International Track - 304 - 2nd year of master's degree

Bloc optionnel 30 ECTS à choisir

• Economie de l'énergie et de l'environnement (en anglais)

  Economie de l'énergie et de l'environnement (en anglais)

  Ects : 6

  Lecturer :
  JAN-HORST KEPPLER
  

  Total hours : 27

  Overview :

  - Economie de l'énergie et de l'environnement - Transmission de connaissances fondamentales en économie de l'énergie et de l'environnement The class will provide students with an overview of key concepts in both environmental economics and energy economics. It should enable students to apply these concepts to basic policy analysis. 1. Externalities, Fixed Costs and Information (Private, public goods, club goods and externalities, informational complexity, transaction costs and the Coase theorem) 2. The Optimal Internalisation of Externalities (The Pigouvian approach, instruments for internalisation (taxes, standards, emission trading etc.), efficiency considerations of different internalisation measures, the distributional impacts of different measures) 3. Dimensions of Social Cost (Categories of social costs, risk, uncertainty and real option value) 4. The Measurement of Externalities (Measuring abatement cost, methods to measure social costs I + II) 5. Special Topics: Distribution and Energy Efficiency (Compensating vs. equivalent variation: the impact of distribution on social costs; Energy efficiency and the rebound effect) 6. Electricity Markets I + II (Sustainable development in the energy sector, the functioning of electricity markets and price formation, working with screening curves, the investment challenge according to Joskow, capacity remuneration mechanisms (CRMs), storage and demand response) 7. The Full Costs of Low Carbon Electricity Systems (Projected costs of generating low carbon electricity, full costs and system costs of different generation technologies 8. The Interaction of Carbon and Electricity Markets (Carbon prices and electricity prices: theories of price formation in the carbon market, causality between CO2 prices and different energy variables, rents of electricity producers due to carbon pricing: grandfathering vs. auctioning)

  Coefficient : 2

  Recommended prerequisites :

  Microéconomie

  Require prerequisites :

  Admission au Master EFC

  Learning outcomes :

  Compétencess en économie de l'énergie et de l'environnement ;

  The class will provide students with an overview of key concepts in both environmental economics and energy economics with a special focus on the performance of European electricity markets. The class will develop those notions in a framework alternating between private and social utility maximisation.

  Assessment :

  Mémoire sur un de dix sujets proposés en intégrant les acquis du cours

  Bibliography-recommended reading

  Bibliographie

   

  Arrow, Kenneth J. (1970). “The Organization of Economic Activity: Issues Pertinent to the Choice of Market versus Non-Market Allocation”, in Robert H. Haveman and J. Margolis ( eds.), Public Expenditure and Policy Analysis. Chicago.

  Barde, Jean-Philippe (1991), Économie de l’environnement, Presses universitaires de France, Paris.

  Baumol William and W. Oates (1988). The Theory of Environmental Policy. New York: Cambridge University Press.

  Coase, Ronald (1997), The Firm, the Market and the Law, Chicago: University of Chicago Press.

  Coase, Ronald H. (1960). “The Problem of Social Cost”, Journal of Law and Economics 1(1): 1-21.

  www.ecosystemvaluation.org/dollar_based.htm

  Freeman, Myrick (1979). The Benefits of Environmental Improvements: Theory and Practice. Baltimore: Johns Hopkins University Press.

  Hicks, John R. (1932, 1963, The Theory of Wages, London: Macmillan.

  Joskow, Paul L. (2006), “Capacity payments in imperfect electricity markets: Need and design”, Utilities Policy (16)3: 159-170.

  Joskow, Paul L. (2007), “Competitive Electricity Markets and Investment in New Generating Capacity”, in Dieter Helm (ed.), The New Energy Paradigm, Oxford University Press, pp. 76-121 also at http://economics.mit.edu/files/1190.

  Keppler, Jan Horst (2019), The Costs of Decarbonisation: System Costs with High Shares of Nuclear and Renewables, with Marco Cometto, OECD, Paris.

  Keppler, Jan Horst (2018), The Full Costs of Electricity Provision, OECD, Paris.

  Keppler, Jan Horst (2017), « Rationales for Capacity Remuneration Mechanisms: Security of Supply Externalities and Asymmetric Investment Incentives », Energy Policy 105, 2017, p. 562-570.

  Keppler, Jan Horst (2011), Carbon Pricing, Power Markets and the Compe titiveness of Nuclear Power, with Claudio Marcantonini, OCDE, Paris.

  Keppler, Jan Horst (2010), « Causalities between CO2, Electricity, and other Energy Variables during Phase I and Phase II of the EU ETS » with M. Mansanet-Batailler, Energy Policy 38(7): 3329-41.

