UNIVERSITE TOULOUSE 1 CAPITOLE

INSTITUT DADMINISTRATION DES ENTREPRISES

MASTER FINANCE 2ME ANNE

MASTER IN FINANCIAL MARKET AND RISK EVALUATION ANNEE UNIVERSITAIRE 2012-2013

RESPONSABLE FANY DECLERCK

PROFESSOR OF FINANCE

INSTITUT DADMINISTRATION DES ENTREPRISES 2 RUE DU DOYEN GABRIEL MARTY - 31042 TOULOUSE CEDEX 9

TELEPHONE : +33 (0)5 61 63 56 11 TELECOPIE : +33 (0)5 61 63 56 56 e-mail : master2.finance@iae-toulouse.fr

www.iae-toulouse.fr

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Generaloverview

Indepthandintensive,theMasterinFinancialMarketsisafulltime,entirelytaughtinEnglishprogrammeToulouseUniversityGraduateSchoolofManagement(IAEToulouse).Thedifferentcoursesemphasizethelinksbetweenfinancialeconomicstheories,quantitativeskillsandkeyfinanceactivities.Financeisscience,soquantitativeskillsareneededbutfinanceisstillbusiness,sorealworldrelevanceiscrucial.Thereforeweofferuptodate fundamental topics likeempirical finance,historicalepisodes, complianceor regulation.Topicsarechosenintheeconomicscoursesfortheirrelevancetofinanceincloseconsultationwithapanelofadvisers from leading financial institutions (see thepartnershipssection).Thispanelhelpsensure thatthechoiceandcontentofcoursesmatchtheneedsofemployers.

Six core modules ensure you cover all the key areas of financial markets and give you a broadunderstandingof thecritical issues:ethics,arbitrage,hedge funds,assetmanagement,marketvaluation,trading, insurance, riskanalysis&corporatestructuring.Coursesaredelivered throughacombinationoflectures,interactiveclasses,andcomputerlabsessionstocombinearigorousacademiccorewithadvancedtechnicalskills.Assessmentisamixofexamsandprojects,bothindividualandbygroup.

Thequalityofanacademicprogrammeundoubtedlydependson thequalityoftheprofessors.TheteamteachingtheFIREprogrammeisamixofinternationalresearchersandinternationalpractitionerswhoareamongthebestintheirfieldofexpertise.Ontheresearchersside,theprofessorsarefromIAEToulouseandTSE, including internationalmembers,graduated from the worlds greatest universities. They bring to the FIRE programme their teachingexperience inwellknown internationalprogrammes suchasGeorgiaStateUniversity,HECParis,LondonBusiness School, New York University, Princeton University, University of California Santa Barbara,UniversityofOxford,andUniversityofWarwick.On theprofessionalexpertsside,wecallon toppractitionerswith relevantexperience to teach,agreatwayto immersethedegree inundogmaticwisdom.Theydeliver33%ofthecoursestaughtandwork,forinstance, for BNP Paribas Fortis, Crdit Agricole, Courrges Investment Solutions, LCL Crdit Lyonnais,WielandCapital,NatixisGlobalAMMorethan50%ofthesepractitionersworkforinternationalfirms.

In the samemanner, the finance department has developed a strong and clear focus on developingpartnershipswithcompanysponsoredchairs.Allthesecompaniesbenefitfrom internationalvisibilityandnetworking opportunities. These 5 chairs are: Finance Durable et Investissement Responsable (AllianzGlobal Investors France,Association Franaisede laGestion Financire,Axa InvestmentManagers,BNPParibasAssetManagement,Caissedesdpts,Amundi,DexiaAssetManagement,Ecofi Investissements,Financire de Champlain, Fonds de Rserve pour les Retraites, Groupama Asset Management, HSBCInvestmentsFrance,Institutd'EconomieIndustrielle,LaBanquePostaleAssetManagement,LaCompagnieFinancireEdmonddeRothschildAM,MacifGestion,NatixisAssetManagement,UFGSarasinAM),CapitalMarketDysfunctionalities(PaulWoolleyResearchInitiative),SCOR(Socitderassuranceinternationale),FdrationdesBanquesFranaises(BNPParibas,Calyon,CrditAgricoleAM,ParisEuroplaceFinance)andfinallyBanquedeFrance.

