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Магистратура 2019/2020

Научно-исследовательский семинар "Оценка активов"

Направление: 38.04.08. Финансы и кредит
Кто читает: Школа финансов
Когда читается: 2-й курс, 1-3 модуль
Формат изучения: Full time
Преподаватели: Кучин Илья Игоревич (ведет семинары), Малышев Павел Юрьевич (ведет семинары), Родина Виктория Алексеевна (ведет семинары и принимает экзамены/зачеты)
Прогр. обучения: Стратегическое управление финансами фирмы
Язык: английский
Кредиты: 7

Программа дисциплины

Аннотация

The series of research seminars covers diverse issues, both topical and trending, in the area of asset pricing and asset allocation. The area is an integral part of finance science and practice and it has been continuously evolving due to exciting innovations. Therefore, it is utterly important to be confident in understanding the function of asset pricing and asset allocation at an advanced level. The series of research seminars provides a good opportunity for students to focus (in addition to corporate finance) on dealing with securities markets that will make their future career path more flexible.
Цель освоения дисциплины

Цель освоения дисциплины

  • To help students to understand the way asset pricing and asset allocation models work and the rationale they are based on; the way complex assets are designed and the role they play in trading strategies;
  • To encourage students to commence an independent research project: identification and clarification of the research question, accumulation of relevant arguments and views reported in the literature;
  • To encourage students to proceed with their independent research project: reflect on potential pitfalls, specify empirical testing procedures, draw meaningful conclusions; critically evaluate academic articles and formulate a feedback.
Результаты освоения дисциплины

Результаты освоения дисциплины

  • Academic skills required to complete their independent research project (writing in a scholarly style) and value-added skills required to successfully defence it (delivering engaging presentations, communicating effectively with an audience, etc.)
  • Analytical skills required to perform elaborate analysis of the actual state and emerging trends in asset pricing and asset allocation
  • Technical skills required to advance in the practice of model-building and to perform selected empirical testing (copula modelling, cointegration techniques, etc.)
Содержание учебной дисциплины

Содержание учебной дисциплины

  • Advanced and ethical bond market
  • Investment styles
  • Equilibrium models and arbitrage-free models
  • Sources of systematic and unsystematic influence
  • Empirical testing frameworks
Элементы контроля

Элементы контроля

  • Report preparation and delivery (неблокирующий)
    If a student fails to give a presentation and does not have a good excuse, this student will get the null grade for this work. If a student is late for more than 15 minutes with his/her presentation, this student will get a null grade for the presentation.
  • Test (неблокирующий)
    If a student misses the test and does not have a good excuse, this student will get the null grade for this work.
  • Report on dissertation progress (неблокирующий)
    If a student fails to give a presentation and does not have a good excuse, this student will get the null grade for this work. If a student is late for more than 15 minutes with his/her presentation, this student will get a null grade for the presentation.
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (3 модуль)
    0.33 * Report preparation and delivery + 0.34 * Test + 0.33 * Report on dissertation progress
Список литературы

Список литературы

Рекомендуемая основная литература

  • Investment analysis and portfolio management, Reilly F. K., Brown K. C., ISBN: 0-03-018683-8, 1997
  • Investment analysis and portfolio management, Reilly F. K., Brown K. C., ISBN: 0-03-025809-X, 2000
  • Investment analysis and portfolio management, Reilly F. K., Brown K. C., ISBN: 0-324-40589-8, 2006
  • Investment analysis and portfolio management, Reilly F. K., Brown K. C., Leeds, S. J., ISBN: 9781305262997, 2019