The MBA is acquired with the intention of being an expert in running all aspects of a business; thus, the best and most powerful project is likely to be making a business yourself. There are several aspects to creating a business (1) selecting an industry to enter; (2) choosing a product or service to provide; (3) writing a financial plan to present to banks (for a loan) or investors; (4) finding investors to help start up the business; (5) acquiring the legal right to operate a business; (6) assessing the competition so that you enter the market in the most profitable way possible. Since you are currently in school, you have the advantage of having lots of other entrepreneurial workers around you––make use of them by asking them for commentary and/or asking them to partner with you.
Another option more directly related to creating a finance project is to develop a financial plan for someone else or an entire business. Your financial plan should include a business plan, which means you want to assess the total value of the assets, liabilities, and expected earnings potential of the company. For more information on that, consult a basic MBA textbook on writing a business plan. Secondarily, your financial plan will need to include where the business should invest any extra capital in the short-, medium-, and long-term. An example of a short-term investment would be hiring another staff member to handle any customer orders. An example of a medium-, and long-term investment would be developing an investment portfolio of stocks and bonds.
A purely academic way to approach a finance project would be to complete a study of an important period of history. For example, you could compare and contrast, in broad terms, the 2007–10 recession to the Great Depression of the 1920s. Alternatively, you could compare a specific aspect of those time periods to determine how businesses manage to handle the circumstances (e.g. compare how banks and/or businesses handled the credit freezes). To perform a comprehensive survey of these time periods (or any other), you will need to read substantially about the economic context of the time period and study basic economic empirical methods for research (i.e. Econometrics).