Careerobjectives

Formerstudentsfromthismasternowwork inmajor international investmentbanksandfirms.Examplesof jobs include: trading, sales, structuring, asset manager, risk manager, actuarial assistant, modellinganalyst,consulting,compliance,middleoffice,debtcapitalmarket,wealthmanagement,financialanalyst,realestatemanager,M&A,privateequity

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Afewexamplesofstudentcareers

AssociatedirectorBNPParibasCorporateandInvestmentBankingHungaryBranch

CoalderivativestraderEDFTradingLondon

CommodityderivativesBNPParibasNewYorkCity

FrontofficedeveloperOddoOptionsHongKong

Frontoffice supportproprietary tradingABS&CDONatixisLondon

Interestrate&derivativestradergroupALM

BNPParibasCorporateandInvestmentBankingParis

NaturalgascommoditiesportfoliomanagersStavangerAreaNorway

Sugar&biofuelriskanalystBungeLondon

TradesupportassociateDeutscheBankLondon

TradinganalystSocit Gnrale Americas Securities New YorkCity

TreasurymarketriskanalystCrditAgricoleCorporateandInvestmentBankingNewYorkCity

TreasurymoneymarketsalesCrditAgricoleCorporateandInvestmentBankingParis

Toeaseintegrationandsuccessintheirfuturejobs,studentsalsobenefitfrom:

Adedicatedtradingroomequippedwithatradingplatform(GLTrade),aswellasothersoftwaresforthecourses(SAS,SAP,BusinessObjects).

Anannualjobfair. Aninternshipdatabaseallowingstudentstofindoffersfrompartnercompaniesandseeinternships

offeredinpreviousyears.

TheopportunitytotakeagapyearbetweenthefirstandsecondyearsoftheMaster.Thisbreakallows students to undertake long term internships (for 917 months), and enrich their workexperience.

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Programme

StudentsdonotneedtospeakFrenchtoenrollintheprogramasallcoursesareofferedinEnglish.

Coursestakeplace fromSeptember totheendofMarch.Thenstudentsmustwriteaprofessionalthesisandfulfilla6monthsinternshiprequirementinordertograduate.Itishoweverimportanttostressthatthisprofessionalexperiencemaynotbeaninternshipperse.Ourpolicyisthatthebesttypeofinternshipisafulltimejob!

20122013practionerlectureswillbe:

- BEUZITCyril,globalheadofinterestratestrategy,BNPParibas(London):ECB,sovereigndebtcrisis&financialmarkets

- DELPECHJeanFranois,headofequityresearch,ODDOSecurities(Paris)- FLEURYNicolas,trader,CACIB(London):interestratederivativetrading- FOLDVARISandrine,quant,AHL(London):quantitativetradingstrategies- HAFIDHasnaa,advisor,IRDI/ICSOPrivateEquity(Toulouse):venturecapital&growthcapital- delaRAITRIEAlexandre,relationsinvestors,DNCAFinance(Paris):micro&macroanalysis- REUTENAUERVictor,creditquantanalyst&vicepresident,Citigroup(London):numericalmethods

&interestratederivative

1/ Asset PricingH ECTS H ECTS

1.1 Valuation of financial assets and arbitrage Ekaterina VOLTCHKOVA 24 241.2 Fixed income markets Stphane VILLENEUVE 12 121.3 Pricing with asymmetric information Alexander GUEMBEL 12 121.4 Computational finance Nikos SKANTZOS 27

2/ Economics of insurance & financial marketsH ECTS H ECTS

2.1 Microeconomics of insurance Guillaume PLANTIN 24 242.2 Trading Sbastien POUGET 24 10 24

2.3 Markets and design of structured products Johann BARCHECHATH 12

3/ Investments and risk managementH ECTS H ECTS

3.1 Asset management Sbastien POUGET 123.2 Risk analysis Stphane VILLENEUVE 24

3.3 Socially responsible investments & ethicsLivui ANDRONIC + Philipp ZAOUATI 24

3.4 Alternative investments and hedge fundsJean de COURREGES + Augustin LANDIER 15

3.5 Financial risk management for corporate Johann BARCHECHATH 243.6 Market risk management Christophe BERTET 12

4/ Quantitative methods for insurance & financial marketsH ECTS H ECTS

4.1 Empirical finance Fany DECLERCK 18 18 44.2 Econometrics for finance Christian BONTEMPS 244.3 VBA for finance Christophe BISIERE 244.4 Excel for finance Sophie MOINAS 124.5 Life insurance 184.6 Non life insurance 12

