UNIVERSITE TOULOUSE 1 CAPITOLE INSTITUT DADMINISTRATION DES ENTREPRISES

MASTER FINANCE 2ME ANNE MASTER IN FINANCIAL MARKET AND RISK EVALUATION ANNEE UNIVERSITAIRE 2012-2013

RESPONSABLE FANY DECLERCK PROFESSOR OF FINANCE

INSTITUT DADMINISTRATION DES ENTREPRISES 2 RUE DU DOYEN GABRIEL MARTY - 31042 TOULOUSE CEDEX 9 TELEPHONE : +33 (0)5 61 63 56 11 TELECOPIE : +33 (0)5 61 63 56 56 e-mail : master2.finance@iae-toulouse.fr www.iae-toulouse.fr

Generaloverview Indepth and intensive, the Master in Financial Markets is a fulltime, entirely taught in English programme Toulouse University Graduate School of Management (IAE Toulouse). The different courses emphasize the links between financial economics theories, quantitative skills and key finance activities. Finance is science, soquantitativeskillsareneededbutfinanceisstillbusiness,sorealworldrelevanceiscrucial.Thereforewe offer uptodate fundamental topics like empirical finance, historical episodes, compliance or regulation. Topicsarechosenintheeconomicscoursesfortheirrelevancetofinanceincloseconsultationwithapanel of advisers from leading financial institutions (see the partnerships section). This panel helps ensure that thechoiceandcontentofcoursesmatchtheneedsofemployers. Six core modules ensure you cover all the key areas of financial markets and give you a broad understanding of the critical issues: ethics, arbitrage, hedge funds, asset management, market valuation, trading, insurance, risk analysis & corporate structuring. Courses are delivered through a combination of lectures,interactiveclasses,andcomputerlabsessionstocombinearigorousacademiccorewithadvanced technicalskills.Assessmentisamixofexamsandprojects,bothindividualandbygroup. The quality of an academic programme undoubtedly depends on the quality of the professors. The team teaching the FIRE programme is a mix of international researchers and international practitioners who are amongthebestintheirfieldofexpertise. On the researchers side, the professors are from IAE Toulouse and TSE, including international members, graduated from the worlds greatest universities. They bring to the FIRE programme their teaching experience in wellknown international programmes such as Georgia State University, HEC Paris, London Business School, New York University, Princeton University, University of California Santa Barbara, UniversityofOxford,andUniversityofWarwick. On the professional experts side, we call on top practitioners with relevant experience to teach, a great way to immerse the degree in undogmatic wisdom. They deliver 33% of the courses taught and work, for instance, for BNP Paribas Fortis, Crdit Agricole, Courrges Investment Solutions, LCL Crdit Lyonnais, WielandCapital,NatixisGlobalAMMorethan50%ofthesepractitionersworkforinternationalfirms.

In the same manner, the finance department has developed a strong and clear focus on developing partnerships with company sponsored chairs. All these companies benefit from international visibility and networking opportunities. These 5 chairs are: Finance Durable et Investissement Responsable (Allianz Global Investors France, Association Franaise de la Gestion Financire, Axa Investment Managers, BNP Paribas Asset Management, Caisse des dpts, Amundi, Dexia Asset Management, Ecofi Investissements, Financire de Champlain, Fonds de Rserve pour les Retraites, Groupama Asset Management, HSBC Investments France, Institut d'Economie Industrielle, La Banque Postale Asset Management, La Compagnie Financire Edmond de Rothschild AM, Macif Gestion, Natixis Asset Management, UFGSarasin AM), Capital MarketDysfunctionalities(PaulWoolleyResearchInitiative),SCOR(Socitderassuranceinternationale), Fdration des Banques Franaises (BNP Paribas,Calyon, Crdit Agricole AM, Paris Europlace Finance) and finallyBanquedeFrance. Careerobjectives
Former students from this master now work in major international investment banks and firms. Examples of jobs include: trading, sales, structuring, asset manager, risk manager, actuarial assistant, modelling analyst, consulting, compliance, middle office, debt capital market, wealth management, financial analyst, realestatemanager,M&A,privateequity

