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en:ddefimode [2021/03/23 12:13] – créée cpoueten:ddefimode [2021/09/07 15:15] (Version actuelle) – [Course content] rbourles
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 +=====Course unit: Models and Decisions =====
 +==== Course metadata ====
 +  * Title in French: Modèles et Décisions
 +  * Course code: tba
 +  * ECTS credits: 3
 +  * Teaching hours: 72h
 +  * Type: ground course
 +  * Language of instruction: English and French
 +  * Coordinator: tba
 +  * Instructor(s): Dominique Henriet, Christophe Pouet, Clément Depoutre (BNP Paribas), Gaël Leboeuf (Aix-Marseille Université)
 +  * //Last update 27/08/2021 by C. Pouet//
 +
 +==== Brief description ====
 +
 +This course unit is divided into three parts:
 +  * ** Risk and decision ** (24 hours) taught by Dominique Henriet and Clément Depoutre
 +  * ** Statistics and decisions ** (24 hours) taught by Christophe Pouet
 +  * ** Corporate finance ** (24 hours) taught by Gaël Leboeuf
 +
 +==== Learning outcomes ====
 +
 +  * Understand how to take decision under uncertainty
 +  * Learn how to assess risk and how to compare risky situations
 +  * Learn how to model, estimate and predict time series
 +  * Understand how capital structure affects the value of the firm
 +
 +==== Course content ====
 +=== Risk and decision ===
 +  - Introduction: diversification and mutualization
 +  - Risk measure
 +  - Expected utility
 +  - Supply and demand: the price of risk
 +  - The value of information
 +  - Market & Counterparty Risk Management
 +
 +=== Statistics and decisions ===
 +  - Reminder on probability: conditional expectation
 +  - Stochastic processes in discrete and continuous time
 +  - ARMA process: definition, existence, characteristics (autocovariance, partial autocovariance)
 +  - Estimation of ARMA processes: identification, parameters estimation and validation
 +  - Extensions: SARIMA, ARCH and GARCH processes
 +
 +=== Corporate finance===
 +  - The Corporation
 +  - Introduction to Financial Statements Analysis
 +  - Financial Decision Making and the Law of One Price
 +  - The Time Value of Money
 +  - Investment Decision Rules
 +  - Fundamentals of Capital Budgeting
 +  - Capital Markets and The Pricing of Risk
 +  - Optimal Portfolio Choice and the Capital Asset Pricing Model
 +  - Estimatong the Cost of Capital
 +  - Capital Structure in a Perfect Market
 +  - Mergers and Acquisitiions
 +
 +
 +==== Bibliography ====
 +Check the availability of the books below at [[https://documentation.centrale-marseille.fr/|Centrale Marseille library]].
 +  - Risk and decision
 +     * [[http://dhenriet.perso.centrale-marseille.fr/risk/|course ebook]]
 +     * Gollier, C., Schlesinger, H. and Eeckhoudt, L. (2005). Economic and Financial Decisions Under Risk. Princeton University Press
 +  - Statistics and decisions
 +     * course handout
 +     * Brockwell, P.J. and Davis, R.A. (1991). Time Series: Theory and Methods. Second Edition. New York: Springer Verlag.
 +     * Box, J.E.P. and Jenkins, G.M. (1970). Time Series Analysis; Forecasting and Control. San Francisco: Holden Day.
 +  - Corporate finance
 +     * Berk, J. and DeMarzo, P. (2019) Corporate finance. Prentice Hall; 5th edition. 
 +     * [[http://pages.stern.nyu.edu/~adamodar|Aswath Damodaran at NYU]]: Course and video materials, formulas, spreadsheets, estimated risk premium, Cost of capital by sector and more. 
 +     * [[http://www.vernimmen.net/|The Vernimmen handbook homepage]]: Course and video materials, formulas, spreadsheets, corrected exercises and case studies, newsletter, financial data on 7,000 listed companies and more. 
 +     * [[http://www.amf-france.org/Recherche-avancee?formId=BDIF|AMF]]. Annual reports and legal informations on French listed companies.
 +     * [[https://fr.finance.yahoo.com/|Yahoo! Finance]]. Financial data on listed companies.
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