  Keppler, Jan Horst (2010), « The Impact of the EU ETS on Prices and Profits in the Electricity Sector » with M. Cruciani, Energy Policy 38(8): 3280-90.

  Keppler, Jan Horst (2010), « Going with Coase against Coase: The Dynamic Approach to the Internalization of External Effects », in The Economics and Finance of Sustainable Development, Economica, Paris, p. 118-139.

  Keppler, Jan Horst (2000), « Prices, Technology Policy and the Rebound Effect » with F. Birol, Energy Policy 28 (6-7), p. 457-469.

  Keppler, Jan Horst (1998), « Externalities, Fixed Costs and Information », Kyklos 52 (4), p. 547-563.

  Keppler, Jan Horst (1992), « Abgabentariffierung vor dem Hintergrund konkreter Gesetzesvorhaben » with A. Eberhardt, Zeitschrift für Angewandte Umweltforschung 5(3), 1992, p. 360-373.

  Léautier, Thomas-Olivier (2013), “The Visible Hand: Ensuring Optimal Investment in Electric Power Generation”, IDEI Working Paper 605, http://idei.fr/display.php?a=22628.

  Lind, R. C., Ed. (1982), Discounting for Time and Risk in Energy Policy, Washington, DC: Resources for the Future.

  Pearce, D. W. and R. K. Turner (1990), Economics of Natural Resources and the Environment, Baltimore, The Johns Hopkins University Press.

  Pigou, Arthur Cecil. 1920. The Economics of Welfare. 2nd Edition. London: Macmillan.

  Stoft, Steven (2002), Power System Economics, Piscataway (NJ), IEEE Press.

  Viscusi, Kip (2005), “The Value of Life”, Harvard Law School, Discussion Paper No. 517, 06/2005, available at http://law.harvard.edu/programs/olin_center/.

  Weitzman, Martin (1974), “Prices vs. Quantities”, Review of Economic Studies 41(4), p. 477-491.

• Economie du changement climatique (en anglais)

  Economie du changement climatique (en anglais)

  Ects : 6

  Lecturer :
  PATRICE GEOFFRON
  

  Total hours : 36

  Overview :

  Présentation générale Le changement climatique est principalement lié à un modèle énergétique historiquement basé sur les énergies fossiles (charbon, pétrole et gaz naturel) depuis la première révolution industrielle. Limiter les principaux effets du changement climatique (événements climatiques extrêmes, pollution atmosphérique, élévation du niveau de la mer, ...) et leurs coûts économiques implique de déployer des moyens énergétiques bas carbone (éolien, solaire, ...), d'améliorer l'efficacité énergétique et, plus largement, de transformer l'organisation de nos sociétés. Dans ce contexte, le cours examine : - La théorie économique, les perspectives empiriques et l'économie politique de l'offre et de la demande d'énergie, tant pour les combustibles fossiles que pour les sources d'énergie renouvelables. - Les politiques publiques affectant les marchés de l'énergie, y compris la taxation, la régulation et la dérégulation des prix, l'efficacité énergétique et le contrôle des émissions. - Une attention particulière sera accordée aux politiques économiques telles que les taxes sur le carbone et les permis d'émission négociables, ainsi qu'aux problèmes liés au remplacement des combustibles fossiles par de nouvelles technologies énergétiques.

  Learning outcomes :

  Compétences en économie du changement climatique

  Assessment :

  Projet final en groupe (70%) et fiche d'analyse d'un texte théorique (30%)

  Bibliography-recommended reading

  Tous les matériaux sont fournis dans le cadre du courts

• Modélisation empirique des marchés de l'électricité et du gaz (en anglais)

  Modélisation empirique des marchés de l'électricité et du gaz (en anglais)

  Ects : 6

  Lecturer :
  ANNA CRETI
  

  Total hours : 36

  Overview :

  Fondamentaux des marchés électricité et gaz

  Modélisation empirique des marchés de l'électricité et du gaz Analyse des principales source d'information pour la modélisation empirique des marchés de l'électricité et du gaz

  Coefficient : __

  Recommended prerequisites :

  Econométrie

  Require prerequisites :

  Economie Industrielle

  Learning outcomes :

  Compétences en modélisation empirique des marchés de l'électricité et du gaz

  Assessment :

  Examen écrit

  Bibliography-recommended reading

  Creti-Fontini, 2019, Economics of Electricity: markets, competiton and rules

• Evaluation des risques et analyse d'investissement dans les marchés de l'énergie (en anglais)

