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Jacques OLIVIER
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Course
Status
Instructor
ECTS
Comments
ECTS
Hours
per student
Misc.
Pass/Fail
Special
20
3
FALL 1
Core
Vieille
Pass/Fail ; can be
waived
Ethics Seminar
Core
Columelli
Pass/Fail
Asset Management
Core
Bertrand
20
Core
Parolari
18
International Finance
Core
Allaz
18
Core
Hege
15
Core
Yun
18
Corporate Valuation
Core
Levyne
12
15
124
Total Core
Financial Modeling
Naillon / Petra
2 sections F1
1 section F2
20
(*) : Students must choose either the two corporate finance (CF) or the two capital markets and asset management (CM/AM) block electives
The Financial Modeling CF block elective is available as an elective in the Spring for students who chose CM/AM block electives in the Fall
FALL 2
Financial Regulation
Core
Colliard
18
Core
Calvet
15
Core
Ceddaha/Bedrossian
18
Core
Rosu
18
69
Total Core
FX Derivatives Trading
Asset Pricing Theory
Derivatives
Financial Modeling
Henry
Olivier
Prignon
Naillon / Petra
18
24
18
2 sections F1
1 section F2
20
20
(*) : Students must choose either the three corporate finance (CF) or the three capital markets and asset management (CM/AM) block electives
The Financial Modeling CF block elective is available as an elective in the Spring for students who chose CM/AM block electives in the Fall
Elective
Gaillard
Stochastic Processes
Elective
Vieille
12
BT students may choose 13 or 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
all grades of courses taken for credit appear on transcripts ; many instructors allow students sitting on courses w/o taking it for credit (course not already full)
SPRING
Core
Quiry
18
18
Comments
ECTS
Hours
per student
Status
Instructor
ECTS
Alternative Investments
Elective
12
Elective
Sturzenegger
18
Elective
Besanger
24
Elective
Farah
Elective
Apffel
14
Elective
Klein
24
Elective
18
Elective
M. Dallemagne
12
Elective
Grevet
12
Due Diligence
Elective
Gibbons
12
Elective
Legland
Course
15
24
unavailable if taken as
block elective
Financial Modeling
Elective
Naillon
Elective
Bernard
14
Elective
Javary
18
Real Options
Elective
Levyne
Elective
Schaeffer
Topics in Valuation
Elective
Saintot
Elective
Salaun
12
Elective
Cizain / Dever
12
Structured Finance
Elective
Poirson / Tassart
20
Elective
Rossetti
12
Elective
Rousseau
13
Elective
Fontaine
12
Elective
Touzi
2 chili peppers
30
Elective
Henrotte
2 chili peppers
15
Elective
Bertrand
18
Elective
Prigent
14
Energy Markets
Elective
Franois
12
Elective
Columelli
10
Elective
Bossard
30
Elective
Suominen
18
Volatility modeling
Elective
Calvet
Elective
Robert
Numerical analysis
Elective
Kebaier
1 chili pepper
Chili Pepper: course which is especially challenging because of strong mathematical and/or quantitative and/or coding content...
56
81
74
211
38
42
Electives (general)
in English
107
83
255
210
225
225
587
518
14
10
BT students may choose between 13 and 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
all grades of courses taken for credit appear on transcripts ; many instructors allow students sitting on courses w/o taking it for credit (course not already full)
20
1 chili pepper
12
12
12
1 chili pepper
30
HEC
Title Ethics in Finance: an introduction
Lecturer: Nathalie Columelli, CFA
_____________________________________________________________________________________
Presentation and objectives
Excerpt from the Standard of Practice Handbook, CFA Institute, 10th edition
The first decade of the 21st century has experienced many crises for the investment industry. This period
has encompassed many instances of unethical behavior by business executives and investment
professionals, through Ponzi schemes, insider trading, weak governance, insufficient due diligence,
misrepresentation, manipulation and fraud. Unethical behavior has been highlighted in fields such as
investment ratings, financial product packaging and distribution, investment management firms and capital
markets. As markets function to an important extent on trust, each case has resulted in heavy financial
losses and stained reputations and lost investors trust.
- Learning objectives
This course is an introduction to a 10-hour technical seminar in ethics taking place at the beginning of
2014: Ethics: financial analysts and portfolio managers.
This course objective is to increase the students awareness of the importance of ethics.
Students will learn, from the recent scandals and their short and long term impacts:
Why it matters to act ethically
How and why both the very nature of finance added to common irrational human biases may
impair ones capacity to act ethically.
The major rules and laws that have been enacted to protect consumers and shareholders
How to increase the odds for sound ethical decision making
_____________________________________________________________________________________
Schedule
3 hours
_____________________________________________________________________________________
Content
Key concepts:
Application and violation of laws and standards of practice, Professionalism and fiduciary duties,
Communication, fair representation and Conflicts of interest.
Reference frame and scope: Financial departments of Corporate firms, Capital Markets, Financial analysis
Departments, Financial advisors and Asset Management firms.
_____________________________________________________________________________________
References
CFA Institute: Code of ethics & Standards of Professional Conduct, CFA Institute, 2010
Robert Prentice: Ethical decision making, 2007, Financial Analyst Journal
Michael Mc Millan: Ethical Decision Making workshop, 2011
Lori Pizzani: Blowing it, 2011, CFA magazine
William Bernstein: Corporate finance and original sin, 2008, Financial Analyst Journal
CFA Center for Market integrity: Corporate Governance of listed Companies, a manual for investors,
2005, CFA Institute
Sarah Peck: Investment ethics, 2010, Wiley
Presentation
Asset management has experienced a very significant growth and particularly in Europe
(development of pension funds and a cross border market). The course will focus on approaches and
techniques used by investors and asset managers. Topics will include investment techniques like
indexing and portfolio insurance and recent institutional investors approaches. The course will
cover in details the investment process followed by asset managers : forecasting asset class returns,
risk models, portfolio construction. Forward-looking measures of asset returns and tactical return
forecasting models will be reviewed. Basics of equity and fixed-income portfolios management will
be presented. Recent market trends will be analyzed : smart beta, Core-satellite approach, factor
allocation
Objectives
The course will focus on the application of financial theory to the issues and problems of asset
management from a practitioners point of of view.
Course schedule
10 lectures of 2 hours.
Content
In the first part of the course, we will look at an overview of the asset management industry :
definition, regulatory environment, role and responsibilities of the different players. Recent market
trends will be reviewed : Liabilities Driven Investments, Core-satellite approach, portable alpha,
open architecture...
In the second part of the course, we will study specific asset management styles : index strategies
and portfolio insurance. Portfolio insurance has seen a strong development. The different techniques
of portfolio insurance will be presented : stop-loss, Option-Based Portfolio Insurance (OBPI),
Constant Proportion Portfolio Insurance (CPPI).
In the third part of the course, we will also look at asset allocation and active investment
management. We will present the rationale for active management and develop the different stages
of asset allocation. The Fundamental law of active management will be analyzed. Active asset
management is built on the construction and use of valuation models and portfolio optimization
process. We will review predictors of long-term asset returns and tactical forecasting models that
have a shorter horizon. Basics of equities and fixed-income portfolio management will be covered.
We will present also the main features of alternative investments and will focus on hedge funds, real
estate and private equity investments.
In the final part, we will present problems of performance evaluation. The limits of rankings based
on past performance will be discussed and some improvements proposed.
Teaching methods
Lectures and classroom discussion.
Evaluation
Final test (70%)
Problems and Cases (30%)
Bonus for participation
AAdescri.doc/02/07/2014
HEC 2014-2015
ASSET MANAGEMENT
AAdescri.doc/02/07/2014
Format
This 18-hours course is composed of 6 sessions of 3 hours each.
Course content
CHAPTER 1: Structure of Interest Rates
-
Managing Delta
o Spot Ladder
o Forward Ladder
o Matrix
Defining Carry
Central Banks
o Traditional tools: monetary policy
o Non-traditional tools: QE, SME, LTROs, etc
Banks
o Retail: transmission mechanisms, ALM
o Investment Banks: market markers, brokers, prop traders
Insurance companies & Pension Funds
o Focus on the Netherlands: the discounting of Liabilities (UFR)
Corporates
Hedge Funds
Teaching methods
Slides will be distributed before the start of each lesson. There is no handbook.
The course intends to use as much as possible concrete examples (live curves, real termsheets, pricing and risk
spreadsheets) to illustrate theoretical notions in order for the students to be as close as possible to the reality of the fixed
income markets.
Evaluation
Each student must take a final exam, worth 120 points. The exam is closed book.
Classes 2, 3, 4, and 5 will start with a short multiple-choice quiz, worth 20 points (hence 80 points in total).
The final grade will be the sum of the final exam and of the 4 multiple-choice quizzes.
International Finance
__________________________________________________________________________________
e-mail : allaz@hec.fr
Office phone : 01 39 67 72 34
e-mail : madeleine@hec.fr
Office phone : 01 39 67 97 22
Readings :
The main textbook for this course is : Bruno Solnik and Dennis McLeavy, Global Investments, Sixth
Edition, Pearson Education, 2009. Copies are available in the library under reference : 5-3131 SOL.
Part I : chapters 1 to 3.
Part II : chapters 4 and 9.
Part III: chapters 10 and 11.
Other recommended textbooks :
Jacque, Laurent L., International Corporate Finance, Wiley, 2014.
Sercu, Piet and Raman Uppal, International Financial Markets and the Firm, South-Western College
Publishing, 1995.
Other references will be indicated on the course web page.
Problem sets :
4 problem sets to be solved at home will be handed out in class. Each problem set is worth 10 points.
Students are encouraged to work together in groups. There is no upper limit on the number of
participants in a given group and group composition is allowed to change over time.
Exercises :
Exercises will be regularly handed out and discussed in class. They will not be graded. Solutions will
be posted on the course web page.
Evaluation :
Take home problem sets :
Final written test (2h - out of class) :
Teacher : Ulrich Hege, HEC Paris, Professor of Finance and Associate Dean
2014-2015
Course Objectives
This course presents major theoretical concepts of modern corporate finance and initiates the
students to the state-of-the-art thinking in the field. We will analyze the ideas behind these
theories and their rationale, and discuss how these concepts can be applied to corporate
finance issues in practice. The course will also acquaint students with the methodology used
in corporate finance, in order to enable them to follow advances in corporate finance research
on their own.
Overview
In the first part of the course, we will discuss basic concepts and theoretical explanations of
corporate financial policy. After a brief review, we will get familiar with the main concepts
and tools determining capital structure: asymmetric information, incentives, and conflicts
between managers and investors. We will introduce the major modern capital structure
theories, such as debt overhang, the pecking order model, financial signalling, and the role of
cash. We will study how agency conflicts are intertwined with financial policy and look at the
implications for incentives, and as well as risk-shifting and strategic effects of capital
structure decisions. We will briefly look at empirical evidence and payout policy.
In the final sessions of the course, we present and discuss models of takeovers and mergers.
We analyze their role in the working of the market for corporate control, and how they
contribute to our understanding of M&A transactions.
Teaching Methods
The course will keep the mathematical level to a minimum. However, the analytics will be
rigorous and at times challenging. Adequate student preparation (reading assignments,
problem sets) is essential. Two problem sets will be distributed, and students should discuss
them in small groups and hand in written solutions (groups of up to four students). Problem
sets are obligatory. The course will be accompanied by three tutorial sessions taught by
Sylvain Catherine that will discuss the problem sets and further explore problems around the
models presented in class.