 Afewexamplesofstudentcareers Associatedirector BNP Paribas Corporate and Investment Banking HungaryBranch Coalderivativestrader EDFTradingLondon Commodityderivatives BNPParibasNewYorkCity Frontofficedeveloper OddoOptionsHongKong Frontoffice support proprietary trading ABS & CDO NatixisLondon Interestrate&derivativestradergroupALM BNP Paribas Corporate and Investment Banking Paris Naturalgascommoditiesportfoliomanagers StavangerAreaNorway Sugar&biofuelriskanalyst BungeLondon Tradesupportassociate DeutscheBankLondon Tradinganalyst Socit Gnrale Americas Securities New York City Treasurymarketriskanalyst Crdit Agricole Corporate and Investment Banking NewYorkCity Treasurymoneymarketsales Crdit Agricole Corporate and Investment Banking Paris

Toeaseintegrationandsuccessintheirfuturejobs,studentsalsobenefitfrom: A dedicated trading room equipped with a trading platform (GLTrade), as well as other softwares forthecourses(SAS,SAP,BusinessObjects). Anannualjobfair. Aninternshipdatabaseallowingstudentstofindoffersfrompartnercompaniesandseeinternships offeredinpreviousyears. The opportunity to take a gap year between the first and second years of the Master. This break allows students to undertake long term internships (for 917 months), and enrich their work experience.

Programme
1/ Asset Pricing 1.1 Valuation of financial assets and arbitrage 1.2 Fixed incom em arkets 1.3 Pricing with asym m etric inform ation 1.4 Com putational finance Ekaterina VOLTCH K OVA Stphane VILLEN EUVE Alexander G UEMB EL N ikos SK ANTZOS H 24 12 12 27 Pro H 24 24 12 Pro Sbastien POUG ET Stphane VILLEN EUVE Livui AN D R ONIC + Philipp ZAOUATI Jean de COUR R EG ES + Augustin LAND IER Johann B AR CH ECH ATH Christophe B ER TET H 12 24 24 15 24 12 Pro H 18 24 24 12 18 12 Pro H 5.1 Theory of organizations 5.2 R esearch sem inars 5.3 Capital m arkets and interm ediaries 5.4 Corporate finance 6/ Internship or research dissertation 6.1 Practitioner lectures in finance 6.2 Career developm ent skills 6.3 Internship or research dissertation T OTAL H 12 6 20 392 Assad EL AK R EMI FIT G uillaum e PLAN TIN Augustin LAND IER Pro ECTS 10 ECTS ECTS R esearch H ECT S 18 4 ECTS R esearch H ECT S ECTS 10 Pro ECTS 10 R esearch H ECT S 24 8 12 12

2/ Economics of insurance & financial markets 2.1 Microeconom ics of insurance 2.2 Trading G uillaum e PLAN TIN Sbastien POUG ET

R esearch H ECT S 24 8 24

2.3 Markets and design of structured products Johann B AR CH ECH ATH 3/ Investments and risk management 3.1 Asset m anagem ent 3.2 R isk analysis 3.3 Socially responsible investm ents & ethics 3.4 Alternative investm ents and hedge funds 3.5 Financial risk m anagem ent for corporate 3.6 Market risk m anagem ent

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4/ Quantitative methods for insurance & financial markets 4.1 Em pirical finance 4.2 Econom etrics for finance 4.3 VB A for finance 4.4 Excel for finance 4.5 Life insurance 4.6 N on life insurance 5/ R esearch methods in finance Fany D ECLER CK Christian B ONTEMPS Christophe B ISIER E Sophie MOIN AS

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R esearch H ECT S 24 24 20 36 36 R esearch H ECT S 6 20 260 20 60