5/ Research methods in finance H ECTS H ECTS

5.1 Theory of organizations Assad EL AKREMI 245.2 Research seminars FIT 245.3 Capital markets and intermediaries Guillaume PLANTIN 365.4 Corporate finance Augustin LANDIER 36

6/ Internship or research dissertationH ECTS H ECTS

6.1 Practitioner lectures in finance 126.2 Career development skills 6 66.3 Internship or research dissertation 20 20

TOTAL 392 60 260 60

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Research

Research

Research

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Pro Research

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Pro Research

ResearchPro

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- VIGUIER Laurent, commodities portfolio managers, Statoil (Stavenger Norvge): valuation offlexiblegas,oilandpowercontracts

- STRATFORD Christopher, international management consultant, ProDev Consultants (Toulouse):helpingpublicandprivateinstitutionsprepareforinterculturalchange(restructuring,acquisitions,privatisation...)

AdmissionsCriteria

AccesstothesecondyearoftheMasterinFinanceisopento(uponnotificationbytheadmissionjury)

Studentswhohavecompleted60creditsinthe1styearoftheMasterinFinanceatIAEToulouseorinthe1styearofaMasterattheEcoled'conomiedeToulouseTSE

Other students holding a FrenchM1 (4year degree) or a foreign equivalentworth 240 credits(ECTS) inbusiness&management,economics,engineering,finance, law,mathematics,scienceorsocial sciences, after evaluation of their academic record, TAGEMAGE or GMAT results, andpossiblyaninterview.

Accesstothedoctoralprogram

Ourmasterprogrammeoffersa'researchtracktopreparestudentsforthedoctoralprogrammeandPhDinFinance.

Studentswhochoosetofollowtheresearchtrackwilltakespecificresearchorientedcourses.Specifically,theunit"Researchmethodsinfinancereplacescertainpractitionerscourses.

Moreover,studentsmustwriteashortresearchthesiswhichmay(butdoesnothaveto)formthestartingpointforadoctoraldissertation.

AdmissiontothedoctoralprogrammeisthensubjecttoexcellentperformancewithintheFIREprogramme,possibly some additional coursework, the development of a promising research agenda, and theidentificationofanappropriatesupervisor.

Businesspartnership

Since2002, the followingorganizationshaveparticipated in the curriculumand/orprovided internships:Airbus,AlcatelSpace,Astrium,Atos,BanexiVenturesPartners,BanquedeFrance,BanqueCourtois,BNPParibas,BPCE,CaissedesdptsetConsignations,Calyon,CapGemini,CrditAgricole,CIC,CrditMutuel,Dassault System, Dexia Asset Management, EADS, EDF, HSBC, LCL, EuroMTS, Euronext, EurosportInternational, Finance Conseil, Lipton Informatique Conseil, KPMG, Logica, Morgan Stanley, Motorola,Natixis, Murex, Omnium Finance, Pierre Fabre, Renault, Socit Gnrale, SGAM, Siemens VDOAutomotive,SopraGroup,Steria,Talan,ThalesAvionique,Valuego

ScientificOversight

TheMasterbenefitsfromthescientificenvironmentattheUniversityToulouse1Capitole.

The courses and faculty are founded on the scientific expertise of the CRM (Centre de Recherche enManagementUMRCNRS5303),andtheIDEI(InstitutdEconomieIndustrielle),theTSE(ToulouseSchoolofEconomics)andtheGREMAQ(GroupedeRechercheenEconomieMathmatiqueetQuantitativeUMRCNRS5604).The seminarsand conferencesorganizedby these research labsarean integralpartof thecurriculum.

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Doctoralschoolinbusinessadministration

The IAEhasanaccrediteddoctoral school specificallydedicated tomanagement.This structureprovidesstudentswhowishtoprepareathesis infinanceahighqualityscientificenvironmentaswellasastrongpedagogicalstructuretocompletetheireducation.Throughtheparticipationofassociatedresearchteams,scientificandprofessionalpartnerships,andafacultyto leadtheschool,doctoralstudentsgainaccesstointernationalnetworks.

