Financial Modeling and Programming

Clase 1 - 2 de Noviembre de 2021

Identificación de los Riesgos

¿Cómo identificar causas y efectos de los riesgos en su empresa?

¿Qué puede ocurrir?
- Riesgo de mercado:
- Riesgo base: El riesgo que todas las empresas tienen, las empresas necesitan comprar
insumos para producir.
- El riesgo básico es la posibilidad de que la base se haya fortalecido o debilitado

Clase 2 - 5 de Noviembre de 2021

Behavioral Finance

Behavioral Finance
- Behavioral Finance is the study of how psychology influences the behavior of
financial investors and analysts, and how this affects the markets.
- Behavioral Finance is subfield of Behavioral Economics.
- The field of Behavioral Finance in the late 1970s to address the critique against the
assumptions that people are rational utility-maximizing actors and thar markets are
efficient.

Traditional Finance vs Behavioral Finance

Decision making error and biases

1. Self-Deception
2. Heuristic simplification
3. Emotion
 4. Social influence

Common biases in Behavioural Finance

Rational Choice Theory

Prospect Theory

Las personas tienen más sufrimiento cuando pierden que placer cuando ganan aunque sea la
misma cantidad.
Risk Aversion: Miedo de seguir invirtiendo por la posibilidad de que se pueda perder.
Market Anomalies
Small firms tend to outperform large firms
- Smaller firms often outperform larger corporations. The idea is that smaller firms can
grow much faster because they don't need to increase their sales as much as a big firm
to grow faster.
January effect

Low Book Value

Days of the week
 Linear Regression

Linear regression is a methodology used to estimate:

- The unknown effect of changing one variable, X independent (X being money on
education), on another variable, Y dependent (Y being SAT test scores)

Does linear regression imply causation?

Linear regression with one regressor

Ordinary Least Squares (OLS) regression

How do we find the equation of the regression line that is most useful to predict the
data?

Ordinary Least Squares (OLS) Estimator, Predicted Values, and Residuals

Theoretical justification for OSL (Gauss-Markov Theorem)

Graph heteroscedasticity & homoscedasticity

Theoretical justification for OLS (Gauss-Markov Theorem)

Simple linear regression- Interpretation of the results R Studio

Significant at 5% level, because p-value <0.05. Pr

Multiple Regression Model-more than one regressor
Least squares assumptions for multiple linear regression
Discrete Choice Models

Logistic Regression (Logit)

Clase 3 - 9 de Noviembre de 2021

Maximum Likelihood Estimator (MLE)
Pseudo R Square
Log-Odds Ratio

Marginal Effects
Receiver Operating Characteristic (ROC)