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StudentsdonotneedtospeakFrenchtoenrollintheprogramasallcoursesareofferedinEnglish. Courses take place from September to the end of March. Then students must write a professional thesis and fulfill a 6 months internship requirement in order to graduate. It is however important to stress that thisprofessionalexperiencemaynotbeaninternshipperse.Ourpolicyisthatthebesttypeofinternshipis afulltimejob! 20122013practionerlectureswillbe: BEUZIT Cyril, global head of interest rate strategy, BNP Paribas (London): ECB, sovereign debt crisis &financialmarkets DELPECHJeanFranois,headofequityresearch,ODDOSecurities(Paris) FLEURYNicolas,trader,CACIB(London):interestratederivativetrading FOLDVARISandrine,quant,AHL(London):quantitativetradingstrategies HAFIDHasnaa,advisor,IRDI/ICSOPrivateEquity(Toulouse):venturecapital&growthcapital delaRAITRIEAlexandre,relationsinvestors,DNCAFinance(Paris):micro&macroanalysis REUTENAUER Victor, credit quant analyst & vice president, Citigroup (London): numerical methods &interestratederivative

VIGUIER Laurent, commodities portfolio managers, Statoil (Stavenger Norvge): valuation of flexiblegas,oilandpowercontracts STRATFORD Christopher, international management consultant, ProDev Consultants (Toulouse): helping public and private institutions prepare for intercultural change (restructuring, acquisitions, privatisation...)

AdmissionsCriteria AccesstothesecondyearoftheMasterinFinanceisopento(uponnotificationbytheadmissionjury) Studentswhohavecompleted60creditsinthe1styearoftheMasterinFinanceatIAEToulouseor inthe1styearofaMasterattheEcoled'conomiedeToulouseTSE Other students holding a French M1 (4year degree) or a foreign equivalent worth 240 credits (ECTS) in business & management, economics, engineering, finance, law, mathematics, science or social sciences, after evaluation of their academic record, TAGEMAGE or GMAT results, and possiblyaninterview.

Accesstothedoctoralprogram Our master programme offers a 'research track to prepare students for the doctoral programme and PhD inFinance. Students who choose to follow the research track will take specific researchoriented courses. Specifically, theunit"Researchmethodsinfinancereplacescertainpractitionerscourses. Moreover, students must write a short research thesis which may (but does not have to) form the starting pointforadoctoraldissertation. AdmissiontothedoctoralprogrammeisthensubjecttoexcellentperformancewithintheFIREprogramme, possibly some additional coursework, the development of a promising research agenda, and the identificationofanappropriatesupervisor. Businesspartnership Since 2002, the following organizations have participated in the curriculum and/or provided internships: Airbus, Alcatel Space, Astrium, Atos, Banexi Ventures Partners, Banque de France, Banque Courtois, BNP Paribas, BPCE, Caisse des dpts et Consignations, Calyon, Cap Gemini, Crdit Agricole, CIC, Crdit Mutuel, Dassault System, Dexia Asset Management, EADS, EDF, HSBC, LCL, EuroMTS, Euronext, Eurosport International, Finance Conseil, Lipton Informatique Conseil, KPMG, Logica, Morgan Stanley, Motorola, Natixis, Murex, Omnium Finance, Pierre Fabre, Renault, Socit Gnrale, SGAM, Siemens VDO Automotive,SopraGroup,Steria,Talan,ThalesAvionique,Valuego ScientificOversight TheMasterbenefitsfromthescientificenvironmentattheUniversityToulouse1Capitole. The courses and faculty are founded on the scientific expertise of the CRM (Centre de Recherche en Management UMR CNRS 5303), and the IDEI (Institut dEconomie Industrielle), the TSE (Toulouse School of Economics) and the GREMAQ (Groupe de Recherche en Economie Mathmatique et Quantitative UMR CNRS 5604). The seminars and conferences organized by these research labs are an integral part of the curriculum.

Doctoralschoolinbusinessadministration The IAE has an accredited doctoral school specifically dedicated to management. This structure provides students who wish to prepare a thesis in finance a high quality scientific environment as well as a strong pedagogicalstructuretocompletetheireducation.Throughtheparticipationofassociatedresearchteams, scientific and professional partnerships, and a faculty to lead the school, doctoral students gain access to internationalnetworks.