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Valuationoffinancialassetsandarbitrage(24hrs)EkaterinaVOLTCHKOVA

Courseoverview1.AssetpricingBasicsFundamentalConceptsCoxRossRubinsteinmodel.Introductiontooptionpricing2.ContinuousTimeModelsItFormulaGeometricBrownianMotionArbitragepricingincontinuoustimeChangeofprobabilitymeasureBlackScholesmodel3.AdvancedOptionPricingForeignexchangeForward,FuturesExoticOptionsAmericanOptionsPrerequisite(s)BasicsofprobabilitytheoryTextbook&references

- BackK.(2005):Acourseinderivativesecurities,Springer- HullJ.(1999):Options,futuresandotherderivatives,PrenticeHall.- LambertonD.etLapeyreB.(1997):Introductionaucalculstochastiqueappliqulafinance,

Ellipsesmarketing.- BjorkT.(2004):Arbitrage,TheoryinContinuousTime,OxfordUniversityPress

AssessmentFinalwrittenexam

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Fixedincomemarkets(12hrs)StphaneVILLENEUVE

Courseoverview

1. InterestRateRiskSpotandforwardLIBORmarketBondpricing

2.InterestRateDerivativesForwardprobabilitymeasurecaps,floors,swaptionsLearningobjectivesUnderstandingfixedincomemarketmechanismPrerequisite(s)StrongbackgroundinprobabilityandfinancialeconomicsTextbook&references

- BackK.(2005):Acourseinderivativesecurities,Springer- MusielaM.andRutkowskyM.(2005):Martingalemethodsinfinancialmodelling,Springer.

AssessmentFinalwrittenexam

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Microeconomicsofinsurance(24hrs)GuillaumePLANTIN

CourseoverviewSession12.Howdoindividualsmakedecisionsunderuncertainty?TheeconomistsviewExpectedutilitytheory,riskaversionSession3.DesignandpricingofinsurancecontractsDemandforinsurance,insurancesupply,insuranceversusselfinsuranceSession4.Endogenousrisk:moralhazard,conflictsbetweenrisksharingandriskmitigationAgeneralformulationofmoralhazard,moralhazardininsurancemarkets,moralhazardelsewhereinfinanceSession5.Isrisksharingstillfeasiblewhensomepeopleknowmorethanothers?The lemonsproblem, insurance inthepresenceofadverseselection,adverseselectionelsewhere infinanceSession6.Whyandhowshouldlargecorporationsmanagerisks?Introductiontocorporatehedgingtheories,prudentialmanagementofinsurancecompaniesSession7.ReviewsessionReviewkeyconcepts,practicewithexercisesSession8.ExamLearningobjectives

Tounderstandhowmarketforcesshapecontractsandpricesininsurancemarkets Tobeabletostrategicallydesignandpriceinsuranceproductsandotherfinancialproducts

inthepresenceofinformationalfrictions Tounderstandhowriskmanagementcreatesvalueforcorporations

Prerequisite(s)NoneTextbook&referencesEeckhoudt L., C. Gollier et H. Schlesinger, (2005), Economic and Financial Decisions underUncertainty,PrincetonUniversityPressAssessmentFinalwrittenexam.Closedbook.Nocheatsheet.

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Trading(24hrs)SbastienPOUGET

CourseoverviewThis course is organized around model analysis, class discussions, and trading simulations. Thesoftwarewewilluse isuptick learning.Thissoftwareputsstudents in theshoesof traders inarealisticenvironment.Thevarioustopicsthatwillbecoveredinclassinclude:1.Thelawofoneprice2.Limitsofarbitrage3.Marketefficiency4.TradingstrategiesLearningobjectivesThe objective of this course is to better understand how prices are formed and what tradingstrategies are used in financialmarkets. The influence of risk aversion, competition, asymmetricinformation,andinvestorspsychologyontradingwillbediscussed.Prerequisite(s)BasicstatisticsandeconomiccoursesTextbook&referencesAsset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding,MarkusBrunnermeier,2001AssessmentTheevaluationforthiscoursewillbebasedonanoralorwrittenexamination.

