Study Programmes 2015-2016
FINA0039-1  
Financial modelling and portfolio management
Duration :
60h Th
Number of credits :
Specialised master in financial risk management6
Lecturer :
Louis Esch
Language(s) of instruction :
French language
Organisation and examination :
Teaching in the second semester
Units courses prerequisite and corequisite :
Prerequisite or corequisite units are presented within each program
Course contents :
- General principles for financial modeling : perfect market, valuation model, arbitrage opportunity
- Shares
  • return, risk and valuation
  • market efficiency
  • portfolio diversification
  • CAPM
  • performance and portfolio management strategies
  • evolution models
- Bonds
  • valuatiuon, risk and characteristics
  • yield curves
  • bond portfolio management strategies
  • evolution models
- Options
  • general characteristics and option strategies
  • valuation models
Learning outcomes of the course :
Being able to master mathematical models linked with financial products
Intended Learning Outcomes addressed by the course :
  • Strengthening the general knowledge and the understanding of the corporate and market finance matters
  • Gaining deep knowledge and understanding in the financial risk management
  • Understanding and being able to use modelization tools in the financial field
  • Developing a transversal, global vision
Prerequisite knowledge and skills :
- Basic mathematical (calculus), probabilistic (random variables) and stotistical (regression) tools - Description of financials products
Planned learning activities and teaching methods :
Face-to-face Numerical applications with computer (spreadsheet)
Mode of delivery (face-to-face ; distance-learning) :
Recommended or required readings :
ESCH L., KIEFFER R., LOPEZ T., Asset and Risk Management, Wiley, 2005
Assessment methods and criteria :
Written exam, with a practical part on computer
Work placement(s) :
Organizational remarks :
Contacts :
Louis Esch HEC-Ecole de gestion de l'Université de Liège (bâtiment N1) Tél : 04/232.73.00 e-mail : louis.esch@ulg.ac.be
Items online :
syllabus
.