Valuationoffinancialassetsandarbitrage(24hrs) EkaterinaVOLTCHKOVA Courseoverview 1.AssetpricingBasics FundamentalConcepts CoxRossRubinsteinmodel. Introductiontooptionpricing 2.ContinuousTimeModels ItFormula GeometricBrownianMotion Arbitragepricingincontinuoustime Changeofprobabilitymeasure BlackScholesmodel 3.AdvancedOptionPricing Foreignexchange Forward,Futures ExoticOptions AmericanOptions Prerequisite(s) Basicsofprobabilitytheory Textbook&references - BackK.(2005):Acourseinderivativesecurities,Springer - HullJ.(1999):Options,futuresandotherderivatives,PrenticeHall. - LambertonD.etLapeyreB.(1997):Introductionaucalculstochastiqueappliqulafinance, Ellipsesmarketing. - BjorkT.(2004):Arbitrage,TheoryinContinuousTime,OxfordUniversityPress Assessment Finalwrittenexam

Fixedincomemarkets(12hrs) StphaneVILLENEUVE Courseoverview 1. InterestRateRisk SpotandforwardLIBORmarket Bondpricing 2.InterestRateDerivatives Forwardprobabilitymeasure caps,floors,swaptions Learningobjectives Understandingfixedincomemarketmechanism Prerequisite(s) Strongbackgroundinprobabilityandfinancialeconomics Textbook&references - BackK.(2005):Acourseinderivativesecurities,Springer - MusielaM.andRutkowskyM.(2005):Martingalemethodsinfinancialmodelling,Springer. Assessment Finalwrittenexam

Microeconomicsofinsurance(24hrs) GuillaumePLANTIN Courseoverview Session12.Howdoindividualsmakedecisionsunderuncertainty?Theeconomistsview Expectedutilitytheory,riskaversion Session3.Designandpricingofinsurancecontracts Demandforinsurance,insurancesupply,insuranceversusselfinsurance Session4.Endogenousrisk:moralhazard,conflictsbetweenrisksharingandriskmitigation A general formulation of moral hazard, moral hazard in insurance markets, moral hazard elsewhere infinance Session5.Isrisksharingstillfeasiblewhensomepeopleknowmorethanothers? The lemons problem, insurance in the presence of adverse selection, adverse selection elsewhere in finance Session6.Whyandhowshouldlargecorporationsmanagerisks? Introductiontocorporatehedgingtheories,prudentialmanagementofinsurancecompanies Session7.Reviewsession Reviewkeyconcepts,practicewithexercises Session8.Exam Learningobjectives Tounderstandhowmarketforcesshapecontractsandpricesininsurancemarkets To be able to strategically design and price insurance products and other financial products inthepresenceofinformationalfrictions Tounderstandhowriskmanagementcreatesvalueforcorporations Prerequisite(s) None Textbook&references Eeckhoudt L., C. Gollier et H. Schlesinger, (2005), Economic and Financial Decisions under Uncertainty,PrincetonUniversityPress Assessment Finalwrittenexam.Closedbook.Nocheatsheet.

Trading(24hrs) SbastienPOUGET Courseoverview This course is organized around model analysis, class discussions, and trading simulations. The software we will use is uptick learning. This software puts students in the shoes of traders in a realisticenvironment. Thevarioustopicsthatwillbecoveredinclassinclude: 1.Thelawofoneprice 2.Limitsofarbitrage 3.Marketefficiency 4.Tradingstrategies Learningobjectives The objective of this course is to better understand how prices are formed and what trading strategies are used in financial markets. The influence of risk aversion, competition, asymmetric information,andinvestorspsychologyontradingwillbediscussed. Prerequisite(s) Basicstatisticsandeconomiccourses Textbook&references Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding, MarkusBrunnermeier,2001 Assessment Theevaluationforthiscoursewillbebasedonanoralorwrittenexamination.