Course Grades
Problem Sets and participation
Final Exam
30%
70%
Schedule
Lecture 1 :
Lecture 2 :
Lecture 3 :
Lecture 4 :
Lecture 5 :
Lecture 6 :
Lecture 7 :
Lecture 8 :
Lecture 9 :
Contact Details
Ulrich Hege
Office 417, Bt. W, 4th floor
Tel. 01 39 67 70 48
Email hege@hec.fr
Assistant: Franoise Dauvergne, 01 39 67 74 87, dauvergne@hec.fr
Course Overview
A companys financial reports convey a wealth of useful information about its
business. Indeed, financial reports are the primary means by which managers
communicate company results to investors, creditors and analysts. These parties use
the reports to judge company performance, to assess creditworthiness, to predict
future financial performance, and to analyse possible acquisitions and take-overs.
Users of financial statements must be able to meaningfully interpret financial reports,
construct measures of financial performance.
To enable meaningful comparison across business, accounting regulators have
developed a set of standards and rules that provide guidelines to the reporting firms.
Nevertheless, these standards and rules still allow mangers considerable discretion in
reporting the firms results. Since company managers choose among a set of available
accounting procedures when preparing their reports, we need to learn about
accounting choices in order to achieve a thorough understanding of the reports and
their link to the underlying business activity and economic reality.
Aims and Objectives.
Learn how firms operating activities are reflected in their financial reports
Learn to compute and interpret financial ratios
Analyse the link between accounting choices and their reflection in the financial
reports
Understand the rationale for various accounting methods
Develop a critical view of managers accounting choices
Identify and undo earnings management
Format and Teaching Method
The course consists of 12 sessions of approximately 1.5 hours each. There will be two
sessions each week. Developing expertise in financial analysis requires a significant
amount of practice. We will therefore approach this task by learning the relevant
theory and experimenting with its applications. We will look at textbook cases as
well as at financial statements of real companies.
Topics Covered
Session 1: Introduction to financial statement analysis
Session 2: Steps and Tools of financial statement analysis
Session 3: Revenue recognition policies
Session 4: HBS Case: Revenue-recognition Problems in the Communications
Equipment Industry
Session 5: Tangible assets: depreciation and revaluation
Session 6: Capitalization of expenses
Session 7: Provisions
Session 8: Lease accounting
Session 9: Pensions and other post-retirement benefits
Session 10: Credit analysis and distress prediction
Session 11: Banks financial statement analysis
Session 12: HBS Case: Citigroup 2007: Financial Reporting and Regulatory Capital
Assignments and Assessment
Final exam: 100%
Course Materials
Slides are provided for each session. From time to time, I may also distribute news
articles or other additional readings.
The following books are recommended for this course:
Healy P., Palepu K, Bernard V. Peek E. Business Analysis and valuation IFRS edition
text and cases, Cengage Learning, UK, 2nd edition, 2010.
Jagdish Kothari and Elisabetta Barone, Advanced Financial Accounting, Financial
Times Prentice Hall.
Stephen Ryan, Financial Instruments and Institutions: Accounting and Disclosure
Rules, Second Edition, 2007, John Wiley & Sons.
Stolowy, H., Lebas M., and Ding Y., Financial Accounting and Reporting: A Global
Perspective, Cengage Learning, UK, 3rd edition 2010.
Prsentation
Presentation
Presentation of the various valuation approaches which are commonly used by investment banks
(M&A) and brokers (equity research)
Objectifs pdagogiques
Course objectives
Ability to value a listed or non listed entity, taking the specifities of its sector into account and to
achieve sensitivity analyses
Droulement du cours
Format
3 Courses in September 2014 (Sept 15th, 22th and 29th), each one having a 4 h duration
Contenu
Course content
1. Market capitalisation
2. Peers approaches : listed peers and M&A peers
3. DCF: principles, free cash flow, terminal value, terminal value, discount rate
4. Interpretation of multiples thanks to Gordon & Shapiro and DCF approches
5. Net Asset Value and Sum of the Parts and consistency of both approaches
6. Introduction to the valuation of financial institutions (Dividend Discount Model)
Mthodes pdagogiques
Teaching methods
Lectures and simulations on PCs (models building)
Travail personnel
Individual work
Reading of documents provided before the first course and case study
Evaluation
Evaluation
Case study: multicriteria valuation of a listed firm
Course Description:
In most of the jobs that are offered to students post a concentration in finance they will have
to model the financial statements of a company in order to forecast its evolution, take key
decisions on its development or know its value The main objective of the course is to give
students the opportunity to implement the various finance skills learnt since the beginning of
their schooldays and build an operating model, a DCF and a merger model, tasks that those
who choose a career in corporate finance will have to perform on a daily basis. There will be
2 classes, one for beginner and one for intermediate level students.
Objectives:
At the end of the course, students are expected to be able to set up an operating model
(income statement, balance sheet, and free cash flow statement), a DCF, sensitivities, and a
merger model meeting the level of standards required by investment banks.
Content:
Introduction to the basic modeling rules and recap of the main accounting principles (~ 2-3
hours):
- Recap of basic accounting concepts used to build a financial model
- Introduction to the principles of modeling and practice through exercises
- Presentation to common Excel shortcuts used in modeling
- Presentation of the choose and offset functions
- Introduction to circular references and their use in interest calculation
Creation of an operating model and of a DCF (~ 9 hours):
- Creating an operating model and a DCF step by step
- Sensitivities around the WACC and the long term growth rate
- Sensitivities around the EBIT margin and the growth rate
Creation of a merger model (~ 8 hours):
- Creating a merger model step by step
- Accretion / dilution analysis
Evaluation:
Students will be evaluated on their class participation, ability to build a model and a test
(only for those having this class as a compulsory class).
Prsentation
Presentation
The functioning of financial markets is heavily impacted by regulation, which is often extremely
complex and opaque to outsiders. Since the latest financial crisis, the global regulatory landscape
has evolved at an increasing speed, making it even more difficult to apprehend all the channels
through which regulatory choices impact financial intermediation, and indirectly the financing costs
of all companies.
However, it has become impossible for companies to neglect the regulatory environment when
deciding on their strategy. Adapting optimally to regulatory constraints, and anticipating them, is
key to a financial companys profitability in a competitive environment.
Objectifs pdagogiques
Course objectives
Understanding the impact of financial regulation on firms, both financial and non-financial, and how
best to adapt to regulatory constraints.
Borrowing conceptual tools from economics and finance to analyse various forms of regulation:
their objectives, their implementation, and their shortcomings.
Studying the processes governing regulatory changes, the role of political economy issues and of
lobbying.
Getting a panoramic view of recent or on-going regulatory reforms such as the Dodd-Frank Act, the
European Banking Union, proposals to regulate high-frequency trading and financial transactions
taxes.
Droulement du cours
Format
18 hours course, 12 x 1h30.
Contenu
Course content
The course aims at introducing a number of concrete examples of financial regulation as well as
transveral topics. In each case the approach will be to underline the impact of regulation on
companies and how they react:
-Examples of regulation (may vary depending on students' interests and recent developements): the
Dodd-Frank Act, the European Banking Union, the debates on banks' capital requirements, Basel
III, banks' liquidity requirements, the regulation of high-frequency trading, the regulation of OTC
derivatives, the debates on separation of commercial and investment banking, financial transactions
taxes, short-selling bans, financial information and the Sarbanes-Oxley Act...
-Transveral topics: too big to fail, political economy of financial regulation, regulatory dialectics, ex
ante and ex post effects of regulation, regulation and competition, regulation and financial
Travail personnel
Individual work
There will be required readings for some sessions as well as suggestions for extra readings for
students who want to learn more about particular topics. Note that there is no comprehensive
textbook on this topic, lecture notes will be relatively dense and require some work at home.
Evaluation
Evaluation
2 hours exam.
Individual work
2 problem sets to be solved at home will be handed out in class. Each problem set is worth 25
points. Students are encouraged to work in groups. There is no upper limit on the number of
participants in a group. Group composition is allowed to change over time.
Evaluation
Problem sets: 50 points (2 x 25 pts) i.e. 1/4 of the course grade.
Final written exam: 150 points, i.e. 3/4 of the course grade.
Prsentation
Presentation
Huit sances, dont quatre cours magistraux et quatre sances par demi-groupe portant sur ltude de
cas. Le cours, anim par deux professionnels des fusions-acquisitions et du private equity, prsente
les principales techniques de rapprochement dentreprises. Les tudiants prpareront deux cas
inspirs doprations relles et lanalyse dune opration M&A marquante. Ils prsenteront leurs
analyses devant la classe de manire professionnelle. Un test final sera organis. Le cours est en
anglais.
Eight sessions, comprised of four fundamental lectures on Mergers & Acquisitions (M&A) and
four case study sessions. The course, led by two M&A and private equity professionals, introduces
the fundamental knowledge and skills of M&A transactions. Students will have to complete two
home assignments and analyze a high-profile M&A deal. Students present their analyses to the
group in a professional manner. Test at the end. The course will be entirely in English.
Objectifs pdagogiques
Course objectives
Le cours est destin renforcer les comptences ncessaires aux tudiants pour entrer dans les
carrires de la finance dentreprise (M&A, private equity, corporate development). Le cours
suppose connues les techniques danalyse financire et dvaluation dentreprises.
This course intends to strengthen the skills necessary to students to enter careers in the corporate
finance industry (M&A, private equity, corportate development). The course assumes students
have already acquired basic valuation and financial analysis skills prior to the course.
Droulement du cours
Format
Trois sances de 3 heures et une sance d1h30 en groupe complet, permettant dacqurir les
connaissances fondamentales, suivies dune sance de 3h et de trois sances d1h30 en demigroupe, permettant de mettre en uvre ces connaissances dans le cadre dtudes de cas fondes sur
des situations relles.
Three 3-hour lectures and one 1-hour lecture focusing on the core knowledge and skills, followed
by one 3-hour and three 1-hour sessions allowing the implementation of these skills through case
studies based on real life situations.
Contenu
Course content
Le cours sera centr sur les caractristiques des oprations de fusions & acquisitions, sur les acteurs
de ce march, les techniques de rapprochements et de rachat/ cession dentreprises, de dtermination
du prix dune socit, de financement, de LBO.
Much of the course will focus on M&A transactions characteristics, on the actors on this market, on
deal types and their respective techniques, price determination, financing and LBO.
Mthodes pdagogiques
Teaching methods
Le cours et les lectures proposes ont pour objectif de fournir aux tudiants les connaissances et
techniques ncessaires dans les carrires de corporate finance. Les tudes de cas permettront aux
tudiants dacqurir la matrise de la mise en uvre de ces comptences dans des situations
quotidiennes de professionnels de la finance.
Les ouvrages de rfrence sont :
Franck CEDDAHA, Fusions & Acquisitions, 4me dition, Economica, 2013
Patrick A. GAUGHAN, Mergers & Acquisitions and Corporate Restructuring, 5th edition, Wiley
The course and proposed readings will provide students with the knowledge dans techniques
required in corporate finance careers. Case studies will allow for the necessary training in
implementing these skills in real day-to-day challenges of finance professionals.
Reference books:
Franck CEDDAHA, Fusions & Acquisitions, 4me dition, Economica, 2013 (in French)
Patrick A. GAUGHAN, Mergers & Acquisitions and Corporate Restructuring, 5th edition, Wiley
Travail personnel
Individual work
Les tudiants prpareront deux cas et analyseront en outre une transaction M&A marquante. Les
travaux seront raliss par groupes de quatre personnes, et prsents en classe de manire
professionnelle. En outre, chaque sance devra tre prpare par les tudiants laide des lectures
proposes dans les livres de rfrence.
