Différences
Ci-dessous, les différences entre deux révisions de la page.
| Les deux révisions précédentes Révision précédente Prochaine révision | Révision précédente | ||
| en:ddefifina2022 [2025/07/24 15:08] – [Bibliography] cpouet | en:ddefifina2022 [2025/09/02 11:30] (Version actuelle) – [Brief description] cpouet | ||
|---|---|---|---|
| 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 ==== | ||
| Ligne 29: | Ligne 29: | ||
| * Understand the portfolio management theory basics – how to build a portfolio | * Understand the portfolio management theory basics – how to build a portfolio | ||
| * Cover all major asset classes to have a deep financial culture | * 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 how finance products can be used to manage risk | ||
| * 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 77: | Ligne 78: | ||
| - Crypto funds | - 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 88: | 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 100: | 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 | ||
| * Portait, R. and Poncet, P. (2014). Market Finance. | * Portait, R. and Poncet, P. (2014). Market Finance. | ||
| * Fabozzi, F. J. (2012). The Handbook of Fixed Income Securities. | * Fabozzi, F. J. (2012). The Handbook of Fixed Income Securities. | ||
| - | * Hull, J. (2021). Options, Futures & Other Derivatives. Pearson. | + | * 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 | ||