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Marketsanddesignofstructuredproducts(12hrs) JohannBARCHECHATH Courseoverview StructuredProducts(SP)areanassetclasspersebuthasbeenusedforgoodandbadpurposes.This course offers an overview of SP in term of market, stakeholders and value added for the economy. We will answer several questions as: why to use them, how are they build, what are the impact for banks Learningobjectives 1DevelopmentandmarketsofStructuredProducts 2TypeofSP 3OrganizationofaDealingRoom&processtocreateSP 4ExoticsoptionsandStrategies:buildingblocksofSP 5Structuringtoolsandexamplesofproducts(Termsheet,) 6Casestudy Prerequisite(s) Valuationoffinancialassetsandarbitrage(K.VOLTCHKOVA) Fixedincomemarkets(S.VILLENEUVE) Knowledgeofderivatives(includingoptions&greeks). VisualBasicforExcel Textbook&references - JohnHullOptions,Futures&OtherDerivatives - http://www.risk.net/structuredproducts - http://www.oenb.at/en/img/phb_internet_tcm1611173.pdf Assessment Casestudy

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Assetmanagement(12hrs) SbastienPOUGET Courseoverview Thiscourseexploresthepracticalaspectsofassetmanagement.Thefocusisoninvestmentpolicies, investment strategies, and performance evaluation. Particular attention is devoted to the factors influencing securities prices including asymmetric information and investors psychology. These various topics are introduced through lectures, class discussions, readings, and computerized applications. A webbased 10week simulation is organized in order to provide students with a first handexperienceinassetmanagement. Learningobjectives Afterthisclass,studentsshouldbeabletoperformthefollowingtasks: 1.Understandingtheinvestmentmanagementprocess 2.Settingupaninvestmentpolicy: 3.Implementinginvestmentstrategies 4.Evaluatingmanagementperformance Prerequisite(s) Basicmathematicsandstatistics Textbook&references - Investments,ZviBodie,AlexKane,andAlanMarcus,Irwin. - ActivePortfolioManagement,RichardGrinoldandRonaldKahn,McGrawHill - InternationalInvestments,BrunoSolnikandDennisMcLeavey,Pearson Assessment Thiscourseisevaluatedthroughanoralexamination.

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Riskanalysis(24hrs) StphaneVILLENEUVE Courseoverview 1. SomeBasicsofRiskModelling 2. Introductiontoriskmeasures 3. RiskManagementinFinance(PortfolioChoice) 4. RiskManagementinInsurance(RiskSharing) 5. Shareholdervalueandcapitalstructure Learningobjectives Understandingtheriskmanagementtools Prerequisite(s) Strongbackgroundinprobabilityandfinancialeconomics Textbook&references - BeneplancRochet:RiskManagementinturbulenttimes,OxfordUniversitypress. - Hull:RiskmanagementandFinancialinstitutions,Prenticehall. Assessment Finalwrittenexam

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SociallyResponsibleInvestmentsandEthics(6hrs) PhilippeZAOUATI Courseoverview How Socially Responsible Investments (SRI) can change the relationship between investors and financialmarkets DescriptionoftheRImarketworldwide. Extrafinancialresearch:environment,social&governance(ESG)criteria. Reviewoftheinvestmentprocesses&approaches:bestinclass,thematicfunds,impactinvesting Corporategovernance,vote&engagement. SRIandsustainabledevelopment. Learningobjectives Understand that SRI is more than investment techniques and ethics but a new way of approaching investments. UnderstandthatSRIisalinkbetweeninvestments,financialmarketsandtherealeconomy. Thewayweinvest=thefuturewewant. Prerequisite(s) Basicknowledgeoffinancialmarkets&modernportfoliotheory. Textbook&references InvestirResponsable,enqutedenouvellesvaleurspourlafinance,ditionsLignederepres. Assesment Tobedefined.