Students complete two home assignments (case studies), and analyze a high-profile M&A
transaction in groups of four people per group. Students present their analyses to the group in a
professional manner. In addition, each lecture will have to be prepared by students with proposed
readings from reference books.
Evaluation
Grading
En raison des nombreux liens entre les sances du cours et de la densit des concepts enseigns, la
prsence toutes les sances est obligatoire. Toute absence non justifie pourrait rsulter dans
lattribution de la note F ou Fx pour le cours. Il en ira de mme pour toute absence au test final, sauf
raison mdicale majeure. Chaque sance devra tre prpare par les tudiants laide des lectures
proposes dans les livres de rfrence. Il convient de prendre le temps ncessaire pour prparer les
tudes de cas en petits groupes de quatre personnes.
Un test final sera organis sur la dernire sance. Des tests intermdiaires pourraient tre organiss
sans pravis durant lune quelconque des sances. La note finale sera dtermine comme suit :
Etudes de cas, travaux la maison, qualit des prsentations et des interventions orales,
participation active et prsence (30%)
Because of course progress and density of concepts, attendance to all lectures is compulsory.
Absence without excuse will not be permitted and may be counted as F or Fx on final grade. The
same will apply to absence to the final test without a major medical reasonb. Each lecture will have
to be prepared by students with proposed readings from reference books. Take the necessary time to
review and prepare case studies in small groups of three persons per group.
Final test will be organized during the last session. Intermediary tests may occur during any lecture
without prior notice. Final grade will be computed as follows:
SecuritiesMarkets:TradingMechanisms,Liquidity,andPricing
Professor:IoanidRosu
rosu@hec.fr
Bldg.W2,Rm.27
Ext.7159
Assistant:ClineRimbault
rimbault@hec.fr
Bldg.W2,Rm.20
Ext.9605
Overview
Thiscourseexplainshowfinancialsecuritiesaretradedinrealmarkets,andhowtheprocessof
tradingaffectspriceformationandmarketquality.Inmanyfinancecourses,themechanismof
determining a security price is a black box, with no connection to the market in which the
securityistraded.Bycontrast,thiscoursefocusesontheactualmarkettradingmechanism,as
wellasonthevariousmarketparticipants,andhowthesefactorsaffectpricesandliquidity.In
particular,wediscussindetail:(1)priceformationwhenthemarketisdesignedasalimitorder
market,dealermarket,darkpool,callauction,etc.;(2)thedefinitionofliquidityinconnection
withtradingcosts,marketimpact,resilience,andmarketstability;(3)howliquidityisaffectedby
various market participants in the trading industry: the "buyside" (investors, asset managers,
arbitrageurs),andthe"sellside"(brokers,dealers,exchanges);(4)theroleofmarketdesignand
tradingrulesinmaximizingliquidity;and(5)howtradingfrictionsgeneratedeviationsofasset
pricesfromtheircorrectvalue.
Learningoutcomes
Whenyoucompletethiscourse,youshouldbeabletounderstand:
Marketefficiencyandarbitrage.Aremarketsefficient,oraretheydominatedbyirrational
investors?Arepricespredictable?Howdoespricediscoveryworkintherealworld?
Marketdesign.Howdotodayscomplexsecuritiesmarketsoperate?Whatisthedifference
betweenelectroniclimitordermarkets,darkpools,overthecountermarkets,callauctions,
etc.?
Marketliquidity.Whatdoesitmeanthatamarketisliquid?Howdowemeasureliquidity?
Howisliquidityrelatedtotradingcosts?
Assetallocationinilliquidmarkets.Howdoweaccountforilliquidityandtransactioncosts
inmanagingaportfolio?
HighFrequencyTrading(HFT).WhatarethestrategiesofHighFrequencyTraders?Howdo
theyaffectmarketquality?WhatistheconnectionwiththeFlashCrashofMay6,2010?
SecuritiesMarkets;ProfessorRosu
Page2
Keytopics
Part1:Marketefficiencyandarbitrage
Theroleofinformationinmarketefficiency
Anomaliesandbehavioralfinance
Arbitrage:exploitingmarketinefficiencies;arbitragecostsandrisks
Part2:TradingIndustryandTradingMechanisms
Tradingandpricediscovery
Tradingindustry:keyplayers
Tradingmechanisms:limitordermarkets,OTCmarkets,darkpools
Part3:IlliquidityandAssetManagement
Liquidity:definitionandconnectionwithtradingcosts
Assetmanagementinilliquidmarkets
ImplementationShortfall,EfficientTradingFrontier
Coursematerials
RecommendedTextbook
Onebookthatcoverspartofthematerialstudiedinclassis
Harris,L.(2003),TradingandExchanges,OxfordUniversityPress.
ThebookisavailableattheHEClibrary.Itisnotrequiredforthecourse,butitishighly
recommendedifyouwanttounderstandthecoursetopicsinmoredepth.Inparticular,the
textbookisagoodpurchaseforthosewhoplantoworkinthetradingindustry:brokers,
portfoliomanagers,traders,quants,etc.
Articles,Assignments,andOtherCourseMaterials
Coursematerialscanbedownloadedfromthecoursewebpage,whichwillbeannouncedby
emailbeforethefirstweekofclasses.Inlectures,Iwillfollowmylecturenotes,whichIwill
makeavailablebeforeeachclass.
Teachingmethods
We combine lectures, classroom discussions, readings, and cases, to strengthen your
understanding of basic topics, and to sharpen your analytic and problem solving skills. The
coursepresentsathoroughconceptualframeworkforunderstandingsecuritiesmarkets,yetat
the same time offers much practical knowledge. The course is therefore challenging, and
requiresasignificantamountofworkoutsideofclassinordertogetmostoutofit.
SecuritiesMarkets;ProfessorRosu
Page3
Grading
Thefinalgradeisbasedon3assignmentsandafinalexam.Thecorrespondingweightingsinthe
finalgradeare:
Assignments(Team)
FinalExam(Individual)
30%
70%
Theassignmentsshouldbetypedorwrittenlegibly,andsubmittedinhardcopyatthe
beginningofclassonthescheduleddate.Theassignmentsmaybediscussedonlywiththe
membersofyourgroup.Onlyonesolutionpergroupshouldbehandedin.Nolatesubmissions
willbeaccepted.
Theexamisclosedbookandclosednotes,withacalculatorallowedbutnootherelectronic
device(e.g.,calculatorsoftwareonasmartphoneisnotpermitted).
ExamRegradingPolicy:Youmayrequestaregradeontheexam.Eachregraderequestmust
beaccompaniedbyaconcisewrittenexplanationoftherequest(emailisacceptable).The
requestshouldbesubmittedtomewithinoneweekafterexamsaredistributed.Thewhole
examwillberegraded,soyourscorecaneitherincreaseordecreaseasaresult.
Classparticipationisveryimportant.Manyofyouhaveusefulexperiencethatcanundoubtedly
benefitourclassdiscussions.Donothesitatetoshareyourexperiencewiththerestofthe
class!
IoanidRosu
IoanidRosuhasjoinedHECParisasAssociateProfessorin2010.AgraduateofUniversityof
Bucharest,heearnedtwoPhDsfromMIT,oneinmathematicsin1999andoneinfinancial
economicsin2004.Between2004and2010hewasAssistantProfessorofFinanceatthe
UniversityofChicago,BoothSchoolofBusiness,wherehetaughttheintroductoryfinance
courseintheMBAandExecutiveMBAprograms.Hisresearchfocusesontheliquidityof
financialmarketsanditseffectonassetpricesandinvestordecisions.Heisalsointerestedin
mergersandacquisitions,optionpricing,andhighfrequencytrading.
Prsentation
Using Foreign Exchange as the underlying, the objective is to introduce students to the fundamentals of
derivative trading.
Format
Six 3-hour-sessions.
Course content
Financial Markets
- Participants
- Market rules
Foreign Exchange (FX)
- Spot
- Forwards and FX Swaps
FX Options
- Presentation
- Volatility
- Simple strategies
- Greeks (Delta, Gamma, Vega, Theta)
- Higher order Greeks
Teaching methods
Lectures and interactive sessions.
Individual work
High level of in-class participation required from students, exercises during and between the sessions.
Evaluation
Final test 100%
Textbook
No single textbook corresponds to the entire course as some lectures are instead drawn from
separate research papers.
When available, I include below relevant chapters of the following two textbooks (which can
be found in the HEC library):
(H): J. Hull: "Options, Futures and Other Derivatives", Prentice Hall (8th edition)
(J): R. Jarrow and A Chatterjea: "An Introduction to Derivative Securities, Financial Markets
and Risk Management", Norton
"Must read papers" are included in the bulkpack and (as the name indicates) are compulsory
reading outside the classroom.
"Reference articles" can be found on the course's website and can be read by interested
students. They are typically more technical than "must read" papers
Course Content
CHAPTER 0: RISK NEUTRAL PRICING AND BINOMIAL MODEL
Lecture 1: Monday 11/10
Course Organization
Refresher: Forward and Futures
Arbitrage pricing
Model risk versus other risks
Refresher: Options
Payoffs
Call-Put Parity
Time Value of Options
H: Chapters 5, 10
PS 0 due
Risk-neutral method (continued)
Returns and dynamics of forward prices in continuous time
Dividends and storage costs
H: Chapter 12 ; J: Chapters 17, 18
Reference article: sections 1 and 2 of Christoffersen, P., S. Heston and K. Jacobs (2010):
"Option Anomalies and the Pricing Kernel", SSRN working paper
PS 1 due
Delta hedging revisited
P&L of delta hedged position
Volatility risk and volatility risk premium
Reference articles:
Bakshi, G. and N. Kapadia (2003): "Delta Hedged Gains and the Negative Market Volatility
Risk Premium", Review of Financial Studies, 527-66
Ang, A. (2013): "Factor Investing", mimeo, Columbia University
Demertefi, K., E. Derman, M. Kamal and J. Zou (1999); "More Than You Ever Wanted to
Know About Volatility Swaps", Quantitative Strategies Research Note, Goldman Sachs
PS 2 due
Arrow Debreu model
Basic set-up
State prices vs. risk-neutral probabilities
Market completeness
"Must read" article: Varian, H. (1987): "The Arbitrage Principle in Financial Economics",
Journal of Economic Perspectives, 55-72
PS3 due
Wrap-up
Derivatives
Instructor: Prof. Christophe Prignon
perignon@hec.fr
Finance Department, HEC Paris
W2 Bldg, Rm# 29
01 39 67 94 11
Overview
This course provides a broad overview of the derivatives markets. We discuss the different
classes of derivatives, the rationale for using them, as well as the main approaches to value
them and manage their risks. Lectures combine theory, numerical examples, cases, and
classroom discussions. We cover exchange-traded derivatives, over-the-counter derivatives,
and structured products.
Learning outcomes
Knowledge of How to . . .
Use derivative securities (firms, investors, financial institutions, municipalities, etc)
Price derivatives securities
Analyze risks of derivatives securities and derivatives markets
Combine derivatives securities with other financial securities
Regulate derivatives markets in order to make the financial system safer and more resilient
Key topics
Part 1: Introduction
The nature of derivatives
Why are derivatives used?
Who is using derivatives?