  Evaluation des risques et analyse d'investissement dans les marchés de l'énergie (en anglais)

  Ects : 6

  Lecturer :
  FABIEN ROQUES
  

  Total hours : 36

  Overview :

  - Evaluation des risques et introduction au financement de projet dans les marchés énergétiques - Transmission de connaissances fondamentales en évaluation des risques et introduction au financement de projet dans les marchés énergétiques

  Learning outcomes :

  Compétences en évaluation des risques et introduction au financement de projet dans les marchés énergétiques

• Politiques de l'énergie (en anglais)

  Politiques de l'énergie (en anglais)

  Ects : 3

  Lecturer :
  SOPHIE MERITET
  

  Total hours : 18

  Overview :

  Syllabus (here) This course focuses on energy policies through a research paper in energy economics. It helps students develop a critical understanding of the role of policy for sustainable energy transitions in developed and developing countries. The focus of the research paper project format is an economic question or issue in energy policies in a specific country or geographic area. Energy plays a key role in most of the world’s environmental problems, from the global issue of climate change, through regional damage caused by acid rain, to poor local air quality. Energy markets throughout the world are evolving rapidly, with privatization, competition, market structure and regulation all prominent worldwide. Resource depletion of fossil fuels, the role of renewable energy and social inequities such as fuel poverty are central issues for sustainable development. The influence of energy issues on international politics and security has come into sharp focus with conflicts. The range of challenges for energy policy is diverse and exciting. The Energy Policy Course is designed to review the broad interconnection between global economic growth, energy resource supply, geopolitical energy security, climate change and the development of energy policy, and to review the technologies and economics of energy production, transmission, distribution and consumption/conservation. No topic-driven content is covered during the course; rather, the students investigated an issue and the course focused on the development of analytical thinking and research skills. The organization of the seminar is the following:

  1. Presentation of the fundamentals of energy policies, followed by a discussion of supply and demand policies. Throughout the discussion special emphasis will be put on energy policies and their interface with other policies …,
  2. Determining a research focus: The goal is to nurture students through the process of narrowing their topic, developing an effective economic research question and constructing a plan for their research.
  3. Beginning analysis: At this stage students have narrowed their issue to a specific economic question and searched relevant literature for areas of potential contribution.
  4. & .5 Evaluating evidence: The final stage of the course is dominated by a one-to-one meeting with the instructor. The students are deep into the development of their evidence their questions become project specific. It is more advantageous for students to individually with the instructor as issues arise.

  6. Bringing it all together: This final section of the course provides students with the opportunity to synthesize the components of their projects and receive a final set of reflective comments, from their peers.

  Learning outcomes :

  Through a research paper project, the course intends to provide students with the necessary skills to understand and analyze energy policies from different perspectives, ranging from users and energy firms to policymakers.

  Upon successfully completing the course the student should be able to

  - Realize how energy politics is designed and what it is supposed to achieve

  - Define global and national energy policy factors which promote energy transition

  These issues will be explored in weekly lectures and discussion sessions, several class discussions, and an individual research paper. Through active engagement and interaction in these pursuits by students from a variety of disciplines, a broad perspective on key energy policies issues will be acquired.

  Assessment :

  Final individual paper (100%) . Th research paper project will be handed out at the end of the semester. It must be must a 15-20 page typed document and must be done individually. All the course is built to help student to write their research paper.

  Bibliography-recommended reading

  -

  Transforming Energy Systems: Economics, Policies and Change by Steven Fries | Nov 30, 2022, ELGAR

   

  -

  Economics of Power Systems: Fundamentals for Sustainable Energy by Christoph Weber, Dominik Möst, et al. | Nov 14, 2022, SPRINGER

   

  -

  All About Renewable Energy: The Economics Of Renewable Energy Systems by Roseanne Bisges | Jul 27, 2022

   

  -

  Energy Economics: Concepts, Issues, Markets and Governance

  by

  Subhes C. Bhattacharyya | nov 14, 2020 (1st Edition., 2011

   

  -

  MERITET S. & VAUJOUR J-B (2015),

  Economie de l’Energie,

  Topos, Dunod.