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SociallyResponsibleInvestments(6hrs) LiviuANDRONIC Courseoverview This class discusses the ways in which socially responsible investments (SRI) affect corporate financing and the functioning of financial markets. Within firms socially responsible investments are tightly related to the notion of corporate social responsibility (CSR). We are thus looking into the implications of a socially responsible approach on investment decisions and corporate behavior, especially in the context of institutional investors, extrafinancial ratings agencies and shareholder activism.WeexamineseveralexamplesofactualCSRimplementationswithinfirms. Learningobjectives At the end of the class students are expected to understand the rationale behind socially responsible investments (investorside) and corporate social responsibility (firmside); and the roles of the various SRIrelated actors (institutional investors, extrafinancial ratings agencies and shareholderactivists).Theyshouldbeabletoprovidespecificexamples. Prerequisite(s) Acourseinfinancethatcoversbasicaspectsoffinancialmarketsandcorporatefinancing. Textbook&references - AugustinLandierandVinayNair,InvestingforChange,OxfordUniversityPress2009 - Markus Kitzmueller and Jay Shimshack, Economic Perspectives on Corporate Social Responsibility,JEL2012(forthcoming) - The Economist, Just good business A special report on corporate social responsibility, January2008 Assessment Ashortexamofabout30min,consistingof34openendedquestions.

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Financialriskmanagementforcorporate(24hrs) JohannBARCHECHATH Courseoverview Over the last 50 years, financial risks within corporation were a growing concern. The current volatile financial market highlights the urge to understand, quantify and hedge such risks. Focusing oninterestratesandforeignexchange risks,the courseoffersadescriptionof thestakeholders,the marketsandtheproductsusedtoassistthetreasurerinhisdailytasks. Review Basicproducts:spot,forward,Fxswap,FRA,IRS VanillaFXoption,Cap&Floor,Swaptions,ExoticOptions Learningobjectives BrokerGame:apracticalapproachtofinancialmarkets(order,liquidity,trading...) Fundamentalprinciplesofforeignexchangemarket Fundamentalprinciplesofinterestratemarket Analyzeofforeignexchangeandinterestraterisks Prerequisitestosetupanhedgingpolicy OrganizedexchangesvsOTCmarket Valuationofderivatives Hedgingsolution Investmentssolutions Prerequisite(s) Valuationoffinancialassetsandarbitrage(K.VOLTCHKOVA) Fixedincomemarkets(S.VILLENEUVE) Financialmathematics Basicsonderivatives Excel Textbook&references - JohanHullOptions,Futures&OtherDerivatives - FinancialDerivatives:PricingandRiskManagement(RobertW.KolbSeries) - OptionsonForeignExchange(WileyFinance) - CorporateTreasuryandCashManagement,R.Cooper Assessment Multiplechoicequestion Casestudy

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Marketriskmanagement(12hrs) ChristopheBERTET Courseoverview 1.1 RiskManagementBasics Thisobjectiveofthissectionistogetanoverviewofthe mainrisksanyinvestoronfinancial markets hastocopewith:marketrisk,creditrisk,liquidityrisk,operationalrisk. 1.2 MarketRiskControl Withafocusonmarketrisk,wewillexamine: o Thehedgingmechanisms o Themainriskmetrics: Sensitivities,Greeks ValueatRisk StressTests Thesethreetypesofindicatorswillbestudiedindetail. 1.3 MarketRiskinAssetManagement Thepurposeofthissectionistoprovidestudentswithanintroductiononhowanassetmanagement firm works in practice, the responsibilities of the key investment professionals and business support staff,andthebestpracticesoftheRiskControlfunction. Thenwewill studythe mostpopularriskindicatorsusedin theassetmanagementindustrytoassess theriskassociatedwithaninvestmentinamutualfundandahedgefund. Prerequisite Basicsonfinancialinstruments(securitiesandderivativesproducts) Textbook&references - JohnC.HULL,PrenticeHallInternationalEditions:Options,Futures,andOtherDerivatives - JeanMATHIS,ditionsEconomica:GestiondActifs - Nol AMENC, Sbastien BONNET, Gautier HENRY, Lionel MARTELLINI, Axel WEYTENS, ditions Economica:LaGestionAlternative - MarkJ.P.Anson,WileyFinance:HandbookofAlternativeAssets Assesment Tobedefined.