The impact of derivatives on the real economy
Course materials
Books
No required textbook but participants are advised to refer to the following textbooks:
1. An Introduction to Derivatives Securities, Financial Markets, and Risk Management,
Jarrow and Chatterjea, Norton, 2013.
2. Options, Futures, and Other Derivatives, John C. Hull, Seventh Edition, Pearson, 2009.
3. Derivatives and Portfolio Management, CFA institute, Level 2, 2010.
4. Financial Risk Manager Handbook, Philippe Jorion, fourth edition, GARP, 2007.
5. Marchs Financiers, Bruno Solnik, Bertrand Jacquillat, Christophe Prignon, Dunod, 2009
(in French).
Slides, Data, Cases, Articles, and Other Teaching Materials
www.hec.fr/perignon
HEC login and password required
Grading
Grades are based on assignments, quizzes, class participation, and a final exam:
Assignments (Team)
Quizzes (Individual)
Participation (Individual)
Final Exam (Individual)
20%
20%
10%
50%
Rules: Each team must comprise 4 students. Assignments must be sent by email to the
instructor (perignon@hec.fr) before the lecture. Students must bring a copy of their assignment
in class to be able to present their results to the class. Late assignments will lose 25 percent/per
day.
Christophe Prignon
Christophe Prignon is an Associate Professor of Finance at HEC Paris, France. He is the coholder of the ACPR (Banque de France) Chair in Regulation and Systemic Risk. He holds a Ph.D.
in Finance from the Swiss Finance Institute and has been a Post-Doctoral Fellow at the
University of California at Los Angeles (UCLA). Prior to joining HEC, he was an Assistant
Professor of Finance at Simon Fraser University in Vancouver, Canada. His areas of research are
derivatives markets, financial risk management, and the regulation of financial markets. His
research has been published in top finance journals including the Journal of Financial
Economics, Journal of Business, Journal of Financial and Quantitative Analysis, and Review of
Finance. He is also co-founder of RunMyCode.org, an academic website allowing researchers to
share data and computer code associated with scientific publications. In 2014, he received the
Europlace Award for the Best Young Researcher in Finance.
FINANCEMENTS STRUCTURES
Damien GAILLARD
Prsentation et Objectif
Les Financements Structurs sont une composante importante dune Banque de Financement
et dInvestissement (BFI). Ces activits sont forte valeur ajoute et font partie des produits /
services vitaux pour pntrer le 1er cercles de banques dun grand client denvergure
international.
Lobjectif du cours est de permettre aux tudiants dacqurir les principaux concepts utiliss
dans ce domaine.
Contenu
- Prsentation et Acquisition des fondamentaux communs tous les types de
financements structurs (structure ad-hoc, srets, water fall, analyse de sensibilit du
cash-flow) ainsi que lenvironnement de travail
- Application sur les principaux types de financements concerns : immobiliers, projet,
actif, matires premires
- Mthodologie danalyse des risques adaptables toutes les problmatiques de
financement
- Illustration de chaque type de financement structur par des tudes de cas et exercices
reprsentatifs des marchs concerns
Volume horaire
7 sances de 3 heures
Evaluation de ltudiant
50% un projet en groupe (term sheet, analyse des risques, modlisation), 25% participation en
classe, 25% test individuel
Stochastic Processes
Nicolas VIEILLE
Master in International Finance
Description of the course.
This course is a refresher/upgrade in probability theory, dedicated to stochastic processes. The aim
is to prepare for the theoretical finance classes. This will start with some complements on
probability and random variables and go up to the Brownian motion and the stochastic integral. The
course is devided in 5 lessons. For each lesson, exercises will be proposed to students and solved in
class.
Lesson 1. Complement on probability and random variables: Laplace transform, Gaussian vectors.
Lesson 2. Probabilistic modelling of information : conditional expectation and filtration.
Lesson 3. Stochastic processes and martingales.
Lesson 4. The Brownian motion.
Lesson 5. Stochastic calculus and Ito's formula.
_________________Groupe H E C___________________
MDMHXUH)LQDQFH 0asters in
International Finance
%XVLQHVVTrack
Jacques OLIVIER
This document may not be used, reproduced or sold without prior authorisation from HEC Group
Status
Instructor
ECTS
Comments
ECTS
Hours
per student
Misc.
Pass/Fail
Special
20
3
FALL 1
Core
Vieille
Pass/Fail ; can be
waived
Ethics Seminar
Core
Columelli
Pass/Fail
Asset Management
Core
Bertrand
20
Core
Parolari
18
International Finance
Core
Allaz
18
Core
Hege
15
Core
Yun
18
Corporate Valuation
Core
Levyne
12
15
124
Total Core
Financial Modeling
Naillon / Petra
2 sections F1
1 section F2
20
(*) : Students must choose either the two corporate finance (CF) or the two capital markets and asset management (CM/AM) block electives
The Financial Modeling CF block elective is available as an elective in the Spring for students who chose CM/AM block electives in the Fall
FALL 2
Financial Regulation
Core
Colliard
18
Core
Calvet
15
Core
Ceddaha/Bedrossian
18
Core
Rosu
18
69
Total Core
FX Derivatives Trading
Asset Pricing Theory
Derivatives
Financial Modeling
Henry
Olivier
Prignon
Naillon / Petra
18
24
18
2 sections F1
1 section F2
20
20
(*) : Students must choose either the three corporate finance (CF) or the three capital markets and asset management (CM/AM) block electives
The Financial Modeling CF block elective is available as an elective in the Spring for students who chose CM/AM block electives in the Fall
Elective
Gaillard
Stochastic Processes
Elective
Vieille
12
BT students may choose 13 or 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
all grades of courses taken for credit appear on transcripts ; many instructors allow students sitting on courses w/o taking it for credit (course not already full)
SPRING
Core
Quiry
Total Core
18
18
Alternative Investments
Elective
12
Elective
Sturzenegger
18
Comments
ECTS
Hours
per student
Status
Instructor
ECTS
Elective
Besanger
Elective
Farah
Elective
Apffel
14
Elective
Klein
24
Advanced Accounting
Elective
Marion
18
Elective
Dallemagne
15
Elective
Grevet
12
Elective
Simon
12
Elective
Legland
24
Course
20
heavy work load
unavailable if taken as
block elective
15
Financial Modeling
Elective
Naillon
Elective
Bernard
14
Elective
Javary
18
Real Options
Elective
Levyne
Elective
Schaeffer
Topics on Valuation
Elective
Saintot
Elective
Salaun
12
Elective
Cizain / Dever
12
Structured Finance
Elective
Poirson / Tassart
20
Elective
Rossetti
12
Elective
Rousseau
13
Elective
Fontaine
12
Elective
Touzi
2 chili peppers
30
Elective
Henrotte
2 chili peppers
15
Elective
Bertrand
18
Elective
Prigent
14
Energy Markets
Elective
Franois
12
Elective
Columelli
10
Elective
Bossard
30
Elective
Suominen
18
Volatility modeling
Elective
Calvet
Elective
Robert
Numerical analysis
Elective
Kebaier
1 chili pepper
Chili Pepper: course which is especially challenging because of strong mathematical and/or quantitative and/or coding content...
56
81
74
211
38
42
Electives (general)
in English
107
83
258
213
225
225
590
521
14
10
BT students may choose between 13 and 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
all grades of courses taken for credit appear on transcripts ; many instructors allow students sitting on courses w/o taking it for credit (course not already full)
20
1 chili pepper
12
12
12
1 chili pepper
30
CORE COURSE
Course Outlines
To set out the main problems currently being experienced in corporate finance.
To provide a work-related and concrete dimension to the body of knowledge acquired to date.
To fill in any remaining gaps in students grasp of corporate finance
COURSE CONTENT
1/ CORPORATE STRATEGY
Financial strategy and economic environment, examples of European groups over past 50
years
Financial analysis of a sector and development of a financial product, example from the movie
business
Mergers and acquisitions: Negotiating strategies
2/ FINANCIAL POLICY
CONCLUSION
Do not forget to read annual reports, the Enron example
TEACHING METHOD
This course will teach students how to analyse operations on the European market in depth, and also
look at original operations on the US market. Students will be split into groups and given a case study
that they will have work on together and then present to the class. Pascal will give a short introduction
to each topic, outlining the key points to keep in mind, and will provide feedback on the presentations
given.
This course will be taught in English in January March 2015.
ASSESSMENT
RECOMMENDED TEXTBOOK
Corporate Finance, theory and practice, by Vernimmen, Quiry, Le Fur and alii, Wiley, 2014
or in French, Finance dEntreprise, Pierre Vernimmen, Dalloz, 2015
quiry@hec.fr
Pascal Quiry is the BNP Paribas professor of finance at HEC Paris where he has been teaching
finance since 1986 in Grande cole, MBA and Exed programs. 38.000 students followed his MOOC
devoted to financial analysis and corporate valuation in French, English and soon Chinese.
Since 2013, Pascal has been founder and managing partner of the closed-end investment fund
Monestier Capital which specializes in investing in start-ups and unlisted SMEs.
In addition to be a regular media commentator, Pascal manages two websites (www.vernimmen.com
and www.vernimmen.net) which receive 200,000 unique visitors a month. He is the co-author of
Corporate Finance: Theory and Practice, a textbook published by John Wiley and of Finance
dEntreprise the top-selling financial textbook in French-speaking countries whose initial author was
Pierre Vernimmen until his untimely death in 1996. He also co-writes 2 monthly newsletters devoted to
corporate finance with a combined circulation of 70,000 copies.
Until 2012, Pascal was a managing director in the Corporate Finance department of BNP Paribas
where he was a member of the Executive Committee and head of American and European execution
teams since beginning of 2007. From 2000 to 2006, he co headed the Advisory for Listed Companies
team and from 1993 to 1999 the Media team of this M&A department. Previously, he worked for the
Private Equity side of Paribas which he initially joined in 1986 as a Corporate Finance teacher in its inhouse training centre. Among the many deals Pascal advised are the sale of RTL to Bertelsmann, the
Sanofi bid on Aventis, the reorganization of the Agnelli familys Swiss and French assets, the
contribution of Dragon Air to Cathay Pacific by Air China, the reorganisation of LOral controlling
shareholders, the demerger of Arkema from Total, etc.
Pascal is a member of the Association Franaise de Finance, of the American Finance Association,
Socit Franaise des Evaluateurs, and lInstitut Franais des Administrateurs. He sits on the board of
directors of Broceliand (pearltrees.com), Ennesys and Philo Editions.
Together with his wife, Pascal is a Grand Donateur at the HEC Foundation and member of its
fundraising committee where he has been instrumental in raising more than 1.3m so far.
He is 52 years old, a graduate of HEC Paris, doctor honoris causa University of Moscow, and the
happy father of four children.
INCLUDING ANY ELECTIVE YOU TOOK IN THE FALL (Probability and stochastic
processes, Real Estate...) BUT EXCLUDING BLOCK ELECTIVES
* Note that the system does not automatically compute the number of ECTS credits of
electives requested. It is therefore of your responsibility to make sure the total is
correct. In case the total exceeds 12 ECTS for AT and 14 ECTS for BT/GE, you
may get automatically unregistered from any course where demand exceeds
supply so as make your total of ECTS below the 12 / 14 credits limit.
