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Магистратура 2021/2022

Рынок финансовых инструментов: акции и облигации

Статус: Курс обязательный (Финансовый аналитик)
Направление: 38.04.08. Финансы и кредит
Когда читается: 1-й курс, 3, 4 модуль
Формат изучения: без онлайн-курса
Охват аудитории: для своего кампуса
Преподаватели: Дебелов Алексей Викторович
Прогр. обучения: Финансовый аналитик
Язык: английский
Кредиты: 4

Course Syllabus

Abstract

Equity market is a specialized course aiming to give the attendees the general notion of equity market’s main concepts as well as main questions of modern finance theory. The course is in line with Chartered Financial Analyst (CFA) programme material Level 1 and 2 and equity market courses of leading US MBA programmes. The course is important for any manager or specialist working with financial instruments, providing practical knowledge of risks and returns. It is also useful for private investors, helping build adequate strategy and comprehend the risks. For CFA students the program provides a compact review of material from Securities Markets chapters. Besides classic finance theory, the course devotes attention to behavioral finance and other studies of financial markets inefficiency that gain appreciation in US and European finance programs
Learning Objectives

Learning Objectives

  • The main aim of the course is to provide the students with understanding of how the forecasting is usually conducted. It includes both the ability to use and evaluate external forecasts and the ability to make forecasts themselves.
  • The goal of the course is to give the attendees the general notion of equity market’s main concepts and segments, of the risks of investing in stocks and methods of determining fair value, as well as discuss main questions of modern finance theory.
Expected Learning Outcomes

Expected Learning Outcomes

  • The attendees of the course will obtain the skills necessary for fundamental valuation of stocks (analysis of cash flows, company, industry) and for risk estimation, especially in marginal cases.
  • The course is focused on analysis and description of bonds markets mechanics. Students will learn how the fixed instruments are priced, what are the risks associated with investing in bonds and how to measure and hedge them; how macro factors influence bond markets. Course would provide understanding how markets operate in real world. Additionally, students would get familiar with main fixed income Bloomberg functions and be able to debug basic Bloomberg calculations via MS Excel.
Course Contents

Course Contents

  • Description of stock instruments, market structure, participants.
  • Risk and Return: measures, classic approaches, failures to look out for.
  • Diversification, Markowitz model. Efficient Markets Hypothesis.
  • CAPM model. CML, SML, beta. Application.
  • Fundamental approach to stock valuation and investment: Graham, Buffett. Practical recommendations.
  • Inefficient markets: Taleb, Mandelbrot critique. Limitations of classic risk measures.
  • Behavioral finance: types of psychology-induced mistakes, ways to mitigate them in investment process.
  • Core features of debt securities: main bond classifications, participants and markets.
  • Bond markets: government vs corporate, primary vs secondary.
  • Bonds with embedded options.
  • REPO.
  • Bonds’ yield measures and risks.
  • Par, spot and forward curve construction.
  • Market and credit risk: duration and credit spreads.
  • Fundamentals of credit risk analysis.
  • International investments. How to compare yields.
Assessment Elements

Assessment Elements

  • non-blocking Mid-term exam EQUITY MARKET
    Final grade for the course “Market Instruments: Equity and Fixed Income” is counted as follows: Part Final grade «Market Instrument: EQUITY MARKET» 50% Mid-term exam result «Market Instrument: FIXED INCOME» 50% Mid-term exam result Mid-term exam result is the blocking exam (that is blocking element of assessment). In case the grade for the blocking element of assessment is unsatisfactory, the general mid-term grade is to be equal to the blocking element of assessment grade until the moment when student gets the satisfactory grade for the blocking element of assessment. As soon as the student gets the satisfactory grade for the blocking element of assessment (immediately or at the retake), the mid-term grade for the discipline is to be counted based on the received positive grade.
  • non-blocking final exam FIXED INCOME
    Final grade for the course “Market Instruments: Equity and Fixed Income” is counted as follows: Part Final grade «Market Instrument: EQUITY MARKET» 50% Mid-term exam result «Market Instrument: FIXED INCOME» 50% Mid-term exam result Mid-term exam result is the blocking exam (that is blocking element of assessment). In case the grade for the blocking element of assessment is unsatisfactory, the general mid-term grade is to be equal to the blocking element of assessment grade until the moment when student gets the satisfactory grade for the blocking element of assessment. As soon as the student gets the satisfactory grade for the blocking element of assessment (immediately or at the retake), the mid-term grade for the discipline is to be counted based on the received positive grade.
Interim Assessment

Interim Assessment

  • Interim assessment (4 module)
    0.5 * final exam FIXED INCOME + 0.5 * Mid-term exam EQUITY MARKET
Bibliography

Bibliography

Recommended Core Bibliography

  • Alexander, G. J., Sharpe, W. F., & Bailey, J. V. (2012). Fundamentals of investments. Slovenia, Europe: Prentice Hall. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.C1BEBDC4
  • Decision making in innovation portfolio management. (2016). Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.8023B47D
  • Elton, E. J. (2014). Modern Portfolio Theory and Investment Analysis (Vol. Ninth edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639379
  • Project Management Institute. (2017). The Standard for Portfolio Management: Vol. Fourth Edition. Project Management Institute.
  • Raja, M., & Raja, R. (2016). Equity Trading and Investment Analysis Using R: A Case Study. IUP Journal of Computer Sciences, 10(1/2), 108–117. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=iih&AN=115909799

Recommended Additional Bibliography

  • DeFusco, R. A., McLeavey, D. W., Pinto, J. E., & Runkle, D. E. (2015). Quantitative Investment Analysis (Vol. Third edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1082450