• Finance verte : Finance de marché et financement de projet (en anglais)

  Finance verte : Finance de marché et financement de projet (en anglais)

  Ects : 6

  Lecturer :
  EMILIE MARBOT
  

  Total hours : 36

  Overview :

  Project Finance

  1. Introduction to Project Finance (1/2) a. Comparison with corporate finance b. Risks analysis c. Impact on contractual framework d. Overview of the various lenders Debt raising process and syndication

  2. Introduction to Project Finance (2/2) a. Introduction to financing documentation b. The investors’ perspective c. Job industry Case study: offshore wind financing & refinancing

  3. Cashflow modeling a. Introduction to financial model b. Key ratios Modeling exercise on excel

  4. Speakers from a developer/bank and/or advisors to present various points of view and perspectives on PF and Q&A sessions

  Market Finance Chapter I. Introduction and Reminders The aim of this chapter is to (i) review the fundamentals as regards the functioning of financial markets and (ii) take stock of the impact of human activities on the environment, focusing in particular on climate change.

  Chapter II. The material effect of environmental risks on financial markets The chapter reviews recent studies on the physical and environmental transition risks, socially responsible investment and its motivations (Riedl and Smeets (2017)) and the major challenges of environmental finance, especially regarding regulatory projects and the design of guidelines to good practices (TCFD (2017), HLEG (2018)). The academic literature on companies' cost of capital in relation to their environmental impact is reviewed (Derwall et al. (2005), Renneboog et al. (2008), Sharfman and Fernando (2008), Capelle-Blancard and Laguna (2010), ElGhoul et al. (2011), Chava (2014), Kruger (2015), In et al. (2018), Capelle-Blancard et al. (2019), Zerbib (2020)).

  Chapter III. Investors' environmental and sustainable practices This chapter deals with the practices of institutional investors of several kinds (Kruger et al. (2018)): insurance companies, pension funds, banks and asset managers (Andersson et al. (2016)). It focuses on various methods of sustainable investment, such as exclusion (Hong and Kacperczyk (2009)), ESG screening, corporate engagement (Dimson et al. (2015) and Hoepner et al. (2018)), and impact investing. It includes an analysis of telecoupling and investors' responsibility in activities with a high environmental impact (Scholtens (2017) and Galaz et al. (2018)) as well as investors' ability to make corporate practices greener (Heinkel et al. (2001)).

  Chapter IV. Financing green assets Here the focus is on the various securities available for financing green projects: green bonds (Flammer (2018), Paranque and Revelli (2019), Zerbib (2019)), project bonds, sustainable infrastructure, real estate, green funds, and labels.

  Chapter V. Measuring the environmental impact of investments Presentation of the metrics available, their strengths and limitations: the carbon footprint, carbon intensity, green share, brown share and stranded asset issues (Trinks et al. (2018)), avoided emissions, 2-degree alignment, and the Net Environmental Contribution (NEC).

  Chapter VI. Central Banking and Green Finance This chapter deals with the reasons why central banks are concerned about the environmental impact of investments and financial markets, their ability to integrate the management of this additional systemic risk into their mandate (see Benoît Coeure's speech at the ECB in November 2018, Campiglio (2016)) and the limitations of this exercise.

  Learning outcomes :

  This course is designed to provide students with the tools to understand and support the greening of the financial system by articulating concrete examples, academic papers, and latest regulations.

  Skills acquired during the course:

  • Understanding the mechanisms at play in project finance applied to green assets

  • Understanding of main climate risks underlying financial assets

  • Identification of the environmental impact of financial assets

  • Knowledge of various methods and practices of environmental investing

  • Knowledge of the latest environmental finance regulations

  Assessment :

  Project Finance

  To be described

   

  Market Finance

  Essay and Oral presentation

  Quizz

• Dérivés énergétiques

  Dérivés énergétiques

  Ects : 3

  Lecturer :
  RENE AID
  

  Total hours : 18

  Overview :

  Finance Transmission de connaissances spécifiques en finance des marchés de l'énergie

  Learning outcomes :

  Compétences en finance de marchés de l'énergie

• Saving and the financing of the real economy

  Saving and the financing of the real economy

  Ects : 3

  Lecturer :
  CYRIL BLESSON
  

  Total hours : 15

  Overview :

  Analyse des mécanismes de l'accumulation patrimoniale des ménages et ses interactions avec l'économie

  Etude en profondeur du marché de l'épargne hexagonal et du rôle de chaque produit existant pour le financement de l'économie

  Coefficient : 1

  Recommended prerequisites :

  Théorie de l'épargne (Keynes, Brown, Modigliani, Friedman etc..)

  Learning outcomes :

  Théorie de l'épargne

  Assessment :

  exposés et examens écrit

• Macro-economy for market participants

  Macro-economy for market participants

  Ects : 3

  Lecturer :
  FLORENCE PISANI
  

  Total hours : 24

  Overview :

  I.Comment les marchés suivent la conjoncture : un cadre d’analyse II. Les marchés de taux d’intérêt III. Les marchés boursiers IV. Les marchés des changes Ce cours vise à permettre aux étudiants de faire le lien entre les évolutions macroéconomiques et celles des marchés financiers.