* Special note to "Grande Ecole" students: the system works A LOT better than the
choice of electives in HEC1 and HEC2. The reason is that > 90% of Majeure finance
electives do not get filled up to their maximum capacity. Thus, there is no need to load
up on the number of courses you request, which may on the contrary end up being
costly (cf. previous bullet point)
(iii) The system waits until the session closes to process the choices (no time preference)
(iv) The system fills up courses starting with students who put the course as 1st choice, then
with students who put the course as 2nd choice, etc. Two scenarios are then possible. The
more frequent scenario is that the total number of students who requested the course is less
than the number of seats available. Then all students who requested the course get it. The less
frequent scenario is one where the total number of students who requested the course is larger
than the number of seats available. In that case, there is a threshold level of preference such
that all students who requested the course with a higher order of preference get it, all students
who requested the course with a strictly lower order of preference get rejected and a random
choice is made for students at the threshold.
Example:
Total number of seats available: 10
Total demand: 15
Choice 1: 4 students
Choice 2: 3 students
Choice 3: 5 students
Choice 4: 2 students
Choice 5: 1 student
The system first fills up the course with the 4 students who put it as first choice, then with the
3 students who put it as second choice but then runs into a problem when moving to third
choices. There are 3 seats left (10 - 4 -3 = 3) for 5 requests. The system then randomly
chooses 3 among the 5 students who put the course as third choice and gives them the course.
The other 2 students, as well as the 2+1 = 3 students who put the course as 4th or 5th choice
get rejected and will have to choose another course either during the 2nd electronic session or
directly through Bernadette.
Note also that the system will not allow students to get registered to two courses with a
timetable conflict (even if there is an overlap for one lecture only). In such cases, you will
get registered only for the course higher up on your preference list.
(v) A few hours after the choice session has closed, courses you got enrolled in appear on
your Sharepad account. Bernadette will also send everybody a mail giving you the list of
courses for which demand exceeded supply (if any).
Conflicting courses
Instructor
Language
ECTS
Hours
# seats
per student
available
Comments
Alternative Investments
10
11
Touzi
English
30
54
no
Bertrand/Fery /
Bruyre
English
12
54
Real Options
Bertrand
English
18
54
Besanger
English
20
35
Cizain / Dever
English
12
54
Farah
English
15
40
no
Prigent
English
14
54
Numerical Analysis
Grevet
English
12
54
Klein
French
24
47
Dallemagne
English
15
54
Energy Markets
no
Franois
English
12
54
Trading class
12
no
Salaun
English
12
54
13
Columelli
English
10
54
14
Bossard
English
30
38
15
Legland
English
24
54
16
Fontaine
English
12
54
17
no
Bernard
English
14
48
18
no
Javary
English
18
54
19
Sturzenegger
English
18
54
20
Henrotte
English
15
54
1 chili pepper
22
Numerical analysis
Kebaier
English
30
30
23
Topics in Valuation
Robert
English
12
54
24
Simon
English
12
40
25
Real Options
Levyne
English
14
54
26
Schaeffer
English
10
54
27
Structured Finance
Poirson.Tassart
English
20
54
28
Apffel
English
14
54
29
Topics in Valuation
Saintot
English
12
54
30
Rousseau
French
13
54
31
Volatility Modeling
Calvet
English
12
54
Suominen
English
18
29
no
Naillon
English
20
13
Marion
English
18
54
M. Rossetti
French
12
54
Structured Finance
Models of Volatility
Financial Modeling
33
no
2 chili peppers
1 chili pepper
ALTERNATIVE INVESTMENTS
Loc FERY
Founder and CEO
Chenavari Credit Partners
lf@chenavari.com
Jean-Charles BERTRAND
Head of Multi Asset
HSBC Global Asset Management
jean-charles.bertrand@hsbc.fr
Scope:
The course will endeavour to
cover the entire alternative
investment space, namely
alternative asset management
strategies deployed on
traditional asset classes
(equities, fixed income) as
well as alternative asset classes,
which are expected to represent,
over time, a growing share of
institutional investors asset
allocations.
Asset management
Alternative investments
Traditional asset
management
Hedge funds
Alternative asset
classes
Fixed income
Infrastructure
Equities
Real estate
Balanced
Private equity
Etc.
Other real
assets
Etc.
Teaching methods
Lectures
Classroom discussions
Case studies
Evaluation
Participation
Case study analysis
1
Detailed contents
Lecture 1
(Richard
Bruyre)
Lecture 2
(Loc Fery)
Lecture 3
(Jean-Charles
Bertrand)
Lecture 4
(Richard
Bruyre)
Lecture 5
(Jean-Charles
Bertrand)
Lecture 6
(Richard
Bruyre)
Course objectives
We aim to develop knowledge of how to . . .
Analyze basic macroeconomic data of any country in the world.
Predict situations of financial distress.
Incorporate basic principles of finance to analyze investment opportunities in financial markets.
Discuss the main issues in the global agenda regarding international financial markets
Distinguish between real and nominal exchange rates.
Track possible scenarios for exchange rate movements.
Understand how the US financial crisis and the Euro crisis occurred and lay out possible future
scenarios.
Format
Part 1: Basic Tools
Asset Pricing
Current Account Sustainability
Toolkit for analyzing Sovereign Debt
Part 2: Applications
Real and nominal exchange rates
The debate on Global Imbalances
The US financial crisis
The Euro Crisis
Course content
Class
th
1 February 13
Topic
Basic Principles of Asset Pricing
Current Account Analysis
Description
In this initial section we discuss some
basic rules for understanding asset price
evolution, prediction and forecasting. We
also discuss the concept of the current
account and its relevance for
macroeconomic analysis.
th
th
th
th
th
2. February 14
3. February 17
4. February 18
5. February 19
6. February 20
Teaching methods
The course works through class lectures. My classes tend to combine basic theory with lots of applications
and personal experiences from 25 years of academic life as well as direct policy experience (in addition to
having taught at Harvard Kennedy School for several years Ive been Secretary of Economic Policy of the
Republic of Argentina and President of a large state owned bank, among other positions).
Bibliography will be provided to students through an internet link several weeks prior to the course and
includes articles from investment banks, policy speeches and some short academic papers.
Individual work
Each class students will be given a study guide reviewing class content.
Evaluation
Grades are based on a country report that each student will prepare analysing macroeconomic strengths and
weaknesses of a student-specific country. This report will need to have the features of a state of the art
country report as prepared in macroeconomic consulting and investment banking and will be based on the
analysis developed in class.
Presentation
Allocating capital and resources, taking risk-based decisions, adjusting to new regulations, adapting business models
to changing market environment, are examples of day-to-day issues/challenges for financial institutions CEOs in an
increasingly globalized and volatile market.
Successfully addressing these challenges and satisfying shareholders/analysts expectations requires managers of
financial institutions to come up with innovative bold solutions, properly assess attractiveness of each option and
timely turning this into market reality.
Course objectives
The course is built around both lecture sessions on the financial industry and related case studies to engage students
around a selection of recent real life situations (recent subprime and Eurozone debt crisis) and better understand the
challenges facing financial institutions and its managers.
The key objectives of the course are to develop a better understanding of the financial industry and get introduced to
strategic case study methodology.
Format
Five 3-hour sessions 100% in English
40 students: 8 groups of 5 students
Once registered students will be allowed to choose their own group but will not be able to unregister
Session 1:
Lecture and case study
Session 2 to 4: Will start with a lecture on a specific topic of the financial industry and an introduction to a reallife case related to the topic. Students will then present their solutions to face real-life challenges
Session 5:
A series of debates between student groups on a selection of controversial themes; the session is
closed by a lecture
Course Content
Session 1
The recent financial crisis a brief view on how we got here From subprime to Eurodebtcrisis and latest
developments
Introducing a series of publications (that will be distributed to all) and distilling 4 key themes that the
students(in groups) will have to write papers on and debate during session 5 - e.g.
The end of traditional retail banking? Do traditional banks have a future with increased regulatory pressure and
digitalization?
Retail banking and CIB activities need to be split
Banks do not play their fair role in financing the real economy
The Private Banking industry has no future with the increased fiscal transparency
Introduction to case studies methodology followed by an applied example
Sessions 2 to 4 case-based:
The following topics will be covered during these sessions:
Teaching methods
Each session will be organized in a highly interactive format
Session 1: Interactive lecture, followed by a methodological session on solving case studies short applied example
Sessions 2 to 4 lecture case studies
An industry expert gives a lecture on a specific theme and provides insights on the key challenges in this
specific area of the industry and the context of the case prepared by students
Solutions prepared by the various groups of students (prior to the sessions)
Presentation of the case by a selected group (s) at each session
Solution will be challenged/assessed by the remaining groups (moderated discussion)
Presentation by OW on approach used in real life lessons learned and outcomes
A consultant from Oliver Wyman will be assigned to each case and a call with be scheduled between that consultant
and the leader of each group of students so that students are able to raise questions / ask for some guidance.
Papers will be submitted by each group in advance, allowing sufficient time to review and select the teams that will
be presenting during the course (all papers will be graded).
Session 5
Will be organized as 4 debates, where 2 groups of students will have to defend contradictory views on the
themes selected by Oliver Wyman in session 1 Papers will be submitted in advance and graded
Interactive lecture on evolution of FS landscape
Relevant Partners from OW will participate to the various sessions
Individual work
Preparing the cases prior to each session (papers of maximum 8 to 10 slides) in groups of 5
Reading Selected Publications and preparing a short essay on one of the themes selected by Oliver Wyman in
session 1
Individual research to support the above
Students are expected to spend 3 4 hours to prepare for each session
Evaluation
Grading case study group presentations (Session 2 4)
Grading group presentations in Session 5
Additional grades for individual participation
Course instructor: Arnaud APFFEL, formerly head of Global Investments for Deutsche Bank Asset &
Wealth Management EMEA, currently CEO of Perennium (Geneva/Paris)
Presentation
Sustainable & Responsible Investing, in the broader sense, emerged in the 60s-70s. Its expansion accelerated
significantly since the mid 90s, making it mainstream today, and still enjoying double-digit investments growth.
Whether you want to work in asset management or simply learn more about how finance can benefit society, this
should be a relevant and interesting field for you.
And the field is wide: it involves corporations, investors, specific institutions/organizations, NGOs, and of course a
significant part of the financial services industry ($35 trillions under UN-PRI), all united by the objective not to
hurt or damage, neither directly nor indirectly, society as a whole; and potentially to provide benefits to it.
Ranging from ethics to economics, from social to environmental, from individual (action, situation) to corporate
(responsibility, governance), this is a very fertile matter. But given its multi-faceted nature, breadth and span, and
its sometimes confusing definitions, Sustainable & Responsible Investment can be hard to to figure out from the
outside although easy to grasp when presented in a structured and comprehensive way.
Course objectives
(a) Understand the broad framework (origins, evolution, scope, trends) and the key concepts
(b) Capture how this translates into practice (players, processes), the relationship between the investors and
the companies theyre invested in, as well as the concrete impacts on society and environment
Keywords
SRI, ESG, CSR, Sustainability, Impact investing, Shared Value, PRI, Asset Management, Responsibility, Engagement
Format
A total of 14 hours, taught in English:
Seven sessions of 2 hours each
Three of which with recognized outside professionals (experts, CEOs..)
A final test (1 hour, outside of the course sessions)
Course content
1- General introduction (history, concept, values, scope, players, investment process)
2- How to assess listed corporations (specialized research, ratings), how to invest (strategies)
Practical example with an industry expert: ESG research firm.
3- Investment universe (asset classes, vehicles, markets; fiduciary duty)
4- Practical example with an industry expert: ESG/SRI lived by a leading Asset Manager
5- a/ Engagement strategies: process, history, milestones of shareholders action
b/ Performance: does ESG/SRI lead to superior results ?
