en:ddefimode2022 []

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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.