  Learning outcomes :

  À la fin du cours les étudiants devront avoir une meilleure compréhension des interactions entre les marchés financiers et les évolutions macro-économiques dans les économies avancées.

  Assessment :

  Un exposé et éventuellement un devoir sur table permettent aux étudiants de travailler sur leur capacité de synthèse et leur capacité à analyser la conjoncture en lien avec l'actualité des marchés.

  Bibliography-recommended reading

  - Brender A. et F. Pisani (2001), Les marchés et la croissance, Economica, Paris. - Brender A. et F. Pisani (2010), Global imbalances and the collapse of globalised finance, CEPS, Brussels. - Gurkaynak R., B. Sack et E. Swanson (2004), « Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements », Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System. - Kozicki S. et G. H. Sellon Jr. (2005): “Longer-Term Perspective on the Yield Curve and Monetary Policy”, Economic Review, Federal Reserve Bank of Kansas city, Fourth Quarter - Wright J. H. (2007): “The yield curve and predicting recessions”, Staff working papers in the Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System.

• Leadership en finance et Entreprenariat

  Leadership en finance et Entreprenariat

  Ects : 3

  Total hours : 15

  Overview :

  In this class, students will be able to reflect on the core qualities any leader should have. They will learn the role and the place of a leader in a team and in an organization, as well as the sources of leadership and how leadership can be exercised. They will discover some of the tools at a leader's disposal to face the many challenges they face (stress management, negotiation, effective communication, emotional intelligence, diversity, and inclusion, etc.), and will be able to practice with them. Mostly, they will be able to think about what leaders they will want in their careers and which kind of leader they will want to become.

  To achieve this goal, students will be prompted to discover these skills through case studies, articles and videos analysis, research, presentations, and hands-on practice. The class is led with an MBA style, so students are advised that their participation and their contributions are key in building the class.

  Require prerequisites :

  Conversational level in English

  Learning outcomes :

  - Roles and responsibilities of a leader (manager/leader, organizations theory, leaders and learning, leaders & strategy, etc.)

  - Dealing with Stress & Pressure (Definition of stress, "Flight, Fight, Freeze" model, Baseline Stress model, "Triune Brain" model, breathing techniques, imported stress, Circle of Safety, managing one's stress, managing other peoples stress, managing upwards, difference between stress and pressure, etc.)

  - Communicating and Engaging around one's vision (intro to Public Speaking, transmitting a clear message, active listening, giving feedback, non-verbal communication, Golden Circle model, Radical Candor model, etc.)

  - Understanding and Adapting to differences (DISC, MBTI, diversity leadership, cultural intelligence, etc.)

  - Building a LT vision (negotiation theory, emotional intelligence, Infinite games, Teal organizations, etc.)

  - Growing as a leader (vulnerability, authenticity, empathy, personal developemnt etc.)

  Assessment :

  The grade is divided into three thirds:

  - participation grade: quality of the interventions during class as well as the performance with some exercises;

  - group grade: the class will be divided into 4 groups that will face each other in different challenges and presentations, earning points for the team (each member of the group gets the same grade at the end of the year);

  - essay: at the end of the semester, students will be prompted to reflect on what Leadership means to them through a written personal essay.

• L'impact du Big Data et de l'intelligence artificielle sur la finance

  L'impact du Big Data et de l'intelligence artificielle sur la finance

  Ects : 3

  Total hours : 16

  Overview :

  Histoire de l'IA Le Big Data en chiffres Principales applications aux services financiers Etudes de cas de startup innovantes Forces et faiblesses de l'IA contemporaine Impacts économiques, sociaux et éthiques Evaluer et comprendre comment et pourquoi Big Data et Intelligence artificielle impacteront les métiers du secteur des services financiers

  Learning outcomes :

  Connaisance des principaux concepts en IA, machine learning Vision sythétique et critique des innovations en cours

• Financement de projet

  Financement de projet

  Ects : 3

  Lecturer :
  NICOLAS VITOUX
  

  Total hours : 15

  Overview :

  I. Le Financement sur Cash-flow attendu (prévisions de Cash-flow, Business plan) II. Montage Financier (les critères d’évaluation et ressources financières) III Risques et organisation des projets IV. Réalisation d’une étude de cas pratique Ce cours montre l’utilisation des techniques de financement de projets, par les intermédiaires financiers. en particulier pour des infrastructures importantes.