6- Impact investing: scope, nature, key issues (including social performance measurement)
Practical example with an industry expert: impact investing firm
7- The future, challenges and vision (from technology innovations to new forms of capitalism)
Teaching methods
Lectures, case studies & classroom discussion
Individual work
Class participation, one case study in small groups (2-3), some reading
Evaluation
The grade will include class participation (20%), case study (20%) and final test (60%).
Presentation
The course analyzes the economic and financial role of banks, considered, along with markets, as central
elements of the financial system. It also introduces the different professions that can be found within a bank, the
criteria that guide them and their specific management constraints. On top of this, it introduces students to a few
key techniques in the banking (credit analysis,) and market (derivative instruments, VAR,) fields.
Course objectives
The course combines a macro-financial and microeconomic analysis of banking institutions, offering students
insight into the economic role and specificities of a bank and the conditions for its profitability. Finally, it aims
to analyse banking and market techniques.
Droulement du cours
8 sances de 3 heures + confrences
Course content
I.
IV.
V.
Mthodes pdagogiques
Polycopis, support de cours
Articles de presse et de revues conomiques
Papiers de recherche
Travail personnel
Lecture de la presse conomique
Lecture de papiers de recherche
Evaluation
Test de 2 heures
Business
combination
Jan 23
10:10am
1:10 pm
Pensions and
stock options
Jan 29
2:10-5:10pm
Perspective &
Leases
Feb 6
10:10am
1:10 pm
Derivatives and
hedging
Feb 12
2:10-5:10pm
Accounting in
banks
Feb 18
4:10-7:10 pm
Key messages
What is a conceptual framework?
How to compare Continental European models and US/ IFRS?
Who uses which framework?
Substance over form
Killing the fair value myth
No set list of differences (due to options)
Reminder on purchase accounting
Identifying intangibles (IAS 38 criteria)
Determining goodwill
Step accounting
Subsequent increases/decreases in interest
Put options on non controlling interests
Understanding the economics: defined benefits/contributions
The projected unit credit method
Actuarial assumptions and discounting
Dealing with actuarial gains and losses
Stock options: how to pay and get money!
The 4 accounting scenarios
Management packages: distinguishing the manager-investor from the
manager-employee
Part 1: Philippe Danjou the IASB's perspective
Part 2: Leases
The issue with leases
Reminders on finance and operating leases
The thin line
IFRS/US: similarities and differences
Various ways of tricking the standard(s): structured leases,...
Implicit leases in take or pay contracts (IFRIC 4)
Service Concession Arrangements (IFRIC 12)
The new proposed standard
The accounting mismatch
Hedge accounting as a solution (FVH, CFH, and NIH)
The conditions for hedge accounting
Some issues with hedge accounting under IAS 39
Disqualifying a hedge
The future IFRS 9
What is different in banks?
Reconciling accounting equity and prudential equity
Reconciling assets and RWA
From incurred loss to expected loss: how IFRS and Basel 3 converge or
not
Accounting and financial stability
Course objectives
This course is an introduction to the world of energy and its strong link with finance. This course
will take the corporate view into financing. More sophisticated structure finance techniques are
reviewed in the Energy & Finance Certificate.
Commodity is the most volatile asset class, with complex pricing. This course will give a first view
into drivers that impact price mechanisms.
Course content
1. Fundamentals of oil, gas, coal and electricity markets,
Availability of resources and forecast scenario
2. Segment of the energy industry: production, transportation, and distribution
Various Assets contributing to the value chain, capex and characteristics
Commodity price formation: Short term versus Long term, oil indexed contract, transport
arbitrage
3. Rating methodology for corporate in unregulated and regulated infrastructure:
Business profile, Financial profile, Financial ratios
4. Review of some Corporates strategy and funding
European consolidation, Deregulation of markets, Vertical integration, Energy mix. Funding
strategy for energy companies
5. Case study: Financial modelling of a generation asset and its funding strategy
Schedule
15 Hours, 5x3h
Evaluation
Participation in class and case study 30% and Final exam 70% (1h MCQ and calculation exercise)
Introduction
This course addresses, both from a legal and financial perspective, the context of
companies in France coping with financial difficulties, before and after bankruptcy.
It highlights the financial techniques to monitor such situations, to negotiate with creditors
and to restructure balance sheets.
Two case studies and numerous examples support the course.
__________________________________________________________________________________________
Course timeline
6 classes of 2hours + 1 exam
__________________________________________________________________________________________
Agenda
Course 1 :
Introduction
Legal Context
Financial considerations
Course 2 :
Course 3 :
Course 4 :
Course 5:
Course 6
Course 7
Exam
COURSE FORMAT
12 hours in English: 4 lectures of 3 hours
TEACHING METHOD
- Lectures
- Classroom discussions
- Case studies
EVALUATION
- Participation
- Case study analysis
COURSE CONTENT
LECTURE 1: REAL ESTATE INTERNATIONAL MARKETS, the PLAYERS and the
VALUE CHAIN
Objectives:
- To get the fundamental understanding of the different International
Markets and their actors
- To master the value chain of the Real Estate industry.
1/ Fundamentals of the International markets, Real Estate Clock
2/ Profile of the different actors, business models, business case
3/ Building-up the Value Chain, value positioning, segments, business case
3/ From the Professionals: Brokers, Facility managers, Property Managers, Advisers, rating
agencies...
4/ From the Bankers: Basel III, RWA, liquidity, senior/mez returns, services...
5/ From the Capital Markets: equities, credit...
6/ From the Governments: Regulation, impact on the economy...
LECTURE 3: VALUATION and FINANCING TEHCNICS
Objectives:
To revue valuation, investment and financing technics based on the different profiles and
objectives of assets, markets and actors.
1/ Mortgage history
2/ Financing technics and statistics: senior/mez lending, bonds, ABS, CMBS, Conduit,
mortgage, Covered bonds, Plan brief, covenants, leverage ratios, collaterals...
3/ Valuation technics
4/ Valuations and Financings to be consistent with the profile and objectives of the markets,
the assets and the actors
5/ Financing business cases
LECTURE 4: LESSONS from the 2008 REAL ESTATE FINANCIAL CRISIS
Objectives:
To benefit from the lessons of the 2008 Real Estate and financial crisis; draw conclusions on
the excesses and weaknesses of the markets, actors, financial structures. But also on rising
opportunities!
1/ The 2007 Real Estate and Financial Crisis: subprime, Lehman, AIG, capital and liquidity
issues...
2/ Crisis business cases based on actors and markets: US and Spain 3/
Excesses, weaknesses and opportunities.
Lecturer:
Patrick Legland, Global Head of Cross Asset Research at Socit Gnrale, Global Co-Head of the
Equity Chain and a Member of SGs Global Capital Markets Executive Committee.
Presentation/Objective:
- To provide real world expertise on Investment Bankings best practices
- A practical approach: how to originate, negotiate and execute profitable deals.
- The keys to being successful and adding value in the deal making industry.
- Advice on job opportunities and challenges in Corporate & Investment Banking.
Course Schedule: 24 hours, 8 x 3h
3 Advanced Valuation
Fair value vs Transaction Price Negotiation techniques Brands & Intangibles valuation
Case Study: Happy Menu Start-up financing (Real case study)
8 Synthesis
Current market conditions in M&A & ECM - Job opportunities in Inv. Banking
Case Study: Capio acquisition of Unilabs (Switzerland)
Teaching approach
- Each session combines fundamental coursework, application problems real world case studies
- Systematic (non-marked) Multiple-Choice sessions to sustain the learning curve
- Two technical articles to read for each class
- Courses & materials in English
Evaluation: Questions about technical articles to read: 5 points, Case Study: 15 points
Course Description:
In most of the jobs that are offered to students post a concentration in finance they will have
to model the financial statements of a company in order to forecast its evolution, take key
decisions on its development or know its value The main objective of the course is to give
students the opportunity to implement the various finance skills learnt since the beginning of
their schooldays and build an operating model, a DCF and a merger model, tasks that those
who choose a career in corporate finance will have to perform on a daily basis. There will be
2 classes, one for beginner and one for intermediate level students.
Objectives:
At the end of the course, students are expected to be able to set up an operating model
(income statement, balance sheet, and free cash flow statement), a DCF, sensitivities, and a
merger model meeting the level of standards required by investment banks.
Content:
Introduction to the basic modeling rules and recap of the main accounting principles (~ 2-3
hours):
- Recap of basic accounting concepts used to build a financial model
- Introduction to the principles of modeling and practice through exercises
- Presentation to common Excel shortcuts used in modeling
- Presentation of the choose and offset functions
- Introduction to circular references and their use in interest calculation
Creation of an operating model and of a DCF (~ 9 hours):
- Creating an operating model and a DCF step by step
- Sensitivities around the WACC and the long term growth rate
- Sensitivities around the EBIT margin and the growth rate
Creation of a merger model (~ 8 hours):
- Creating a merger model step by step
- Accretion / dilution analysis
Evaluation:
Students will be evaluated on their class participation, ability to build a model and a test
(only for those having this class as a compulsory class).
_________________________________________________________________________
Presentation: An elective course in corporate finance matters covering three distinct modules of equal
weight : ECM, M&A, Financing and restructuring. It will be particularly useful for students that have an
objective of pursuing a career in investment banking, private equity or corporate finance departments of
large companies.
Course objectives: to teach students about the reality and dynamics of execution processes in various
aspects of corporate finance deals. The course intends to enable finance students to go through the
execution processes of various fields of corporate finance through the prism of the legal and contractual
key milestones of the execution process of transactions.
The three lecturers are true practitioners and seasoned bankers in their relevant fields
_________________________________________________________________________
Format: a mix of formal lectures and group case studies. It is meant to be interactive and practical. A lot of
real case precedents of transactions will be used as examples of the concepts studied.
_________________________________________________________________________
Contents: students will have access to unique learning materials developed for the course enabling them to
understand the interaction between a corporate finance process and the legal and contractual architecture
of corporate finance deals in many aspects of modern corporate finance.
First module: Equity capital markets transactions will cover the IPO processes: prospectus, letters of
comfort, underwriting agreements, Secondary placings, Capital increases: AGM approvals, prospectus and
Convertible bonds: AGM approvals, terms and conditions.
Second module: Mergers and Acquisition processes: The mandate letter, the Sales process, The sales
contract, Shareholders agreements and Acquisition of public companies
Third module: Financing and restructuring processes : LBO financings, Corporate financing: (syndicated
loans, bond issues),Restructuring: covenant reset, collective proceedings
_________________________________________________________________________
Teaching methods: a mix of formal lectures and debriefing of case studies.
_________________________________________________________________________
Individual work : At least one groupwork for a case study will be expected. A final exam at the end will
evaluate the knowledge of the contents of the course which will be made available in the form of slides.
_________________________________________________________________________
Evaluation : Attendance mandatory. Students will be evaluated in equal proportions between their presence
in class and relevant participation, grades at the final exam and quality of groupwork."
