Advanced Topics in Financial Management

Vztahy:

It is not possible to register for the course 32ME-P-ADFM-01 if the student is concurrently registered for or has already completed the course G63E4301 (mutually exclusive courses).

During a review of study plans, the course G63E4301 can be substituted for the course 32ME-P-ADFM-01.

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, underpinning the position with the diversification principle. The overview starts with the pioneering Markowitz contribution; the course analyzes 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.

Requirements:

MSc.-level course in Corporate Financial Management

Syllabus of lectures:

Financial Decisions and Company Performance

Analysis of the Composition of Capital

The Time Value of Money Compounding and Discounting

Fixed Income and Strategies of Financing.

Pricing Bonds

How interpret the Yield Curve

Variable Income

How to get funds: Equities

The mean variance analysis for risk management

The Envelope Portfolio and the Efficient Frontier. Construction.

The Merton - Black Propositions and the plot of Envelope Portfolio

The CAPM model, the betas and the analysis of individual risk.

The Black Litterman Model and the opinions about the portfolio proportions.

Hedging positions and Hedging Strategies

The probability of default and the Merton's Valuation Model

Event studies and the abnormal returns.

Options Put and Call

Black Scholes Model and the Pricing of Options.

Diversity of Application of Black Scholes Formula

Portfolio Choice,

Corporate Management and Financial indicators

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.

By the end of the course, students will be able to understand the structure, operation and behavior of financial markets and the utilization of various financial instruments, including financial derivatives. Likewise, the student must develop skills in the use of Excel tools and the financial formulas and function incorporated into the Excel package. The student must be able to interpret the outputs and make wise financial decisions in the context of Markets.

Study materials:

Mandatory:

Poncet, Patrice, Portait, Roland (2022). Capital Market Finance: An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk. Springer Textbook.

Shuangzhe Liu & Milind Sathye (2021). Financial Statistics and Data Analytics. MDPI. Basel.

Benninga Simon and Mofkadi Tal (2022). Financial Modeling, fifth edition Edition. MIT Press.

Benninga Simon and Mofkadi Tal (2018). Principles of Finance with Excel. Oxforfd University Press.

Shuangzhe Liu & Milind Sathye (2021). Financial Statistics and Data Analytics. MDPI. Basel.

Harvey Campbell, Rattray Sandy, & Van Hemert Otto (2021). ‎ Wiley; 1st edition

Lukomnik Jon & Hawley James (2021) Moving Beyond Modern Portfolio Theory. Routledge; 1st edition

Bastick Liam (2020) Introduction To Financial Modelling. Holy Macro Books. 1st edition

Isichenko Michael (2021) Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage Wiley; 1er edition

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 Prokopsuk, Marcel (2016). Estimating Beta. The Journal of Financial and Quantitative Analysis. Vol. 51, No. 4 (August), pp. 1437-1466

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans:

• Process Management, prezenční - 22/23 (compulsory elective course)
• Financial management, AR 22/23, prezenční forma (compulsory elective course)
• Regional Studies, prezenční forma, AR 22/23 (compulsory elective course)
• Project management, prezenční forma, AR 2022/2023 (compulsory elective course)