  Learning outcomes :

  Comprendre et analyser les concepts de base du financement de projet : structures de financement, dettes sans recours, structure juridique support de projet, garanties et risques du projet, critères d’acceptation des projets.

• Options exotiques et produits structurés

  Options exotiques et produits structurés

  Ects : 3

  Lecturer :
  JEAN FRAICHOT
  

  Total hours : 24

  Overview :

  This course considers Exotic options and Structured Products based on Equity Derivatives, and focuses on the valuation techniques used to price them. Class is using a learning by doing concept. It is divided into 8 sessions of three hours each, and alternates the teaching of the theory used and practical applications. Local and stochastic volatility frameworks are defined and used to price those instruments by using Monte-Carlo simulations, using Excel®. The hedging of such instruments is considered.

  Practical examples are used to build from scratch valuation tools, using Excel® . The course reviews the calibration of models to market data as well as building up local and stochastic volatility surfaces.

  Key words : Exotics, structured, equity derivatives, local volatility, stochastic volatility, Monte-Carlo simulation, correlation, hedging costs.

  Recommended prerequisites :

  A basic knowledge of Probability Theory (Gaussian distribution, Probability Distributions, Variance) is requested.

  Require prerequisites :

  A basic knowledge of Probability Theory (Gaussian distribution, Probability Distributions, Variance) is required..

  Learning outcomes :

  Hability to price any Equity Derivatives instrument, even with a complicated pay-off, using Excel®.

  Assessment :

  A final project consisting in the pricing of an Equity Derivatives Structured product is the basis for the grading of this course. Each student has to value a specific instrument. However, the type of this instrument is the same for all students, except that the underlying asset(s) is different. Attendance to the course is mandatory.

  Bibliography-recommended reading

  Quantitative Finance. P.Willmott.

• Modélisation des risques de contrepartie en Python/SQL

  Modélisation des risques de contrepartie en Python/SQL

  Ects : 3

  Lecturer :
  PHILIPPE BOULANGER
  

  Total hours : 16

  Coefficient : 1
• Investing on financial markets

  Investing on financial markets

  Ects : 3

  Lecturer :
  DENIS BEAUDOIN
  

  Total hours : 24

  Overview :

  The course aims at grasping key financial asset management principles and concepts, their goals, major means, common tools & constraints, in a search of a "reasonably optimal" portfolio.

  I-A review of investment processes, techniques and models over time

  II-Investment Process: investment philosophy, investment universe, asset selection, portfolio construction, risk monitoring, reporting

  III-Diversification, factors & risk premia

  IV-Risks & return assessment (VaR, CVaR, EVT, major ratios)

  V-Directional & non-directional strategies for relative or absolute expected returns

  VI-SRI, ESG and other non-financial inputs

  VII- Case studies (investment themes & asset managers)

  Coefficient : 1

  Recommended prerequisites :

  Open mindedness

  Require prerequisites :

  Prior knowledge of major financial markets instruments (equities, bonds, forex, commodities, derivatives

  Learning outcomes :

  Understanding asset management's purpose and optimization.

  Understanding uncertainty reduction techniques to improve investment decisions over time.

  Portfolio construction & risk-return analyses.

  Assessment :

  Two team-based class presentations: a first one about a pre-approved theoritical subject, and a second one being a feedback following a meeting with a CIO or a CEO of a Paris-based asset management company (meetings arranged by the lecturer)

  Bibliography-recommended reading

  Not easy: Expected Returns - An Investor ’ s Guide to Harvesting Market Rewards, by Antti Ilmanen, Wiley Finance (2011) Bedside reading: The Intelligent Investor, subtitled “ The definitive book on value investing ” , by Benjamin Graham, Harper Business Essentials (2006) Easier and entertaining: Fooled by randomness, subtitled “ The hidden role of chance in life and in the markets ” by Nassim Taleb, Penguin Books (2007)

• Corporate strategy

  Corporate strategy

  Ects : 3

  Lecturer :
  CHRISTELLE GANNAGE
  

  Total hours : 12

  Coefficient : 1
• Business simulation and Entrepreunership

  Business simulation and Entrepreunership

  Ects : 3

  Lecturer :
  MATHIAS GARCIA REINOSO
  

  Total hours : 12

  Overview :

  In this class, students will be given an opportunity to handle in autonomy a professional project from start to finish. They will have to choose either to create a business (from the idea to the first investor pitch) or to handle a strategy consulting case. In both the entrepreneurship or the consulting track, they will have to manage their time and work, but to choose the skills that will be relevant to learn for the project they will have chosen. The professor will act as a manager/coach and will give them advice along the way, but the final decision will always be their own. He will also lead a few workshops on different themes (presentation techniques, entrepreneurship, etc.) to help them tailor their approach.