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Marketsanddesignofstructuredproducts(12hrs)JohannBARCHECHATH

CourseoverviewStructuredProducts(SP)areanassetclasspersebuthasbeenusedforgoodandbadpurposes.ThiscourseoffersanoverviewofSPintermofmarket,stakeholdersandvalueaddedfortheeconomy.Wewillanswerseveralquestionsas:whytousethem,howaretheybuild,whataretheimpactforbanksLearningobjectives1DevelopmentandmarketsofStructuredProducts2TypeofSP3OrganizationofaDealingRoom&processtocreateSP4ExoticsoptionsandStrategies:buildingblocksofSP5Structuringtoolsandexamplesofproducts(Termsheet,)6CasestudyPrerequisite(s)Valuationoffinancialassetsandarbitrage(K.VOLTCHKOVA)Fixedincomemarkets(S.VILLENEUVE)Knowledgeofderivatives(includingoptions&greeks).VisualBasicforExcelTextbook&references

- JohnHullOptions,Futures&OtherDerivatives- http://www.risk.net/structuredproducts- http://www.oenb.at/en/img/phb_internet_tcm1611173.pdf

AssessmentCasestudy

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Assetmanagement(12hrs)SbastienPOUGET

CourseoverviewThiscourseexploresthepracticalaspectsofassetmanagement.Thefocusisoninvestmentpolicies,investment strategies,andperformanceevaluation.Particularattention isdevoted to the factorsinfluencing securities prices including asymmetric information and investors psychology. Thesevarious topics are introduced through lectures, class discussions, readings, and computerizedapplications.Awebbased10weeksimulationisorganizedinordertoprovidestudentswithafirsthandexperienceinassetmanagement.LearningobjectivesAfterthisclass,studentsshouldbeabletoperformthefollowingtasks:1.Understandingtheinvestmentmanagementprocess2.Settingupaninvestmentpolicy:3.Implementinginvestmentstrategies4.EvaluatingmanagementperformancePrerequisite(s)BasicmathematicsandstatisticsTextbook&references

- Investments,ZviBodie,AlexKane,andAlanMarcus,Irwin.- ActivePortfolioManagement,RichardGrinoldandRonaldKahn,McGrawHill- InternationalInvestments,BrunoSolnikandDennisMcLeavey,Pearson

AssessmentThiscourseisevaluatedthroughanoralexamination.

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Riskanalysis(24hrs)StphaneVILLENEUVE

Courseoverview1. SomeBasicsofRiskModelling

2. Introductiontoriskmeasures

3. RiskManagementinFinance(PortfolioChoice)

4. RiskManagementinInsurance(RiskSharing)

5. Shareholdervalueandcapitalstructure

LearningobjectivesUnderstandingtheriskmanagementtoolsPrerequisite(s)StrongbackgroundinprobabilityandfinancialeconomicsTextbook&references

- BeneplancRochet:RiskManagementinturbulenttimes,OxfordUniversitypress.- Hull:RiskmanagementandFinancialinstitutions,Prenticehall.

AssessmentFinalwrittenexam

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SociallyResponsibleInvestmentsandEthics(6hrs)PhilippeZAOUATI

CourseoverviewHow Socially Responsible Investments (SRI) can change the relationship between investors andfinancialmarketsDescriptionoftheRImarketworldwide.Extrafinancialresearch:environment,social&governance(ESG)criteria.Reviewoftheinvestmentprocesses&approaches:bestinclass,thematicfunds,impactinvestingCorporategovernance,vote&engagement.SRIandsustainabledevelopment.LearningobjectivesUnderstandthatSRI ismorethaninvestmenttechniquesandethicsbutanewwayofapproachinginvestments.UnderstandthatSRIisalinkbetweeninvestments,financialmarketsandtherealeconomy.Thewayweinvest=thefuturewewant.Prerequisite(s)Basicknowledgeoffinancialmarkets&modernportfoliotheory.Textbook&referencesInvestirResponsable,enqutedenouvellesvaleurspourlafinance,ditionsLignederepres.AssesmentTobedefined.