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Empiricalfinance(18hrs) FanyDECLERCK Courseoverview ThiscourseaimsatunderstandinghowSAScanbeusedtostoredata,performdescriptivestatistics, run econometrics, or manage banking or capital market activity. Using real data and real events, studentshavetotesttheCAPMmodel. Learningobjectives Analytical and research skills: skills of problem definitions; problemsolving; data search, collection andanalysisforbusinesspurposes. Quantitativeskills:theabilitytomanipulateandinterrogatequantitativedata. Qualitative skills: the exercise of judgement, the weighting of evidence, and the development of reasonedargument. Theoutlineofthecourseisasfollows: 1.WhatisSAS? 2.Datastep,procstep,format&date 3.Eventstudy&CAPM Prerequisite(s) Econometricsforfinance CAPM Textbook&references - R. P. Cody et J. K. Smith, Applied statistics and the SAS programming language, Prentice Hall CollegeDiv,2005. - DuguetE.,IntroductionSAS,Economica,2004. - Geoff D. and B.S. Everitt, A handbook of statistical analyses using SAS, Boca Raton ; London; NewYork,Chapman&Hall/CRCcop.2002. - DestandauS.etM.LeGuen,AnalyseexploratoiredesdonnesavecSAS,INSEE,1998. Assessment Homeworkandprojectevaluation.

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Econometricsforfinance(24h) ChristianBONTEMPS Courseoverview This series of lectures introduces statistical and econometric tools for the analysis of financial data. The lectures are a mix between formal lectures and applied sessions where we work with the softwaresEVIEWSandEXCEL.Afterabriefintroductiondedicatedtodescriptivestatisticsinthecase of time series, we first focus on linear forecasting where we explore the basic techniques and apply themformodelingassetreturns.Forthispart,onlyunivariatetimeseriesareconsidered. We then introduce conditional Heteroskedastic processes who have been widely used for modeling volatility of financial assets. We focus on the basic models, i.e. ARCH(p), GARCH(1,1), NGARCH and explorehowthesemodelscanbeextendedtomodelmultivariatereturns. Finally,weintroduceValueatRiskmodelsandpresentaneconometricapproachtoVaRcalculation. Backtestingmethodstoassesstheperformanceofthesemodelsarealsointroduced. Learningobjectives The objectives for the students are to be able to develop by themselves quantitative analysis of financial data, with a high level of scientific rigor (forecasting, estimating conditional volatility, assessing the performance of their model). The course is also aimed at providing the basic techniques they would need in the case they would be interested in considering more advanced models. Prerequisite(s) Generalstatisticalknowledges.Normaldistribution,Studentdistribution. Textbook&references - P.Christoffersen:ElementsofFinancialRiskManagement - Elton,Gruber,BrownandGoetzmann:ModernPortfolioTheoryandInvestmentAnalysis - R.Tsay:AnalysisofFinancialTimeSeries - McNeil,FreyandEmbrechts:QuantitativeRiskManagement Assessment The course is evaluated by an empirical work on financial data for which a report is written. An oral presentationsupplementsthewrittenreport.

