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III. Financial Markets And Econometrics II
3.1. Financial Econometrics II (Advanced statistical financial modelling)
This course further develops the concepts of econometric models and statistical techniques used in empirical research, with a focus on their application to relevant financial issues. It aims to bridge the gap between standard and advanced econometric techniques for estimation, testing, and forecasting in finance by addressing the topics such as maximum likelihood estimations, model selection, forecast methods, return predictability, asset pricing models and event studies.
3.2. Financial Markets II (Fixed income financial instruments)
The course starts with an overview of financial mathematics. Then the course investigates fixed-income instruments, such as bonds and treasury securities. It aims to create a bridge with fixed Islamic financial instruments which also comply with the Sharia, such as Sukuk. Topics include especially bond pricing, bond yields, bonds sensitivities, term structure of interest rates, the management of fixed income portfolios, credit bonds and credit derivatives. As this course will make clear, many fixed income instruments offer less fixed income than suggested by their names.
3.3. Financial Markets III (Advanced Islamic financial instruments)
This course is devoted completely to Islamic financing instruments, mechanisms, and markets. At this stage of the programme, the discussion will center only on markets and instruments that do not contain contingent claims; the latter will be treated in Module IV of the programme. The course especially focuses on Sukuk. Topics include : the definition of sukuk, Shari’a implications, recent statistics and future developments, types of sukuk as specified by the AAOIFI, sukuk management, sukuk issuing, investment portfolio of sukuk, sukuk trading and rating.
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