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SociallyResponsibleInvestments(6hrs)LiviuANDRONIC

CourseoverviewThis class discusses the ways in which socially responsible investments (SRI) affect corporatefinancingandthefunctioningoffinancialmarkets.Withinfirmssociallyresponsibleinvestmentsaretightly related to thenotionofcorporate social responsibility (CSR).Weare thus looking into theimplications of a socially responsible approach on investment decisions and corporate behavior,especially in thecontextof institutional investors,extrafinancialratingsagenciesandshareholderactivism.WeexamineseveralexamplesofactualCSRimplementationswithinfirms.LearningobjectivesAt the end of the class students are expected to understand the rationale behind sociallyresponsibleinvestments(investorside)andcorporatesocialresponsibility(firmside);andtherolesof the various SRIrelated actors (institutional investors, extrafinancial ratings agencies andshareholderactivists).Theyshouldbeabletoprovidespecificexamples.Prerequisite(s)Acourseinfinancethatcoversbasicaspectsoffinancialmarketsandcorporatefinancing.Textbook&references

- AugustinLandierandVinayNair,InvestingforChange,OxfordUniversityPress2009- Markus Kitzmueller and Jay Shimshack, Economic Perspectives on Corporate Social

Responsibility,JEL2012(forthcoming)- The Economist, Just good business A special report on corporate social responsibility,

January2008AssessmentAshortexamofabout30min,consistingof34openendedquestions.

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Financialriskmanagementforcorporate(24hrs)JohannBARCHECHATH

CourseoverviewOver the last 50 years, financial risks within corporation were a growing concern. The currentvolatilefinancialmarkethighlightstheurgetounderstand,quantifyandhedgesuchrisks.Focusingoninterestratesandforeignexchangerisks,thecourseoffersadescriptionofthestakeholders,themarketsandtheproductsusedtoassistthetreasurerinhisdailytasks.ReviewBasicproducts:spot,forward,Fxswap,FRA,IRSVanillaFXoption,Cap&Floor,Swaptions,ExoticOptionsLearningobjectivesBrokerGame:apracticalapproachtofinancialmarkets(order,liquidity,trading...)FundamentalprinciplesofforeignexchangemarketFundamentalprinciplesofinterestratemarketAnalyzeofforeignexchangeandinterestraterisksPrerequisitestosetupanhedgingpolicyOrganizedexchangesvsOTCmarketValuationofderivativesHedgingsolutionInvestmentssolutionsPrerequisite(s)Valuationoffinancialassetsandarbitrage(K.VOLTCHKOVA)Fixedincomemarkets(S.VILLENEUVE)FinancialmathematicsBasicsonderivativesExcelTextbook&references

- JohanHullOptions,Futures&OtherDerivatives- FinancialDerivatives:PricingandRiskManagement(RobertW.KolbSeries)- OptionsonForeignExchange(WileyFinance)- CorporateTreasuryandCashManagement,R.Cooper

AssessmentMultiplechoicequestionCasestudy

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Marketriskmanagement(12hrs)ChristopheBERTET

Courseoverview1.1 RiskManagementBasicsThisobjectiveofthissectionistogetanoverviewofthemainrisksanyinvestoronfinancialmarketshastocopewith:marketrisk,creditrisk,liquidityrisk,operationalrisk.1.2 MarketRiskControlWithafocusonmarketrisk,wewillexamine:

o Thehedgingmechanismso Themainriskmetrics:

Sensitivities,GreeksValueatRiskStressTests

Thesethreetypesofindicatorswillbestudiedindetail.1.3 MarketRiskinAssetManagementThepurposeofthissectionistoprovidestudentswithanintroductiononhowanassetmanagementfirmworksinpractice,theresponsibilitiesofthekeyinvestmentprofessionalsandbusinesssupportstaff,andthebestpracticesoftheRiskControlfunction.Thenwewillstudythemostpopularriskindicatorsusedintheassetmanagementindustrytoassesstheriskassociatedwithaninvestmentinamutualfundandahedgefund.PrerequisiteBasicsonfinancialinstruments(securitiesandderivativesproducts)Textbook&references- JohnC.HULL,PrenticeHallInternationalEditions:Options,Futures,andOtherDerivatives- JeanMATHIS,ditionsEconomica:GestiondActifs- NolAMENC, SbastienBONNET,GautierHENRY, LionelMARTELLINI,AxelWEYTENS, ditions

Economica:LaGestionAlternative- MarkJ.P.Anson,WileyFinance:HandbookofAlternativeAssets

AssesmentTobedefined.

