-forward, FRA, foreign exchange, index and other contracts. Settlement of contracts, change in the investor's income due to a change in the price of the underlying instrument. Marking to market. Investment strategies using futures contracts: arbitrage, speculation and hedging.
b) Swaps: Types of contracts. Intermediaries, market and credit risk. Valuation.
c) Options: Options market. Types of options. ATM, OTM, ITM options. Factors influencing options' price. Binomial model. Black-Scholes model. Investment strategies: speculation, hedging and arbitrage.
5. Portfolio analysis: correlation of returns, portfolio return and risk, risk free assets, Sharpe model, CAPM model, Arbitrage Pricing Theory.
Type of course
Prerequisites (description)
Course coordinators
Learning outcomes
KNOWLEDGE:
After completing the course the student knows the basic topics within the area of portfolio theory and capital market models, understands how the forward market instruments work and what techniques to apply to analyse them.
SKILLS:
The students understands how return and risk are connected and is capable to use this knowledge to construct investment portfolios. The student is able to assess the fair value of forward market contracts and suggest investment strategies involving them.
SOCIAL COMPETENCES:
The student correctly identifies and resolves dilemmas related to using forward contracts in business activities. He or she is able to broaden the acquired knowledge and skills so as to expand them to the extent required for professional work. With a broad look at a variety of financial problems, the student can think and act in an entrepreneurial way.
Assessment criteria
To complete the course, the student has to pass a written exam once he or she has already passed the laboratory part of the course (i.e. acquired at least a grade 3 [sufficient grade]).
The exam is divided into three sections: Section A consisting of 10 multiple choice theoretical questions (each question is worth 1 point), section B consisting of 10 multiple choice questions with short calculations (each question is worth 2 points) and Section C consisting of 2 open questions (each question is worth 10 points).
The passing threshold is 50%.
exam pts 50 45-49 40-44 35-39 30-34 25-29 0-24
exam grade 5,5 5 4,5 4 3,5 3 2
When calculating the final grade, the tutorial grade is taken into account (tutorial grade weight 25%, exam grade weight 75%):
the exam grade
5,5 5 4,5 4 3,5 3 2
the
tut. grade
5,5 5,5 5 5 4,5 4 3,5 2
5 5,5 5 4,5 4,5 4 3,5 2
4,5 5,5 5 4,5 4 4 3,5 2
4 5 5 4,5 4 3,5 3,5 2
3,5 5 4,5 4,5 4 3,5 3 2
3 5 4,5 4 4 3,5 3 2
2 2 2 2 2 2 2 2
During the exam students have access to financial tables and can only use a simple calculator (not a mobile phone nor a financial calculator).
In the 2021/22 academic year, depending on the epidemiological situation the final exam and tutorial exam will be carried out in the room or distantly.
Bibliography
Mandatory literature:
J. Hull, Options, Futures, and Other Derivatives, 10th Edition 2017 (or earlier editions)
ACCA Financial Management (FM) study text
Blake D., Financial market analysis, John Wiley & Sons, 2000 (in English)
K. Jajuga, T. Jajuga, Inwestycje finansowe, PWN, Warszawa, 2015
(or earlier editions, in Polish)
Supplementary literature:
- Elton/Gruber, Nowoczesna analiza portfelowa i analiza papierów wartościowych, WIG Press, 1998
- Francis, Inwestycje, WIG Press, 2000
- Steiner R., Kalkulacje finansowe, Dom Wydawniczy ABC, 2000
- Tarczyński W., Rynki kapitałowe - metody ilościowe, Vol. I I II, Agencja Wydawnicza Placet, 2001
- Weron A., Weron R., Inżynieria finansowa, Wydawnictwa Naukowo-Techniczne, 1999
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: