Advanced Topics in Financial Management

Course guarantor:

Helmuth Yesid Arias Gomez

Lecturer:

Helmuth Yesid Arias Gomez

Tutor:

Helmuth Yesid Arias Gomez

Supervisor:

Institute of Economic Studies

Synopsis:

During the course, the strategies for recognizing the financial performance of firms will be studied. The market information, drawn from the transactions made at the financial markets, will be combined with firm data.

The analysis of fixed income is focused on the analysis of bond structure of payoffs, the process of pricing, the plotting of yield curves, and the appraisal of the term structure of interest rates. Previously, the definition of spot and forward rates must be established.

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 review a diversity of strategies developed for assigning a portfolio of investments, which combine assets of diverse degrees of risk, underpining the position in accordance with the diversification principle. This overview starts with the pioneering Markowitz contribution; the course also analyzes the Merton Miller model of irrelevance of the equity-debt composition for the corporate structure of capital. The analysis also includes the Sharpe CAPM model.

The course also tackles the methodologies of valuation intended to quantify the market value of companies.

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, and the portfolio allocation , through statistical techniques that allow to describe the profit and loss and the distribution of the firms 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 functions 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:

X.Y. Wang (2023). Quantitative Finance: Interview Questions and Answers

Robert C. Merton & Richard T. Thakor (2024). Trust in Lending.

The Review of Economics and Statistics

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. MIT Press.

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

Wen, Zhijian. Theoretical Analysis of Modern Portfolio Theory (2023). BCP Business & Management, roč. 47, s. 99104. ISSN 2692-6156. DOI: 10.54691/bcpbm.v47i.5177

YU, Jingchen a Juntai ZHANG. (2023). A Comprehensive Analysis of The Modern Portfolio Theory. BCP Business & Management. roč. 38, s. 21112114. ISSN 2692-6156. DOI: 10.54691/bcpbm.v38i.4046

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, 1st 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 & Prokopsuk, Marcel (2016). Estimating Beta. The Journal of Financial and Quantitative Analysis. Vol. 51, No. 4 (August), pp. 1437-1466

Note:

Attendance to class is mandatory. In case of schedule collision with other subject, the student must only enroll one of the two alternatives.

The exam will focus on the material discussed and practiced in the classroom. Alternative sources will be accepted, but the grading will take into account the studied material.

The study of financial markets is a highly applied and hands-on topic.

AFTER THE PLANNED SCHEDULE FOR EXAMS, AND AFTER THE SUBSEQUENT OPPORTUNITIES FOR PRESENTING THE EXAM, NO FURTHER EXAMS WILL BE MADE.

Time-table for winter semester 2025/2026:

Time-table is not available yet

Time-table for summer semester 2025/2026:

Time-table is not available yet

The course is a part of the following study plans:

• kombi - Project and Process Innovation Management, N0413A050002 Projektové řízení inovací (compulsory elective course)
• kombi - Management inovací v regionech, N0413A050002 Projektové řízení inovací (compulsory elective course)
• kombi - Management moderních výrobních technologií, N0413A050002 Projektové řízení inovací (compulsory elective course)