REAL OPTIONS
Olivier LEVYNE
Director, CA-CIB (M&A),
Presentation
The real options are options which are not represented by a security - and are therefore not listed as they are embedded
in the investment projects of a firm. They enable to value some assets (oil and mine claims, patents, guarantees) using
usual options pricing models (Black-Scholes-Merton). In that context, they include the whole volatility and use the risk
free rate. Such an approach prevents from determining the future yearly free cash flows and the discount rate which is
supposed to reflect the risk of the cash flows. The real options also modifiy the capital budgeting. Indeed, they
complement the traditional NPV and DCF valuation approaches as they enable to take the growth options, which are
embedded in a project, into account. Moreover, the NPV aims at deciding whether an investment has to be achieved
now or never. The real options enable to value the possibility to defer the investment and therefore to decide to achieve
it now or later. This course also focuses on the Galai & Masulis approach of the equity value which is looked upon as a
call on the firms assets, the strike price being the nominal of the financial debt. It enables to revisit the traditional
principles of corporate finance which do not include explicitly the probability of the firms bankruptcy.
Course objectives
1.
2.
Ability to turn a traditional corporate finance topic (valuation of a firm, decision to invest) into a real option
situation, enabling to take the whole volatility into account
Understanding and capacity to use various options pricing models
Format
7 courses of 2 hours = 14 hours
Course content
1.
2.
3.
4.
5.
6.
Teaching methods
Lectures and Excel simulations around options pricing
Individual work
No specific individual work
Evaluation
Written test after the last course (2 hours)
Topics on Valuation
Course Instructor: Didier Saintot, Director, KPMG Corporate Finance
Presentation
The course is taught by a professional that who has been involved in fairness opinions /
restructuring / M&A engagements in a US investment bank, and who is now a Director at KPMG
Corporate Finance.
This course has been part of the accelerated track of the MS in International Finance for 8 years,
and is now open to Grande Ecole students.
Course objectives
The objective of the course is to provide students with analytical tools and skills on valuation
required for analysts / associate positions in investment banking and investment management /
hedge funds.
Format
4 x 3 hours = 12 hours
Course content
The course relies on a combination of interactive presentations and case studies inspired by real
world situations.
The course will cover usual methodologies as well as advanced technical topics (alternative
terminal value methodologies in the DCF approach, valuation in emerging countries, distressed
companies valuation, intangible assets valuation, etc.).
Teaching methods
The course consists of a presentation of a slideshow by the teacher that is supported by Q&As with
students.
Individual work
The individual work relies on readings of relevant books and articles.
Some exercises will be presented by students over the course of the lesson.
Evaluation
Participation and presentation of case studies.
Final exam (case study).
Course objectives: to have a good understanding of the market functioning and the way to
raise capital
Individual work: Case studies will be solved at home and discussed in class. Studends will be
encouraged to work in groups.
Evaluation: One hour exam in class plus participation and case studies
Presentation
How to conduct balance sheet restructuring of companies in financial difficulties. Understand the
players, the stakes, the implementation tools (financial and legal) and the conduct of the
negociations
Course Objectives :
Understand (i) different types of restructuring (liquidity driven vs solvency driven ), (ii) the conduct
of debt restructuring transactions under French Law (iii) overview of the different European
restructuring regimes (iv) the roles of the various players involved : company, shareholders,
creditors (senior, junior, derivatives), suppliers, the court appointed administrator, the Unions, the
State via the CIRI or the Mediateur du Credit, the Court, the advisors, the distressed debt funds (v)
the various implementation mecanisms : amicable settlement (mandat ad hoc, conciliation), non
amicable court driven settlement (sauvegarde acclre, sauvegarde financire acclre,
sauvegarde, redressement judiciaire)
Format :
6 sessions (12 hours in total)
4 sessions presenting (i) the different types of debt (ii) how to assess when a financial restructuring
is needed, (iii) players involved and their respective role, (iv) how to elaborate a restructuring
proposal (v) how to implement a restructuring plan.
One session reviewing recent case studies with the presence of a leading Administrator,
One session dedicated to the presentation and correction of the cases prepared by the students
Teaching Methods
First four sessions cours magistral. Interactive session on case studies with one Administrator.
One interactive session reviewing the case studies prepared by the studient
Individual work :
Reading the course material + preparation of one case study
Evaluation : Case studies prepared and presented by groups of 6 to 8 students
STRUCTURED FINANCE
Responsable du cours : Alain POIRSON, Bruno TASSART
pour les Professeurs vacataires : Head of Corporate Risk BNP Paribas ; Structured Finanace Advisor BNP Paribas :
Presentation
Presentation
Corporations continuously develop new projects and new strategies with a view to acquiring and developing
a competitive advantage over their peers. The role of financing departments has become increasingly
important as the appropriate form of financing is essential to the success of an industrial strategy.
Banks have designed new products and set up specialized teams Structured Finance activities - that are
able to structure tailor-made financing transactions to offer solutions to their clients and answer their needs
while matching the risk appetite of the banks and investors.
The ability to sell them into the markets is intrinsically linked to those financings
Structured Finance encompasses very specific forms of transactions that are designed to match particular
events or projects such as Corporate Acquisitions Financings ,Leverage Buy Outs, Asset financing , Project
financing
Objectifs du Cours
Course objectives
The objective of this course is to highlight the respective objectives and constraints of corporations as well
as financial institutions and investors, to analyze in detail how the main type of transactions in the
Structured Finance world are structured and negotiated and what are the key parameters for each of them
A number of examples, inspired by real transactions, will be developed in the form of case studies.
Droulement du cours
Format
20h split into 2 or 4h working sessions..
They will be conducted in English
Contenu
Course content
Mthodes pdagogiques
Teaching methods
Lessons followed by quizz on previous lesson and case studies.
Travail personnel
Individual work
A number of examples, inspired by real transactions, will be developed in the form of case studies. Two
cases studies to be performed by group of 4.
Evaluation
Evaluation
10% based on short quizzes during the working sessions
30% based on case studies
60% based on the final test
___________________________________________________________
Prsentation et objectif(s)
Lambition de ce cours est de fournir aux tudiants :
- les notions cls du cadre fiscal appliqu aux oprations financires ;
- les connaissances indispensables pour dialoguer efficacement avec les
fiscalistes de lentreprise.
___________________________________________________________
Contenu
Thme 1 : Lentreprise, ses rsultats et limposition de ses actionnaires :
panorama des enjeux fiscaux
Thme 2 : Pilotage des rsultats, libert de gestion et limites fiscales.
Comment lentreprise peut-elle minimiser limpact des mesures
fiscales restrictives : lenjeu de loptimisation fiscale face des
notions telles que lacte anormal de gestion ou labus de droit.
Thme 3 : Focus sur le traitement fiscal des groupes : rgime holding du
portefeuille-titres, traitement des charges de la holding et enjeux
de son activation (dductibilit de lIS, dtaxation de TVA,
minimisation de taxe sur les salaires), rgime de lintgration
fiscale
Thme 4 : Larsenal fiscal franais contre la localisation de la dette en
France : disposition anti sous-capitalisation, amendement Charasse,
disposition anti-hybrides, etc.
Les LBO, des structurations qui synthtisent les principales
problmatiques fiscales.
Thme 4 : Flux financiers internationaux : quel Etat les taxe et comment ?
Le jeu des rgles nationales face des oprations internationales.
Introduction la fiscalit internationale : territorialit des impts
et partage dimposition entre Etat source du revenu et Etat de
rsidence du bnficiaire, rle et mcanismes des conventions
internationales
___________________________________________________________
Mthode pdagogique
Alternance dexpos du professeur et de discussion. Un poly est fourni : il
reprend les prsentations faites en sance, des documents dactualit et
danalyse et des noncs de cas dapplication illustrant les thmes traits. Ces
cas sont prparer par les tudiants et corrigs en sance. Des corrigs crits
sont fournis pour chaque cas.
___________________________________________________________
Droulement du cours
4 sances de 3 heures
___________________________________________________________
Evaluation
100% test final
The different types of foreign exchange risks. The different exchangerisk management approaches according to underlying activities/sector
Interest rates and raw material risk management
Impacts on the IFRS accounting standards. (3H)
Session 3:
Session 4:
Pedagogical Methods
Presentation
Case study: teams of 3 or 4 students will be asked to study and report on the
principles and exhibitions as presented by a certain number of multinationals in their
Reference Document.
Evaluation
In-class participation and presentation of the case study.
Presentation
Born out of the small-scale trading of Mexican defaulted loans 25 years ago, Emerging Markets
have become a mainstream asset class, a must have.
EM regularly outperform, as in 2012 when they beat everything, from commodities to equities and
govies, for virtually the 4th year in a row. More recently however, volatility has returned driven by
default (Argentina), volatile politics (eg Brazil, Russia), collapsing commodity prices.
Making sense of EM can prove difficult. The scale of risk / return, where spectacular failures can
lead to spectacular successes (Russia on both counts), is unusual. Unconventional pricings can hold
for long periods (USD/CNY). Liquidity is often patchy. And as the world of easy money comes to
an end, there is concern that EM will be hit disproportionately hard.
The course will combine case study work as a tool to understand market dynamics with lectures on
topical EM issues. Extensive use will be made of real-life market situations.
Course objectives
- Analyse the risk / return dynamics of EM fixed-income assets as an investor.
- Understand their specificities in relation to core markets.
- Look at EM debt / FX regimes from the viewpoint of borrowing countries.
- Put into perspective the decoupling / recoupling themes.
Format
3 lectures of 4 hours each in English. Test (1/2 hour).
Course content
1- What are Emerging Markets? From external debt as EMs starting point to local markets as its
most profitable and innovative part today. Default risk versus inflation and FX risk.
Case study: combine macro overview of selected sovereigns with asset analysis and core market
view to build a portfolio of real-life external debt and local debt assets.
2- How FX and debt issues are intertwined. FX as a key element to solvency; the specificities of
emerging economies. Analyse the impact of currency volatility in Argentina and Brazil.
Understand traders positioning on Chinas CNY.
Case study: evaluate decisions based on actual asset behaviour.
3- A changing universe. EM in theory and in practice.
Teaching methods
Lectures ; case study. The course is empirical and hands-on rather than theoretical and quantitative.
Students are expected to participate actively to class discussions.
Individual work: case study as part of a group; multiple choice test (1/2 hour in session 3)
Evaluation
A combination of class involvement, case study work and individual test results.
Presentation
Building on the Derivatives core course and the Advanced Asset Pricing elective, this course
describes practical numerical solutions to evaluate a wide array of derivative instruments, mostly
from the equity and fixed income worlds. Each lecture leads to an Excel based simulation exercise
highlighting the techniques developed in class. We cover in particular the modeling of jumps,
stochastic volatility, credit and interest rates. We analyse vanilla options, some exotic instruments
such as barrier options, hybrid instruments such as the convertible bond, some simple interest rate
derivatives and finally volatility derivatives such as VIX futures and options.
Textbook
The textbook for the course is: Options, Futures, and Other Derivatives by John C. Hull
(Seventh or Eigth Edition), Pearson. Some additional reading material will be provided in electronic
format ahead of the lectures.
Format
5 lectures of 3 hours each.
Course content
- Lecture 1: Jumps. Excel workshop 1: the role of jumps on the short term smile, pricing of a
barrier option.
- Lecture 2: Regimes. Excel wokshop 2: stochastic volatility and credit risk through a simple
regime switching model. Pricing of a CDS contract, the role of stochastic volatility on the
long term smile.
- Lecture 3: Convertible Bond. Excel workshop 3: the optimal exercises of the call by the
issuer and of the conversion and of the put by the bond holder.
- Lecture 4: Interest Rates. Excel workshop 4: pricing of a simple interest rate derivative
through an arbitrage free stochastic yield curve model.
- Lecture 5: Volatility Derivatives. Variance swaps, futures and options on the VIX index.
Teaching methods
- Lectures in class.
