Différences
Ci-dessous, les différences entre deux révisions de la page.
| Les deux révisions précédentes Révision précédente Prochaine révision | Révision précédente | ||
| en:ddefifina2022 [2024/06/28 15:18] – modification externe 127.0.0.1 | en:ddefifina2022 [2025/09/02 11:30] (Version actuelle) – [Brief description] cpouet | ||
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| Ligne 5: | Ligne 5: | ||
| * Title in French: Finance | * Title in French: Finance | ||
| * Course code: tba | * Course code: tba | ||
| - | * ECTS credits: | + | * ECTS credits: |
| * Type: advanced course | * Type: advanced course | ||
| * Semester 9 (Fall-Winter) | * Semester 9 (Fall-Winter) | ||
| Ligne 12: | Ligne 12: | ||
| * Language of instruction: | * Language of instruction: | ||
| * Coordinator: | * Coordinator: | ||
| - | * Instructor(s): | + | * Instructor(s): |
| - | * //Last update | + | * //Last update |
| ==== Brief description ==== | ==== Brief description ==== | ||
| Ligne 20: | Ligne 20: | ||
| This course unit is divided into four parts: | This course unit is divided into four parts: | ||
| * ** Portfolio management ** (24 hours) taught by Grégoire Hug. | * ** Portfolio management ** (24 hours) taught by Grégoire Hug. | ||
| - | * ** Financial risk management | + | * ** Financial risk modelling |
| * **Applied finance ** (24 hours) taught by Julien Belon and Vincent Bonnamy: this part is about the theoretical aspects of corporate and market finance applied in real life. | * **Applied finance ** (24 hours) taught by Julien Belon and Vincent Bonnamy: this part is about the theoretical aspects of corporate and market finance applied in real life. | ||
| - | * **Data Project: data sources and preprocessing** (20 hours) taught by tba. | + | * **Data Project: data sources and preprocessing** (20 hours) taught by Sitraka Forler and Lirone Samoun. |
| ==== Learning outcomes ==== | ==== Learning outcomes ==== | ||
| + | * Learn what is the asset management industry and what are each player’s target | ||
| + | * Understand the portfolio management theory basics – how to build a portfolio | ||
| + | * Cover all major asset classes to have a deep financial culture | ||
| + | * Understand how the supervision financial risks organized | ||
| + | * Know how to model and compute the associated capital charges are computed | ||
| * Understand the similarities in the concepts of market and corporate finance | * Understand the similarities in the concepts of market and corporate finance | ||
| * Understand how finance products can be used to manage risk | * Understand how finance products can be used to manage risk | ||
| - | * Know how to organize an investment process | ||
| * Know how to evaluate and to value a company | * Know how to evaluate and to value a company | ||
| - | * Understand the definition, measurement and pricing of credit risk | ||
| - | * Know how banks are regulated | ||
| - | * Know the various jobs of finance | ||
| Ligne 41: | Ligne 42: | ||
| - Introduction to portfolio management | - Introduction to portfolio management | ||
| - | | + | |
| - | - Fixed Income Investing | + | - The investment |
| - | - Fixed Income Investing | + | - Main asset classes |
| - | - Alternative asset classes and Performance Measurement | + | - Fixed income asset class - basics |
| - | - Asset management trends | + | - Sources of risk and return |
| - | - Project: Portfolio construction | + | - Main strategies |
| + | - Application on a fixed bond | ||
| + | - Fixed income asset class - advanced | ||
| + | - Fixed Income products and associated strategies | ||
| + | - Calculation example - fixed bond | ||
| + | - Rate curves bootstrapping | ||
| + | - Application on a callable bond | ||
| + | - Back to Equity | ||
| + | - Equity Market history and overview | ||
| + | - Classic steps in an investment process | ||
| + | - Active vs Passive Investment management | ||
| + | - Application on an equity European portfolio | ||
| + | - Alternative asset classes | ||
| + | - Currency | ||
| + | - Private Equity | ||
| + | - Real Estate | ||
| + | - Private Debt | ||
| + | - Infrastructure | ||
| + | - Risk and Performance | ||
| + | - Performance Measurement | ||
| + | - Risk and Performance Metrics | ||
| + | - Risk Measurement | ||
| + | - Asset allocation | ||
| + | - Asset allocation based on investment profile | ||
| + | - Capital Protection | ||
| + | - Innovation in Asset Management | ||
| + | - Smart Beta portfolios & passive indexing | ||
| + | - Alternative data sources | ||
| + | - ESG (intro) | ||
| + | - Crypto funds | ||
| - | === Financial risk management | + | === Financial risk modelling |
| - Introduction: | - Introduction: | ||
| - Modeling defaults: structural models and ratings | - Modeling defaults: structural models and ratings | ||
| - | | + | - Banking regulation on credit risk; market and counterparty credit risk |
| - | | + | - Overview of the VaR methodologies and pros/cons for each |
| + | - Monte-Carlo techniques applied in Finance | ||
| === Applied finance === | === Applied finance === | ||
| Ligne 59: | Ligne 90: | ||
| * Application areas of | * Application areas of | ||
| * Accounting Basic Methods | * Accounting Basic Methods | ||
| - | * Valuation methods | + | * Valuation methods |
| - | * We know how to value a company. Now what? Different types of operation | + | * We know how to value a company. Now what? Different types of operation |
| * Introduction to Fintech and start-up ecosystem | * Introduction to Fintech and start-up ecosystem | ||
| - Applied market finance – Options: Pricing, Hedging & Risk Management | - Applied market finance – Options: Pricing, Hedging & Risk Management | ||
| - | * Market finance: players and products | + | * Market finance: players and products |
| * Future and forward: pricing & hedging | * Future and forward: pricing & hedging | ||
| * Options: replication and pricing | * Options: replication and pricing | ||
| Ligne 71: | Ligne 102: | ||
| Tba | Tba | ||
| ==== Bibliography ==== | ==== Bibliography ==== | ||
| - | You can check the availability of the books below at [[https://documentation.centrale-marseille.fr/ | + | You can check the availability of the books below at [[https://www.centrale-mediterranee.fr/fr/ |
| - Portfolio management | - Portfolio management | ||
| - | * Roland | + | * Portait, |
| - | * Franck | + | * Fabozzi, F. J. (2012). The Handbook of Fixed Income Securities. |
| + | * Hull, J. (2021). Options, Futures & Other Derivatives. 11th Edition. Pearson. | ||
| - Financial risk management | - Financial risk management | ||
| - | * Gourieroux C. and Tiomo, A. (2007) Risque de crédit | + | * Jorion, P. (2006). Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition. McGraw Hill |
| - | * Merton R. (1998) Continuous time finance, Blackwell Publishers. | + | * Gregory, J. (2015). The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital. |
| - | * Bruyere R., Cont R., Fery L., Jaeck C. and Spitz T. | + | |
| * Roncalli T. (2016). Risk Management & Financial Regulation ([[http:// | * Roncalli T. (2016). Risk Management & Financial Regulation ([[http:// | ||
| - Applied finance | - Applied finance | ||