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Empiricalfinance(18hrs)FanyDECLERCK

CourseoverviewThiscourseaimsatunderstandinghowSAScanbeusedtostoredata,performdescriptivestatistics,runeconometrics,ormanagebankingor capitalmarketactivity.Using realdataand realevents,studentshavetotesttheCAPMmodel.LearningobjectivesAnalyticalandresearchskills:skillsofproblemdefinitions;problemsolving;datasearch,collectionandanalysisforbusinesspurposes.Quantitativeskills:theabilitytomanipulateandinterrogatequantitativedata.Qualitative skills: theexerciseof judgement, theweightingof evidence, and thedevelopmentofreasonedargument.Theoutlineofthecourseisasfollows:1.WhatisSAS?2.Datastep,procstep,format&date3.Eventstudy&CAPMPrerequisite(s)EconometricsforfinanceCAPMTextbook&references

- R.P.CodyetJ.K.Smith,AppliedstatisticsandtheSASprogramminglanguage,PrenticeHallCollegeDiv,2005.

- DuguetE.,IntroductionSAS,Economica,2004.- GeoffD.andB.S.Everitt,AhandbookofstatisticalanalysesusingSAS,BocaRaton;London;

NewYork,Chapman&Hall/CRCcop.2002.- DestandauS.etM.LeGuen,AnalyseexploratoiredesdonnesavecSAS,INSEE,1998.

AssessmentHomeworkandprojectevaluation.

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Econometricsforfinance(24h)ChristianBONTEMPS

CourseoverviewThisseriesoflecturesintroducesstatisticalandeconometrictoolsfortheanalysisoffinancialdata.The lectures are a mix between formal lectures and applied sessions where we work with thesoftwaresEVIEWSandEXCEL.Afterabriefintroductiondedicatedtodescriptivestatisticsinthecaseoftimeseries,wefirstfocusonlinearforecastingwhereweexplorethebasictechniquesandapplythemformodelingassetreturns.Forthispart,onlyunivariatetimeseriesareconsidered.WethenintroduceconditionalHeteroskedasticprocesseswhohavebeenwidelyusedformodelingvolatilityoffinancialassets.Wefocusonthebasicmodels, i.e.ARCH(p),GARCH(1,1),NGARCHandexplorehowthesemodelscanbeextendedtomodelmultivariatereturns.Finally,weintroduceValueatRiskmodelsandpresentaneconometricapproachtoVaRcalculation.Backtestingmethodstoassesstheperformanceofthesemodelsarealsointroduced.LearningobjectivesTheobjectives for the students are tobe able todevelopby themselvesquantitative analysisoffinancial data, with a high level of scientific rigor (forecasting, estimating conditional volatility,assessing the performance of their model). The course is also aimed at providing the basictechniques theywouldneed in the case theywouldbe interested in consideringmoreadvancedmodels.Prerequisite(s)Generalstatisticalknowledges.Normaldistribution,Studentdistribution.Textbook&references

- P.Christoffersen:ElementsofFinancialRiskManagement- Elton,Gruber,BrownandGoetzmann:ModernPortfolioTheoryandInvestmentAnalysis- R.Tsay:AnalysisofFinancialTimeSeries- McNeil,FreyandEmbrechts:QuantitativeRiskManagement

AssessmentThecourseisevaluatedbyanempiricalworkonfinancialdataforwhichareportiswritten.Anoralpresentationsupplementsthewrittenreport.

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VBAforfinance(24hrs)ChristopheBISIRE

CourseoverviewVisualBasicforApplications(VBA)isanimplementationofMicrosoft'sprogramminglanguageVisualBasic 6, and associated development environment, built intoMicrosoftOffice applications. ExcelVBAiswidelyusedinthefinancialindustry.Thefollowingmethodsandtechniqueswillbecovered:structured programming, eventdriven programming, object oriented programming, databaseaccess,Excelobjectmodel.LearningobjectivesThe course aims at providing students with a solid background and understanding of VBAprogramming,alongwithbestpractices,suchthatstudentswillwritegoodquality,easytomaintaincode.Prerequisite(s)Generalknowledgeofpersonal computer.Basicprogramming skills.ExperiencewithExcel isalsorequired.Textbook&references

- ChandanSengupta,FinancialModelingUsingExcelandVBA,Secondedition,WileyFinance,2009.

