7FNCE014W Forecasting Market and Risk Modelling Sem 2 Assignment Brief 2025

ASSESSMENT BRIEFING

Assessment summary: This is an individual empirical project report that requires you to apply forecasting and risk modelling techniques covered in the module to financial market data. The aim is to demonstrate your ability to conduct research, analyse financial time series data, implement appropriate forecasting and risk models, interpret results, and provide critical analysis and recommendations.

Proposed structure:

The report should follow the structure outlined in the assessment brief, including:

1. Title page with abstract
2. Introduction
3. Literature review/theoretical framework
4. Data description and exploration
5. Econometric/statistical modelling approach
6. Results and interpretation
7. Conclusion and future research
8. References
9. Appendices (if needed)

Assessment Requirements:

You can choose any topic related to forecasting markets and risk modelling. You might want to choose a topic based on an interesting dataset or a published article. Do not agonize too long over choosing a topic. Once you have chosen a topic and collected the required data, do not be tempted to switch.

A replication study can be a good option. Get a published paper that uses models similar to those taught in Forecasting Market and Risk Modelling (such as GARCH, VaR, or EVT models). A replication study involves repeating similar empirical exercise using:

• extended data sets
• the same model on different data
• testing the robustness and sensitivity of the published results
• any other extension that adds to the existing work

LEARNING OUTCOMES ADDRESSED:

LO1: Acquire a comprehensive and critical understanding of the techniques and methodologies used in forecasting markets and risk modelling.
LO2: Demonstrate an ability to comprehend and critically evaluate current research, newly developed forecasting and risk modelling methods and recommend
alternatives.
LO3: Enhance their skills in programming with the use of software packages such as Matlab and Eviews
LO4: Critically analyse and apply in practice the different econometric and programming skills acquired, using real financial data.