en:ddefimode2022

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en:ddefimode2022 [2022/07/04 15:26] – [Course metadata] cpoueten:ddefimode2022 [2025/09/02 11:12] (Version actuelle) – [Brief description] cpouet
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 +=====Course unit: Models and Decisions =====
 +** <color red> Beware! Under construction. </color> **
 +==== Course metadata ====
 +  * Title in French: Modèles et Décisions
 +  * Course code: tba
 +  * ECTS credits: 4
 +  * Type: ground course
 +  * Teaching hours: 100h
 +  * Period: September to mid-November
 +  * Language of instruction: English and French
 +  * Coordinator: tba
 +  * Instructor(s): Mitra Fouladirad, Christophe Pouet, Jiakun Zheng, Dominique Henriet, Clément Depoutre (BNP Paribas), Gaël Leboeuf (Aix-Marseille Université), Sitraka Forler (Post Luxembourg), Lirone Samoun (smartpush)
 +  * //Last update 02/09/2025 by C. Pouet//
 +
 +==== Brief description ====
 +
 +This course unit is divided into four parts:
 +  * ** Risk and decision ** (24 hours) taught by Dominique Henriet, Jiakun Zheng and Clément Depoutre
 +  * ** Statistics and decisions ** (24 hours) taught by Mitra Fouladirad and Christophe Pouet
 +  * ** Corporate finance ** (24 hours) taught by Gaël Leboeuf
 +  * ** Data project: business issues understanding** (20 hours) taught by Sitraka Forler and Lirone Samoun
 +
 +==== Learning outcomes ====
 +
 +  * Understand how economic agents take decision under uncertainty
 +  * Learn how to assess risk and how to compare risky situations
 +  * Learn how to model, estimate and predict time series
 +  * Financial statement reading and analysis
 +  * Capital budgeting
 +  * Understanding capital structure
 +
 +==== Course content ====
 +=== Risk and decision ===
 +  - Part 1 - Risk and Expected Utility
 +    - Introduction: diversification and mutualization
 +    - Risk measures
 +      - Risk magnitude: cumulative distribution and quantile function
 +      - Risk measures based on the quantile function, the actuarial approach
 +      - Risk measures based on CDF, the expected utility approach
 +    - Expected utility
 +      - Risk Aversion in the expected utility approach
 +      - The measure of risk aversion
 +      - The characteristics of risk aversion
 +  - Part 2 - Behavioral decision making
 +    - Decision under risk
 +      - Introduction to Expected Utility Theory, Risk Aversion and Measurement 
 +      - Behavioral Decision Theories under Risk
 +    - Decision under uncertainty
 +      - Eliciting Beliefs in Economics
 +      - Multiple Priors and Ambiguity
 +    - Time preferences
 +      - Discounted Utility Theory: Time versus Risk
 +      - Hyperbolic Discounting and Its Measurement
 +  - Part 3 - Introduction to financial risk management 
 +    - Risk management in banks
 +    - Market risks
 +    - Counterparty risks
 +
 +=== Statistics and decisions ===
 +  - Reminder on probability: conditional expectation
 +  - Stochastic processes in discrete and continuous time
 +  - ARMA process: definition, existence, characteristics (autocovariance, partial autocovariance)
 +  - Estimation of ARMA processes: identification, parameters estimation and validation
 +  - Extensions: SARIMA, ARCH and GARCH processes
 +
 +=== Corporate finance===
 +Golas: Understand tools and techniques used in Corporate Finance. (from financial
 +statement analysis and investment decision to financial structure and M&A)
 +  - Firms and Financial Markets
 +  - Introduction to Financial Statements Analysis
 +  - The Time Value of Money
 +  - Investment Decision Rules
 +  - Fundamentals of Capital Budgeting
 +  - Estimating the cost of capital
 +  - Startup financing
 +  - Crowdfunding
 +  - Initial Public Offering
 +
 +=== Data Project:  business issues understanding===
 +tba
 +
 +==== Bibliography ====
 +You can check the availability of the books below at [[https://www.centrale-mediterranee.fr/fr/centredoc|Centrale Méditerranée library]].
 +  - Risk and decision
 +     * [[http://dhenriet.perso.centrale-marseille.fr/risk/|course ebook]]
 +     * Gollier, C., Schlesinger, H. and Eeckhoudt, L. (2005). Economic and Financial Decisions Under Risk. Princeton University Press
 +     * Wakker, P. P. (2010). Prospect Theory: For Risk and Ambiguity. Cambridge university press.
 +     * Carvalho, A. (2016). An overview of applications of proper scoring rules. Decision Analysis, 13(4), 223-242.
 +  - Statistics and decisions
 +     * course handout
 +     * Brockwell, P.J. and Davis, R.A. (1991). Time Series: Theory and Methods. Second Edition. New York: Springer Verlag.
 +     * Box, J.E.P. and Jenkins, G.M. (1970). Time Series Analysis; Forecasting and Control. San Francisco: Holden Day.
 +  - Corporate finance
 +     * Berk, J. and DeMarzo, P. (2019) Corporate finance. Prentice Hall; 5th edition. 
 +     * Useful websites
 +       * [[http://pages.stern.nyu.edu/~adamodar|Aswath Damodaran at NYU]]: Course and video materials, formulas, spreadsheets, estimated risk premium, Cost of capital by sector and more. 
 +       * [[http://www.amf-france.org/Recherche-avancee?formId=BDIF|AMF]]. Annual reports and legal informations on French listed companies.
 +       * [[https://fr.finance.yahoo.com/|Yahoo! Finance]]. Financial data on listed companies.
 +
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