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Магистерская программа «Финансовая экономика»

Investment Management

Учебный год
Обучение ведется на английском языке
Курс по выбору
Когда читается:
2-й курс, 3 модуль


Course Syllabus


Course Prerequisites: Basics of accounting (P&L, BS and CF statements and their interrelation) and financial forecasting. Solid knowledge of Excel. For the financial institutions part of the course, the students are expected to be familiar with the financial statements of the company, understanding Balance Sheet, Profit & Loss, Cash Flow statements. Course Description: Investment Analysis is a one-semester elective course designed for the second year students of the ICEF Master of Science program in financial economics. The course consists of two parts presented by two lecturers: the general valuation part and the bank valuation part. The course is taught in English. The course provides an overview and analysis of key modern valuation methods. The course ground-laying theoretical concepts are in line with Level I and Level II of the CFA Institute study program. The course starts with a brief introduction and discussion of fundamental definitions. Then, we discuss the uses of and general approaches to valuation. The core of the course contains valuation methods applied by major financial institutions nowadays such as methods based on multiples, discounted cash flows, and others. Please note that only those methods actually applied in modern practice are presented. Most methods will be illustrated by real life examples. This course will be most useful to those considering a career in investments and corporate finance. It may be useful for others because most management decisions boil down to investment analysis and investment choices. Course description of the banking part. This course provides a set of techniques for modeling commercial banks, which are very different from the traditional DCF models used for non-financial companies. The participants will dig into valuation tools such as the Gordon Growth Model, the dividend discount method, excess return models and ROE-COE comparison. It is aimed at those looking to invest in or analyze the banking sector. A lot of the coursework will be done in Excel.
Learning Objectives

Learning Objectives

  • - teach how to choose methods for asset valuation;
  • - explain pros and cons of each method; and
  • - apply valuation methods in practice.
Expected Learning Outcomes

Expected Learning Outcomes

  • search for appropriate data for company valuation depending on the requirements and goals of the valuation exercise and availability of reliable data
  • select an appropriate valuation method, understand and argue why a certain valuation method is (in)appropriate given the circumstances
  • apply valuation approaches in a sequence or circular modality
  • do a basic financial analysis of a company to estimate the level of its credit risk
  • prepare to company price negotiations and apply some basic negotiation techniques
Course Contents

Course Contents

  • Introduction
    Basic definitions. Valuation applications. Choice of valuation method. Dividend discount model (DDM).
    Definition and application of Free Cash Flows – FCFF and FCFE. Case.
  • Multiples
    Multiples method – P/E, EV/EBITDA, P/BV, etc. Case Residual value method. EVA. Venture capital method. Homework on calculating multiples for a Russian company.
  • Financial modelling 1
    Financial modeling/forecasting in Excel. Homework on financial modeling.
  • Financial modelling 2
    Financial modeling/forecasting in Excel. Analysis of homework on financial modeling. Credit/ratio analysis.
  • Credit analysis
    Analysis of a company’s credit standing with a set of credit ratios applied by commercial banks. The ratios analyzed are: Debt/EBITDA, Equity/Assets, DSCR, Interest Cover, Current Assets/Current Liabilities. The purpose and limitation of each ratio is discussed.
  • Bank’s Financial Statement analysis
    Analysis of Financial Statements of the bank – main balance sheet and P&L items and how it differs from corporate analysis. Besides, explanation and calculation of the main ratios - Return on equity (ROE), Return on assets (ROA), Net interest margin (NIM), Cost of Risk (COR), Costto-Income ratio (CIR), Capital Adequacy Ratio (CAR).
  • Bank’s Financial Model - forecasting & valuation
    Forecasting of the balance sheet and P&L of the bank in Excel. Determination and application of the main valuation methods, applicable to banks – Gordon Growth Model (GGM), Dividend Discount Method (DDM), Excess capital, Return on equity (ROE) / Cost of Equity (COE). Homework on financial modeling.
  • Investment ideas screening in banks
    International banks’ screening, based on multiples (P/BV, P/E) and profitability (ROE). Explanation of the main differences for discounts/premiums of the banks globally.
Assessment Elements

Assessment Elements

  • non-blocking Home assignments
    2 home assignments, with equal weight
  • non-blocking home assignment (banking)
  • non-blocking Exam (Banking)
  • blocking exam
Interim Assessment

Interim Assessment

  • Interim assessment (3 module)
    0.42 * exam + 0.18 * Exam (Banking) + 0.12 * home assignment (banking) + 0.28 * Home assignments


Recommended Core 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

Recommended Additional Bibliography

  • Pinto, J. E. (2015). Equity Asset Valuation (Vol. Third edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1083933