- Mary Jackson,MikeStaunton,AdvancedModelling inFinanceUsingExcelandVBA,Wiley,2001.

- JohnTjia,BuildingFinancialModels,2ndrevisedEdition,McGrawHill,2009.- Fabrice Riva, Applications Financires sous Excel en Visual Basic, Economica, troisime

dition,2008.- SimonBenninga,FinancialModeling,3rdrevisedEdition,TheMITPress,2008.- PaulLomax,VB&VBAinaNutshell,OReilly,1998.

AssessmentLearningassessmentwillbebasedon1)weeklyquizzesandhomeworkproblems,and2)agroupproject(developmentofafinancialapplication).

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Excelforfinance(12hrs)SophieMOINAS

CourseoverviewThis course aims at understanding how Excel can be used to create financial models, such as:financialanalysismodels,portefolioriskmanagementmodels,cashmanagementmodels,optionorinsurancepremiapricers...LearningobjectivesStudentsshouldbeabletobuildafinancialmodel,fromtheinputofpublicandprivatedata,tothepresentationoftheoutput,viaautomaticcomputations.Theoutlineofthecourseisasfollows:1.Whatisfinancialmodeling?2.Exceltoolsforfinance3.Statistics4.Optimization5.RandomnumbersandsimulationsPrerequisite(s)Financecourses(NPV,CAPM,OPTIONPRICING)ExcelbasicsTextbook&references

- BrealeyandMyers,PrinciplesofCorporateFinance,McGrawHill- HullJohnC.,Options,FuturesandotherDerivatives,PrenticeHall- Craig W. Holden, Excel Modeling in the Fundamentals of Investments, Second edition,

PearsonPrenticeHall;- CraigW.Holden,SpreadsheetModelinginCorporateFinance,PrenticeHall- FabriceRiva,ApplicationsFinanciressousexcelenvisualbasic,Economica,2008

AssessmentHomeworkandprojectevaluation.

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Non Life Insurance (12h)

Olivier FAUGERAS CourseoverviewThiscoursepresentstheprobabilisticactuarialrisktheoryinnonlifeinsurance.Probabilisticmodellingisusedtoaccountforthetwosourcesofuncertaintyaninsurerhastodealwith:thenumberofclaimsandtheiramount.Thankstosuchmodelling,itisthenpossibletoderiveprinciplesofpremiumcalculationandtocomputetheprobabilityofruinofaninsurancecompany.

1. IntroductiontoinsurancemathematicsPrincipleofmutualisationofrisksTypeofInsuranceandreinsurancecontractsProbabilisticmodellingofaninsurancecompany

2. ModellingclaimsizesandclaimnumberdistributionsUsefulcontinuous,discreteandmixeddistributionsTools:momentgeneratingfunctionsandLaplacetransformsLightversusheavytails:diagnosisandimplicationsforclaimsizes

3. ThecollectiveRiskmodelinthestaticcaseComputationofaggregatedclaimamountdistributionsExactcomputationsApproximatecomputationsbydiscretizations,statisticalapproximations,MonteCarloandBootstrapnumericalsimulations

4. PrinciplesofPremiumcalculationPrinciplesbasedonprobabilisticconsiderationsPrinciplesbasedonactuarialconsiderationsPrinciplesbasedonutilityanddecisiontheoryLearningobjectives

Understandingofmainconcepts,toolsandtechniques. Abilitytocompute/simulateprobabilisticquantitiesandrelatedpremiums. Understandingofassumptionsandapproximation

Prerequisite(s)basicknowledgeofstatistics,probabilitytheoryTextbook&references

Modern Actuarial Risk Theory, using R. Rob Kaas, Marc Goovaerts, Jan Dhaene, MichelDenuit,2008.Springer

InsuranceRiskandRuin,byDavidC.M.Dickson,CambridgeinternationalseriesonactuarialScience,2005,Cambridgeuniversitypress.

NonlifeinsuranceMathematics,anintroductionwithstochasticprocesses,ThomasMikosch,Universitext,2006,Springer

Assessmentfinalwrittenexam

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