  At the end of the year, they will have to present their work in front of a jury that will replicate the professional setting they will have been emulating.

  Coefficient : 1

  Require prerequisites :

  Professional level in English

  Learning outcomes :

  - Entrepreneurship theory (from idea to execution)

  - Business analysis skills (Market study, Business plan, etc.)

  - Project management skills (autonomy, responsibility, time management, etc.)

  - Presentation skills (build a presentation, choose the information, etc.)

  Assessment :

  Presentation in front of a jury at the end of the semester of the end result, that will be evaluating the quality of the work done by the students, how this presentation would have been received in front of investors or in a professional setting, the overall technical and thematic knowledge displayed, and the level of maturity observed during the semester.

• Behavioral finance

  Behavioral finance

  Ects : 3

  Lecturer :
  JEAN-PHILIPPE LEFORT
  

  Total hours : 15

  Coefficient : 1
• Modèles de taux d'intérêt avancés

  Modèles de taux d'intérêt avancés

  Ects : 3

  Overview :

  Structure par terme des taux (modélisation, théories) gestion obligataire active, gestion obligataire passive, mesure et couverture du risque de taux Fournir des techniques à la fois théoriques et pratiques de valorisation, d'analyse de risque et de gestion des produits obligataires

  Learning outcomes :

  Ouvre sur les métiers de la gestion, du trading et de la vente de produits obligataires

Semestre 3 à l'étranger pour les dauphinois (30 ECTS)

Bloc optionnel 6 ECTS à choisir

• Advanced Econometrics

  Advanced Econometrics

  Ects : 3

  Lecturer :
  SYLVAIN BENOIT
  

  Total hours : 12

  Overview :

  Sujet 1 : Mesures de risque de marché (Volatilité, Value-at-Risk et Expected Shortfall) – modèles ARCH/GARCH univariés Sujet 2 : Tests de validation des mesures de risque (couverture non-conditionnelle, conditionnelle, test d’indépendance, super exception) Sujet 3 : Risque systémique et régulation macroprudentielle (Absorption ratio, MES, SRISK, Delta CoVaR et établissements bancaires d’importance systémique) – modèles ARCH/GARCH multivariés (CCC, DCC, BEKK)

  Coefficient : 1

  Recommended prerequisites :

  Programmation en Python. Cours de séries temporelles (modèles SARIMA).

  Learning outcomes :

  Ce cours a pour objectif de développer les compétences techniques des étudiants (applications sous Python) afin qu'ils soient capables de manipuler facilement des séries de rendements financiers. A la fin du cours, l'étudiant est donc capables d'identifier un processus sous-jacent sur les rendements financiers lui permettant de construire une mesure de risque de marché comme le demande le comité de Bâle dans ses accords éponymes qui règlementent le secteur bancaire. Au-delà, des aspects pratiques, ce cours développent les différents aspects de la réglementation prudentielle.

  Assessment :

  Examen final en salle machine.

  Bibliography-recommended reading

  Hull, J. C., 2015, Risk Management and Financial Institutions, 4th Edition, Wiley Finance. Jorion, P., 2011, Financial Risk Management Handbook, Wiley Finance Roncalli, T., 2009, La gestion des risques financiers (2e edition).

• SAS/R/Excel

  SAS/R/Excel

  Ects : 3

  Lecturer :
  JEROME LEPAGNOL
  

  Total hours : 21

  Overview :

  Use of the SAS platform, notions of descriptive statistics, and notions of statistical tests Usage de la plateforme SAS, notions de statistiques descriptives de données et notions de tests statistiques

  Use of R/Rstudio for data handling, use of some major packages including data visualisations and dynamic dashboard. Usage de R/Rstudio pour la manipulation des données, l'utilisation de quelques packages majeurs pour le visualisation et le tableau de bord dynamique.

  Coefficient : 1

  Learning outcomes :

  SAS : data analysis, modelisation , data handling, report and graphics output

  SAS : analyse de données, modélisation , manipulation de données, rapport et graphiques

  R : Data ingestion, Data structuration (SQL) , Data queries, Algorithms, Data Visualisation

  R : Ingestion de donnée , Structuration de donnée (SQL) , Requetes , Algorithmes, Visualisation de donnée

  Assessment :

  - End of session : some production of "code" , results and analysis of results (individual production) - End of the course : projet based on the specific dataset (by group of 2 to 3 students)

• APT model and methodology

  APT model and methodology

  Ects : 3

  Lecturer :
  KARIM JACQUELIN
  

  Total hours : 18

  Overview :

  Rétrospective historique des Modèles de Risque et Théories sous-jacentes

  Concepts et Mathématiques des indicateurs de risque généraux avec APT (Volatilité - Tracking Error - Beta - Corrélation...)