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VBAforfinance(24hrs) ChristopheBISIRE Courseoverview VisualBasicforApplications(VBA)isanimplementationofMicrosoft'sprogramminglanguageVisual Basic 6, and associated development environment, built into Microsoft Office applications. Excel VBA is widely used in the financial industry. The following methods and techniques will be covered: structured programming, eventdriven programming, object oriented programming, database access,Excelobjectmodel. Learningobjectives The course aims at providing students with a solid background and understanding of VBA programming,alongwithbestpractices,suchthatstudentswillwritegoodquality,easytomaintain code. Prerequisite(s) General knowledge of personal computer. Basic programming skills. Experience with Excel is also required. Textbook&references - Chandan Sengupta, Financial Modeling Using Excel and VBA, Second edition, Wiley Finance, 2009. - Mary Jackson, Mike Staunton, Advanced Modelling in Finance Using Excel and VBA, Wiley, 2001. - JohnTjia,BuildingFinancialModels,2ndrevisedEdition,McGrawHill,2009. - Fabrice Riva, Applications Financires sous Excel en Visual Basic, Economica, troisime dition,2008. - SimonBenninga,FinancialModeling,3rdrevisedEdition,TheMITPress,2008. - PaulLomax,VB&VBAinaNutshell,OReilly,1998. Assessment Learning assessment will be based on 1) weekly quizzes and homework problems, and 2) a group project(developmentofafinancialapplication).

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Excelforfinance(12hrs) SophieMOINAS Courseoverview This course aims at understanding how Excel can be used to create financial models, such as: financial analysis models, portefolio risk management models, cash management models, option or insurancepremiapricers... Learningobjectives Students should be able to build a financial model, from the input of public and private data, to the presentationoftheoutput,viaautomaticcomputations.Theoutlineofthecourseisasfollows: 1.Whatisfinancialmodeling? 2.Exceltoolsforfinance 3.Statistics 4.Optimization 5.Randomnumbersandsimulations Prerequisite(s) Financecourses(NPV,CAPM,OPTIONPRICING) Excelbasics Textbook&references - BrealeyandMyers,PrinciplesofCorporateFinance,McGrawHill - HullJohnC.,Options,FuturesandotherDerivatives,PrenticeHall - Craig W. Holden, Excel Modeling in the Fundamentals of Investments, Second edition, PearsonPrenticeHall; - CraigW.Holden,SpreadsheetModelinginCorporateFinance,PrenticeHall - FabriceRiva,ApplicationsFinanciressousexcelenvisualbasic,Economica,2008 Assessment Homeworkandprojectevaluation.

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Non Life Insurance (12h) Olivier FAUGERAS Courseoverview Thiscoursepresentstheprobabilisticactuarialrisktheoryinnonlifeinsurance.Probabilistic modellingisusedtoaccountforthetwosourcesofuncertaintyaninsurerhastodealwith:the numberofclaimsandtheiramount.Thankstosuchmodelling,itisthenpossibletoderiveprinciples ofpremiumcalculationandtocomputetheprobabilityofruinofaninsurancecompany. 1. Introductiontoinsurancemathematics Principleofmutualisationofrisks TypeofInsuranceandreinsurancecontracts Probabilisticmodellingofaninsurancecompany 2. Modellingclaimsizesandclaimnumberdistributions Usefulcontinuous,discreteandmixeddistributions Tools:momentgeneratingfunctionsandLaplacetransforms Lightversusheavytails:diagnosisandimplicationsforclaimsizes 3. ThecollectiveRiskmodelinthestaticcase Computationofaggregatedclaimamountdistributions Exactcomputations Approximatecomputationsbydiscretizations,statisticalapproximations,MonteCarloand Bootstrapnumericalsimulations 4. PrinciplesofPremiumcalculation Principlesbasedonprobabilisticconsiderations Principlesbasedonactuarialconsiderations Principlesbasedonutilityanddecisiontheory Learningobjectives Understandingofmainconcepts,toolsandtechniques. Abilitytocompute/simulateprobabilisticquantitiesandrelatedpremiums. Understandingofassumptionsandapproximation Prerequisite(s) basicknowledgeofstatistics,probabilitytheory Textbook&references Modern Actuarial Risk Theory, using R. Rob Kaas, Marc Goovaerts, Jan Dhaene, Michel Denuit,2008.Springer Insurance Risk and Ruin, by David C.M. Dickson, Cambridge international series on actuarial Science,2005,Cambridgeuniversitypress. NonlifeinsuranceMathematics,anintroductionwithstochasticprocesses,ThomasMikosch, Universitext,2006,Springer Assessment finalwrittenexam

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