- Introductory and post lecture reading materials.
- 4 Excel based computer simulations done in group (suggested size from 2 to 3 students, no
knowledge of VBA required).
Evaluation
- 25% on four individual short quizz at the start of Lectures 2 to 5. Each quiz lasts 10 minutes
and covers the material of the preceding lecture.
- 50% on group works on the 4 Excel based simulations.
- 25% on the final written exam (one hour, during the test week).
AAdescri.doc/05/11/2014
HEC 2014-2015
Bond Portfolio Management
AAdescri.doc/05/11/2014
Energy Markets
Course Responsible :
Jean-Pierre FRANCOIS
Global Head of Market Making, GDFSUEZ Trading
Presentation
The energy markets are experiencing new developments. Access to information is easier, more regulation
is ongoing, banks and trading houses are implementing diverse strategies. Electronic platforms facilitate
speed, transparency, large and frequent changes in price direction. In addition, markets are much more
connected.
The course tends to give the students a global understanding and an operational approach of energy
trading in this new context, with a specific focus on Oil and Gas markets.
Course objectives
-
Format
12 h 4 courses x 3h
Course content
-
Teaching methods
Based on slides, several exercices and cases are performed during the courses.
Evaluation
Test (2 h)
GEM2FIE010
ETHICS: FINANCIAL ANALYSTS & PORTFOLIO MANAGERDS
Responsable du cours : Nathalie COLUMELLI, Consultante @ Finance Training
_____________________________________________________________________________________
Presentation and objectives
- Abstract
Excerpt from the Standard of Practice Handbook, CFA Institute, 10th edition
The CFA Institute Code of Ethics and Standards of Professional Conducts goal is to set the highest
standards for education, integrity, and professional excellence. Such standards are critical to maintaining
and recovering publics trust in financial markets and in the investment profession.
- Learning objectives
This course objective is to increase the students awareness of the importance of ethics.
They will learn, from their own experience and the analysis of the CFA Institute code of ethics and
Standards of Practice Handbook as well as movies. The students will
Have an overall knowledge of the CFA Institute code of ethics
Identify the best standards of professionalism and integrity
Identify unethical behaviors and take appropriate corrective actions
Adopt and Use a framework for ethical decision-making
_____________________________________________________________________________________
Schedule
10 hours - 3 sessions
_____________________________________________________________________________________
Content and Methods
- Content
Reference frame and scope: Capital Markets, Financial analysis departments, and Asset management
teams.
Key concepts: Law, codes and regulation, Professionalism, diligence, fiduciary duties, respect, suitability,
fair representation, transparency, Conflicts of interest, disclosures, transparency.
- Methods
Analysis of the CFA Institute Standards of Practice handbook, Debates, Case studies and Movies
Class preparation is critical to success in this course. You are expected to:
Watch movies between the first and the last session. (see list on the bibliography section)
Participate in class discussions
Read the assigned material (slide show) in order to prepare for the exam
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Course Structure
Session 1 16/01/2015
- Session 2 05/02/2015
Return the personal case (Maximum 2 pages, Word document Arial 12)
CFA Institute Code of Ethics and standards of practice handbook
o Theory: Fair representation & Conflicts of interest
Ethics questions
- Session 3 09/03/2015
- Final exam:
o Movie excerpts and analysis 1:45
o Final Test : 20 MCQs 0:45
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Evaluation and Grading
The students need to attend all 3 sessions.
Final score = Final exam mark + Personal case mark + Movie analysis mark.
The Final exam (80%)
The personal case is a (valid) paper returned via e-mail at the latest on the 2nd session
The movie analysis is undertaken during the 3rd session and before the final exam (12%)
Open books, but computers turned OFF for the essay, movie analysis and final exam.
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Bibliography and Filmography
The Standards of practice Handbook, 11th edition, CFA Institute, 2014. Free download at
http://www.cfapubs.org/doi/pdf/10.2469/ccb.v2014.n4.1
Strategic Management Theory: An Integrated Approach, Charles Hill, Gareth Jones. Chapter 11,
Corporate Performance, Governance, and Business Ethics, 9th edition 2012
Sarah Peck: Investment ethics, 2010, Wiley
Michael Mc Millan: Ethical Decision Making workshop, 2011
Press articles
o Robert Prentice: Ethical decision making, 2007, Financial Analyst Journal
o Lori Pizzani: Blowing it, 2011, CFA magazine
o William Bernstein: Corporate finance and original sin, 2008, Financial Analyst Journal
Movies (available at the Libray in yellow)
o The Corporation (Mark Achbar & Jennifer Abbott, 2007)
o Wall Street I and II (Oliver Stone, 1987)
o Lets make money (Erwin Wagenhofer, 2009)
o Crime and misdemeanors (Woody Allen, 1989)
o Rogue Trader (James Dearden, 2000)
o Enron, the smartest guys in the room (Alex Gibney, 2005)
o Erin Brokovitch (Steven Soderbergh, 2000)
o The insider (Michael Mann, 1999)
o Thank you for smoking (Jason Reitman, 2006)
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Introduction
The aim of this course is to introduce the fascinating world of Structured Products: how they are
engineered, traded and risk-managed in the dealing rooms of Londons Square Mile and New
Yorks Wall Street. Students will examine the cutting edge mathematical models behind these
products as well as getting an insight into the real world pragmatism of traders who risk-manage the
most complex and intricate risks of the financial markets in the 21st century.
This course is being offered for the 17th consecutive year to the Masters alumni, although with
significant additions/updates every year, especially after the financial crisis, which brought drastic
changes to the world of Structured Products since 2008.
Course objectives
Taught by an experienced practitioner of Derivative Trading, this course bridges the gap between
the most advanced quantitative models and their practical application by the various players of the
financial arena: Traders, Salespeople, Structurers, and Financial Engineers working in dealing
rooms, as well as Company Treasurers, Fund Managers and Speculators. Students will gain
exposure to modern financial theory as it is applied in the professional world, giving them a
headstart for when they enter the fast-paced and competitive securities industry themselves.
Format
This 30-hour course is structured as 10 intensive sessions of half-a-day each (very often, morning
and afternoon sessions combined) in order to allow an in-depth approach of the topics.
The first part of the course (5 half-days) is articulated around key concepts from the theory of
Derivative Products, presented in lecture form.
The following 3 half-day sessions are organised as practical Workshops on PC (pricing simulations,
model development and portfolio management). The last two sessions have a more interactive
focus, and students will present case studies in groups of 2 or 3.
Course content
The founding concepts of Stochastic Calculus and Financial Engineering are illustrated through the
introduction of complex Derivative Products: Barrier Options, Multi-asset Options, Hybrids, etc.
Beyond the theoretical valuation, risk-management of Exotic Options (1st, 2nd and 3rd order, cross
partial-differential risks, etc.) is also discussed in practical environment, with the particular
involvement of real constraints, such as the impact of speculation or illiquidity on the behaviour of
financial markets.
Teaching methods
This course requires a very solid mathematical background, but more in terms of capacity of
analysis rather than knowledge mechanically accumulated.
During both the Teaching Lectures and the Workshop sessions, the students ability for abstraction,
their analytical skills and the sharpness of their brain will be extensively challenged, as it would be
in a real Dealing Room (although without the stress and the adrenaline surge!).
Individual work and Evaluation
30% Participation, 50% Homework, 20% Oral Presentation
Presentation
This 18 - hour course is an introduction to quantitative asset management and quantitative
investment strategies used by hedge funds, mutual funds and other institutional traders.
Course Objectives
Learn about the most common quantitative hedge fund strategies. Become better in evaluating
whether a quantitative trading strategy will work also in the future (detect crowded trades).
Gain a better understanding of how securities markets work.
Format
6 lectures. Each lecture is 3 hours.
Course Content
We learn how some of the common trading strategies are implemented in practice. Our focus
is on trading strategies relying on academic research and in understanding the economic
rationale behind the trading strategies. We look at trading strategies in the equity, fixedincome, and currency markets. In addition, we review academic evidence on the effects of
quantitative trading strategies on hedge funds and mutual funds performance.
Teaching Methods
The course is based on lectures, Excel applications in class, and individual work.
Individual work
There will be required readings for some sessions as well as suggestions for extra readings for
students who want to learn more about particular topics. I will give two assignments during
the course (distributed in class). Preparation of these assignments is optional. If you choose to
prepare an assignment, please work in a team of three to four students. I will grade the
assignments and this grade will be added to your final score for the course (giving at
maximum 10% extra points). Each assignment must be handed in at the outset of the course
for which it is due. Late assignments will not be graded.
Evaluation
2 hours exam.
VOLATILITY MODELING
HEC Paris - Winter 2015
Laurent E. Calvet
calvet@hec.fr
http://ssrn.com/author=75695
www.hec.fr/calvet
SYLLABUS
Books:
Calvet, Laurent E., and Adlai J. Fisher (2008). Multifractal Volatility: Theory, Forecasting
and Pricing. Elsevier Academic Press. [CF]
Campbell, John, Andrew Lo, and Craig MacKinlay (1996). The Econometrics of Financial
Markets. Princeton University Press. [CLM]
2. Regime-Switching Models
*Hamilton, James (1994), ch. 22.
*Hamilton, James (2008). Regime-switching models. In The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E.
Blume. Palgrave Macmillan.
b. Stochastic Volatility
Andersen, Torben, and Luca Benzoni (2008). Stochastic volatility. In Encyclopedia
of Complexity and System Science, ed. B. Mizrach. Springer.
Ghysels, Eric, Andrew Harvey, and Eric Renault (1996). Stochastic volatility. In
Handbook of Statistics, eds. G. S. Maddala and C. R. Rao 14: 119-91.
Hull, John, and Alan White (1987). The pricing of options on assets with stochastic
volatility. Journal of Finance 42, 281-300.
Taylor, Stephen (1986). Modeling Financial Time Series. John Wiley and Sons.
Wiggins, J. B. (1987), Option values under stochastic volatility: theory and empirical
estimates, Journal of Financial Economics 19, 351-372.
c. Multifrequency Modeling
*CF, ch. 1-4.
*Calvet, Laurent E., and Adlai J. Fisher (2004). How to forecast long-run volatility:
regime-switching and the estimation of multifractal processes. Journal of Financial
Econometrics 2, 49-83.
Calvet, Laurent E. (2008). Fractals. In The New Palgrave Dictionary of Economics.
Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan.
Calvet, Laurent E., and Adlai J. Fisher (2001). Forecasting multifractal volatility.
Journal of Econometrics 105, 27-58.
Calvet, Laurent E., Adlai J. Fisher, and Samuel B. Thompson (2006). Volatility
comovement: a multifrequency approach. Journal of Econometrics 131, 179-215.
Calvet, Laurent E. and Adlai J. Fisher (2013). Extreme risk and fractal regularity in
finance. Contemporary Mathematics, Vol. 601, American Mathematical Society.
Lux, Thomas (2008). The Markov-switching multifractal model of asset returns:
GMM estimation and linear forecasting of volatility. Journal of Business and
Economic Statistics 26, 194-210.
Numerical Analysis
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Syllabus:
1- Computing and backtesting Value at Risk
2- Variance reduction and Monte Carlo simulation
3- Computing Greeks for exotic options
4- Numerical methods for pricing American options
5- Approximation schemes for stochastic volatility models and convergence
rates.
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Total load: 30h in English
10 sessions of 3 hours reparted between 15h of lectures and 15h of practical
implementation on computer.
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Evaluation:
Personal project written on a final report.