  Concepts et Mathématiques des indicateurs de risque avancés avec APT (VaR Monte Carlo - Attribution de risque - Stress Testing...)

  Cas pratiques d'utilisation des indicateurs de risque pour analyser et gérer les risques de portefeuilles en société de gestion

  Evaluation des risques et des performances des fonds

  Cas pratiques d'utilisation du risque pour gérer, optimiser et construire des portefeuilles : gestion quantitative avec des préférences explicites, intégration de critères ESG...

  Coefficient : 1

  Recommended prerequisites :

  Théorie Moderne de Gestion de Portefeuille (MEDAF, Volatilité, Frontière efficiente...)

  Learning outcomes :

  Suite à la formation l'étudiant aura acquis une compréhension du modèle de risque et de la méthodologie APT.

  Le cours vise aussi à montrer l'intérêt de l'approche multifactorielle statistique APT pour:

  - comprendre, analyser et gérer les risques de portefeuilles d'actifs financiers.

  - utiliser les concepts de risque pour gérer des portefeuilles en société de gestion avec une approche quantitative.

  Assessment :

  Participation

  Travail en groupe

  Examen sur table

  Bibliography-recommended reading

  Allocation d'Actifs - Théorie et pratiques (Chapitre 6 - Gestion du risque)

• Credit default risk

  Credit default risk

  Ects : 3

  Lecturer :
  RAPHAEL DUPRAT
  

  Total hours : 18

  Overview :

  1. Idiosyncratic credit risk
  2. Credit portfolio risk
  3. Monte Carlo simulations for credit portfolios
  4. Risk contributions and portfolio management
  5. Collateralized debt obligations
  6. Advanced Monte Carlo simulation techniques

  Coefficient : 1

  Require prerequisites :

  • Java or Python programming and a development environment for that language
  • Probabilities and statistics

  Learning outcomes :

  • Understand the definition of single name credit default risk and how it is measured
  • Understand the risk aggregation problem and be able to program a Monte Carlo simulator for credit portfolios
  • Understand the risk allocation problem and be able to calculate risk contributions to portfolio measures of risk
  • Understand how CDS & CDOs can be used to manage credit portfolio risk and be able to calculate their impact by Monte Carlo simulation
  • Understand the concept of Monte Carlo variance reduction and be able to implement importance sampling

  Assessment :

  • Graded project
  • Class participation

  Bibliography-recommended reading

  • Introduction to Credit Risk Modeling (Chapman and Hall/CRC Financial Mathematics Series) 2nd Edition by Christian Bluhm, Ludger Overbeck and Christoph Wagner
  • Monte Carlo Methods in Financial Engineering (Springer) by Paul Glasserman
  • Quantitative Risk Management (Princeton Series in Finance) by Alexander McNeil, Rudiger Frey and Paul Embrechts
• Structured products

  Structured products

  Ects : 3

  Lecturer :
  PHILIPPE DUMONT
  

  Total hours : 18

  Coefficient : 1
• Corporate rating

  Corporate rating

  Ects : 3

  Lecturer :
  MAURICETTE SALQUE
  

  Total hours : 24

  Coefficient : 1
• ESG Investment

  ESG Investment

  Ects : 3

  Lecturer :
  VINCENT COMPIEGNE
  ELIE EL KADI
  

  Total hours : 12

  Coefficient : 1
• Commodity markets

  Commodity markets

  Ects : 3

  Lecturer :
  SYLVAIN BERTHELET
  

  Total hours : 24

  Overview :

  Raison d'être of commodity futures markets : three different approaches. Relationships with cash commodity markets and other asset classes. Examples, hedging and trading strategies.

  Coefficient : 1

  Recommended prerequisites :

  Economics basics.

  Learning outcomes :

  Market mechanisms, instruments (futures and options) and the basis (difference between the cash price and the future price).

  Assessment :

  Written exam following the lecture.

• Modelization in renewable energy

  Modelization in renewable energy

  Ects : 3

  Total hours : 18

  Coefficient : 1

Obligatoire 24 ECTS à choisir

• Research Master Thesis

  Research Master Thesis

  Ects : 24

  Coefficient : 4
• Profesional Master Thesis

  Profesional Master Thesis

  Ects : 24

  Coefficient : 4

Semestre 4 à l'étranger pour les dauphinois (30 ECTS)