Advanced Topics in Financial Management

Garant předmětu:

Helmuth Yesid Arias Gomez

Lecturer:

Helmuth Yesid Arias Gomez

Tutor:

Helmuth Yesid Arias Gomez

Supervisor:

Institute of Economic Studies

Synopsis:

During the course will be studied the strategies for recognizing the financial performance of firms. The market information drawn from the transactions performed at the financial markets will be combined with the internal corporative sources. Several approaches and indicators will be applied to assess the evolution of companies.

The course aims at overhaul the path research of the portfolio theory and recognize the main financial models intended to manage the assets. The exercises and theoretical perspective deal with a diversity of strategies developed for assigning a portfolio of investment, combining assets of different degree of risk, underpining the position with the diversification principle. The overview starts with the pioneering Markowitz contribution; the course analyzes also the Merton Miller model of irrelevance of the equity-debt composition for the corporative structure of capital. The analysis includes also the Sharpe CAPM model.

But previously, the student must be aware of all statistical concepts dealing with uncertainty, probability distributions, confidence intervals and probability of default. With the conducing background the course enters in the definition of VaR applications, in order to quantify the amounts of loses based on the probability distribution, based on the Gaussian statistical theory. The estimation of measures of risk conveyed by each individual asset is run by econometric methods.

Requirements:

Syllabus of lectures:

Syllabus of tutorials:

Study Objective:

The course provides with an intuitive introduction to the main tools in risk analysis. Keeping up the evolving trajectory of the financial analysis the course teaches a modern approach to the risk measurement of a financial position through statistical techniques which allow to describe the profit and loss and the distribution of the firm’s portfolio over some predetermined horizon.

In particular, market practice has nowadays adopted Value at Risk (VaR) as standard risk measure. Several techniques implement the statistical procedures for accurately estimating the amounts which are exposed under specific confidence levels.

Study materials:

Mandatory:

MERTON, Robert & Thaler, Richard (2021).. No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions. Working Paper 28341, NBER.

BALLOTTA Laura & FUSAI Gianluca ( 2017) A Gentle Introduction to Value at Risk. Technical Report · April 2017

BENNINGA Simon and MOFKADI Tal (2018). Principles of Finance with Excel. Oxforfd University Press.

BENNINGA Simon and MOFKADI Tal (2022).Financial Modeling, fifth edition. MIT Press

Bernhard Pfaff (2016) Financial Risk Modelling and Portfolio

Optimization with R. John Wiley & Sons, Ltd

Rasmussen, M. (2003) Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory. Palgrave Macmillan

HOLLSTEIN, Fabian and PROKOPCZUK, Marcel (2016). Estimating Beta. The Journal of Financial and Quantitative Analysis. Vol. 51, No. 4 (AUGUST), pp. 1437-1466

BENNINGA Simon (2014) Financial Modeling. Fourth Edition. MIT press.

ALLEN Steven (2013) Financial Risk Management. John Wiley & Sons, Inc.

CHOUDHRY Moorad (2013). An Introduction to Value-at-Risk. 5th Edición. Wiley.

MYINT, S., FAMERY, F. (2012) The Handbook of Corporate Financial Risk Management. Risk Books. London.

MALZ, A.M. (2011) Financial Risk Management: Models, History and Institutions. Hoboken: Wiley Finance.

PILBEAM, K. (2010) Finance and Financial Markets. 3rd ed. New York: Palgrave Macmillan.

FRANKE Jürgen , HÄRDLE, Wolfgang K. & HAFNER Christian. (2008). Statistics of Financial Markets. Springer.

JORION Philippe (2007) Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition. Mc Graw-Hill

WILMOTT, Paul (2006) On Quantitative Finance. John Wiley & Sons

MARTELLINI Lionel, PRIAULET Philippe & PRIAULET Stephane (2003). Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies. Wiley.

SAUNDERS Anthony & ALLEN Linda (2002) Credit Risk Measurement. Second Edition. John Wiley & Sons, Inc.

MERTON Robert C. (2002) Future Possibilities in Finance Theory and Finance Practice. Working Papers. Harvard Business School

CHOUDHRY Moorad (2001). The Bond and Money Markets: Strategy, Trading, Analysis Butterworth-Heinemann

FAMA, Eugene (1998). Market Efficiency, Long-term Returns, and Behavioral Finance. Journal of Financial Economics. 49, pp. 283 – 306.

MARKOWITZ Harry (1990). Foundations of Portfolio Theory. Nobel PrizeLecture. Stockholm

BLACK Fischer & SCHOLES Myron (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy , May - Jun., Vol. 81, No. 3, pp. 637-654

MODIGLIANI Franco and MILLER Merton (1958) The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review, Vol. 48, No. 3, pp. 261-297

Note:

Time-table for winter semester 2023/2024:

Time-table is not available yet

Time-table for summer semester 2023/2024:

	06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon
Tue
Wed
Thu
Fri
Sat	roomDEJ:203 09:00–12:15 (lecture parallel1) Dejvice Učebna

The course is a part of the following study plans: