Course-Catalogue MIF BT PDF

_________________Groupe H E C___________________
Majeure Finance & masters in

International Finance
Business Track
FIRST SEMESTER COURSES

FALL 2014
Jacques OLIVIER
This document may not be used, reproduced or sold without prior authorisation from HEC Group
HEC Majeure Finance + MIF Business track : Curriculum 2014/2015
Course
Status
Instructor
ECTS
Comments
ECTS
Hours
per student
Core MIF Business

Track
Misc.
Pass/Fail
Special
20
3
FALL 0 - Introduction week
Soft Skills Seminar
FALL 1
Probability and Statistics Refresher
Core
Vieille
Pass/Fail ; can be
waived
Ethics Seminar
Core
Columelli
Pass/Fail
Asset Management
Core
Bertrand
20
Interest rates Bulding Blocks
Core
Parolari
18
Core
Allaz
18
Corporate Finance Theory
Core
Hege
15
Financial Statement Analysis
Core
Yun
18
Corporate Valuation
Core
Levyne
12
15
124
Total Core
Block Elective CF (*)
Financial Modeling
Naillon / Petra
2 sections F1
1 section F2
20
(*) : Students must choose either the two corporate finance (CF) or the two capital markets and asset management (CM/AM) block electives
The Financial Modeling CF block elective is available as an elective in the Spring for students who chose CM/AM block electives in the Fall
FALL 2
Financial Regulation
Core
Colliard
18
Empirical Methods in Finance
Core
Calvet
15
Mergers and Acquisitions
Core
Ceddaha/Bedrossian
18
Securities Markets: Mechanisms, Liquidity and Investment Decisions
Core
Rosu
18
69
Total Core
FX Derivatives Trading
Asset Pricing Theory
Derivatives
Financial Modeling
Block Elective CM/AM

(*)
(*)
Henry
Olivier
Prignon
Naillon / Petra
Spread over F2 and

Spring
18
24
18
2 sections F1
1 section F2
20
same course given in

English in the Spring
20
(*) : Students must choose either the three corporate finance (CF) or the three capital markets and asset management (CM/AM) block electives
Financements structurs (in French, F2)
Elective
Gaillard
Stochastic Processes
Elective
Vieille
12
BT students may choose 13 or 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
all grades of courses taken for credit appear on transcripts ; many instructors allow students sitting on courses w/o taking it for credit (course not already full)
SPRING
Financial Dimensions of Strategic Decisions

Total Core
Core
Quiry
18
18
Comments
ECTS
Hours
per student
Status
Instructor
ECTS
Alternative Investments
Elective
Fery / Bruyre / Bertrand
12
Macroeconomics of Crises Economies
Elective
Sturzenegger
18
Cases in Strategic Management
Elective
Besanger
24
Corporate Strategy and Financial Institutions
Elective
Farah
Sustainable and responsable investment
Elective
Apffel
14
Economie et gestion bancaire (in French)
Elective
Klein
24
Advanced Financial Accounting
Elective
18
Energy and Finance
Elective
M. Dallemagne
12
Credit Risk and Turnaround of Distressed Companies
Elective
Grevet
12
Due Diligence
Elective
Gibbons
12
Financing Decisions of Firms
Elective
Legland
Course
LIST OF ELECTIVES IS SUBJECT TO CHANGE - FINAL LIST

AVAILABLE IN OCTOBER 2014
heavy work load
15
24
unavailable if taken as
block elective
Financial Modeling
Elective
Naillon
LBO Structuring and Modeling in Practice
Elective
Bernard
14
Legal and Contractual Aspects of Corporate Finance
Elective
Javary
18
Real Options
Elective
Levyne
International Expansions Strategies
Elective
Schaeffer
Topics in Valuation
Elective
Saintot
Equity Capital Markets
Elective
Salaun
12
Conduct of Debt Restructuring Transactions
Elective
Cizain / Dever
12
Structured Finance
Elective
Poirson / Tassart
20
Fiscalit l'usage des financiers (in French)
Elective
Rossetti
12
Treasury Management (in French)
Elective
Rousseau
13
Fixed Income Emerging Markets
Elective
Fontaine
12
Advanced Asset Pricing
Elective
Touzi
2 chili peppers
30
Modeling Techniques for Financial Engineering
Elective
Henrotte
2 chili peppers
15
Bond Portfolio Management
Elective
Bertrand
18
Credit Crisis: Historical and Technical Analysis
Elective
Prigent
14
Energy Markets
Elective
Franois
12
Ethics : Financial analysts and Portfolio managers
Elective
Columelli
10
Financial Engineering and Derivative Products
Elective
Bossard
30
Quantitative Asset Management
Elective
Suominen
18
Volatility modeling
Elective
Calvet
Origination of Structured Products
Elective
Robert
Numerical analysis
Elective
Kebaier
1 chili pepper
Chili Pepper: course which is especially challenging because of strong mathematical and/or quantitative and/or coding content...
Core Courses (general)
56
Core courses (corporate finance)

Core courses (capital markets and asset management)
Core courses (total)
81
74
211
Block Electives (CF)

Block Electives (CM / AM)
38
42
Electives (general)
in English
107
83
Electives (corporate finance)

in English
Electives (capital markets and asset management)
in English
Electives (total)
in English
255
210
225
225
587
518
14
10
overlap with core

business track
BT students may choose between 13 and 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
20
1 chili pepper
12
12
12
1 chili pepper
30
FALL 1 & FALL 2

Course Outlines

Nicolas VIEILLE
Master in International Finance
Description of the course.
This course is a refresher in probability theory and statistics. We will review basic probability,
random variables and related tools and limit theorems. Then, we will use this material to review the
main principles of statistics : estimators, confidence intervals, statistical tests. The course is divided
in 5 parts. Each will be accompanied with exercises proposed to students and solved in class.
Part 1. Probabilities and random variables. Distribution of random variables, usual models.
Part 2. Expectation and variance. Multivariate distributions. Independence.
Part 3. Law of large numbers, central limit theorem.
Part 4. Statistical estimation of unknown parameters, maximum likelihood, simple regression.
Part 5. Confidence intervals and tests.
HEC
Title Ethics in Finance: an introduction
Lecturer: Nathalie Columelli, CFA
_____________________________________________________________________________________
Presentation and objectives
Excerpt from the Standard of Practice Handbook, CFA Institute, 10th edition
The first decade of the 21st century has experienced many crises for the investment industry. This period
has encompassed many instances of unethical behavior by business executives and investment
professionals, through Ponzi schemes, insider trading, weak governance, insufficient due diligence,
misrepresentation, manipulation and fraud. Unethical behavior has been highlighted in fields such as
investment ratings, financial product packaging and distribution, investment management firms and capital
markets. As markets function to an important extent on trust, each case has resulted in heavy financial
losses and stained reputations and lost investors trust.
- Learning objectives
This course is an introduction to a 10-hour technical seminar in ethics taking place at the beginning of
2014: Ethics: financial analysts and portfolio managers.
This course objective is to increase the students awareness of the importance of ethics.
Students will learn, from the recent scandals and their short and long term impacts:
Why it matters to act ethically
How and why both the very nature of finance added to common irrational human biases may
impair ones capacity to act ethically.
The major rules and laws that have been enacted to protect consumers and shareholders
How to increase the odds for sound ethical decision making
_____________________________________________________________________________________
Schedule
3 hours
_____________________________________________________________________________________
Content
Key concepts:
Application and violation of laws and standards of practice, Professionalism and fiduciary duties,
Communication, fair representation and Conflicts of interest.
Reference frame and scope: Financial departments of Corporate firms, Capital Markets, Financial analysis
Departments, Financial advisors and Asset Management firms.
_____________________________________________________________________________________
References
CFA Institute: Code of ethics & Standards of Professional Conduct, CFA Institute, 2010
Robert Prentice: Ethical decision making, 2007, Financial Analyst Journal
Michael Mc Millan: Ethical Decision Making workshop, 2011
Lori Pizzani: Blowing it, 2011, CFA magazine
William Bernstein: Corporate finance and original sin, 2008, Financial Analyst Journal
CFA Center for Market integrity: Corporate Governance of listed Companies, a manual for investors,
2005, CFA Institute
Sarah Peck: Investment ethics, 2010, Wiley
ASSET MANAGEMENT : GENERAL PRESENTATION

Jean-Charles BERTRAND
Affiliate Professor at HEC Paris
Head of Multi Asset , HSBC Global Asset Management
Presentation
Asset management has experienced a very significant growth and particularly in Europe
(development of pension funds and a cross border market). The course will focus on approaches and
techniques used by investors and asset managers. Topics will include investment techniques like
indexing and portfolio insurance and recent institutional investors approaches. The course will
cover in details the investment process followed by asset managers : forecasting asset class returns,
risk models, portfolio construction. Forward-looking measures of asset returns and tactical return
forecasting models will be reviewed. Basics of equity and fixed-income portfolios management will
be presented. Recent market trends will be analyzed : smart beta, Core-satellite approach, factor
allocation
Objectives
The course will focus on the application of financial theory to the issues and problems of asset
management from a practitioners point of of view.
Course schedule
10 lectures of 2 hours.
Content
In the first part of the course, we will look at an overview of the asset management industry :
definition, regulatory environment, role and responsibilities of the different players. Recent market
trends will be reviewed : Liabilities Driven Investments, Core-satellite approach, portable alpha,
open architecture...
In the second part of the course, we will study specific asset management styles : index strategies
and portfolio insurance. Portfolio insurance has seen a strong development. The different techniques
of portfolio insurance will be presented : stop-loss, Option-Based Portfolio Insurance (OBPI),
Constant Proportion Portfolio Insurance (CPPI).
In the third part of the course, we will also look at asset allocation and active investment
management. We will present the rationale for active management and develop the different stages
of asset allocation. The Fundamental law of active management will be analyzed. Active asset
management is built on the construction and use of valuation models and portfolio optimization
process. We will review predictors of long-term asset returns and tactical forecasting models that
have a shorter horizon. Basics of equities and fixed-income portfolio management will be covered.
We will present also the main features of alternative investments and will focus on hedge funds, real
estate and private equity investments.
In the final part, we will present problems of performance evaluation. The limits of rankings based
on past performance will be discussed and some improvements proposed.
Teaching methods
Lectures and classroom discussion.
Evaluation
Final test (70%)
Problems and Cases (30%)
Bonus for participation
AAdescri.doc/02/07/2014
HEC 2014-2015
ASSET MANAGEMENT
Lecture 1 : Overview of the asset management industry

- Developpement of asset management : definition, players
- Regulatory environment and organization of an asset manager
- 3-Ps
Lecture 2 : Indexing strategies

- Indexing techniques
- ETFs
- Smart beta
Lecture 3 : Portfolio insurance and guaranteed funds

- History and recent growth
- Presentation of the different techniques :
- stop loss
- Option Based Portfolio Insurance (OBPI)
- Constant Proportion Portfolio Insurance (CPPI)
Lecture 4 : Active investment management

- The rationale for active management
- Principles of behavioral finance
- The fundamental law of active management
- The three stages of asset allocation : strategic asset allocation (SAA), tactical asset allocation (TAA) and
securities selection
- Style analysis
Lecture 5 : Forecasting asset class returns

- Long-term asset returns
- Tactical forecasting models
Lecture 6 : Portfolio construction

- Risk estimates
- Drawbacks of classical portfolio optimization
- Factor models
- Black-Litterman approach
Lecture 7 : Managing Bond portfolios
- Presentation of bond markets
- Basic risk measures : duration, modified duration
- Beyond duration : Modern interest rate risk management techniques
- Credit risk
Lecture 8 : Managing Equity portfolios
- Presentation of equities markets
- Investment styles
- Risk factors
Lecture 9 : Alternative Investments

- Common features
- Hedge Funds : history, main strategies, performance and risk
- Real estate and Infrastructure investing
- Private Equity Funds
Lecture 10 : Performance evaluation

- Performance measure : methods and rankings
- The limits of rankings based on past performance
- Risk-return ratios
- Performance analysis and breakdown in factors
INTEREST RATES BUILDING BLOCKS

Course Instructor: Mattia PAROLARI
Interest Rate Sales, Nomura
Presentation and Objectives

This course mainly aims to (re)introduce the basic notions of the Interest Rates. It contains both academic and
professional content. The course will be as close as possible to the market practices, both in terms of terminology and of
the instruments which are effectively used in todays market. By the end of the course, students should be able to
understand and interact with market participants working in Interest Rates, in order to maximize the value that each
student will bring on day 1 in his/her job.
Finally, in a world where complex products seem to have lost momentum both because of the financial crisis
and of the new regulatory standards which are currently being implemented, basic instruments are back on the front
stage. One more reason to master them.
Format
This 18-hours course is composed of 6 sessions of 3 hours each.
Course content
CHAPTER 1: Structure of Interest Rates
-
Basic Notions & Instruments

o Discounting
o Eonia
o Euribor/FRA/Futures
o Convexity Adjustment
o Swaps/Bonds
Interest Rate Yield Curve(s)
o Zero-Coupon Rate
o Par-Coupon Rate
o The Libor Leg
o Building a Swap curve
o Bootstrapping
o Forward Rates
Forward Curve
o Yield Curve at a future date
o Same rate at a series of future dates
Duration
o Annuity (pv01)
o Delta
CHAPTER 2: Managing and Hedging Interest Rate Risks

-
Managing Delta
o Spot Ladder
o Forward Ladder
o Matrix
Defining Carry
o When Forwards realise

o When Spot rates remain unchanged
Analysing the shape of the Yield Curve
o Steepness
o Curvature
Focus on Interest Rate Strategies
o Mean-reversion
o Rolling-down the curve
o Refi Rate and Steepness of the curve
o Level of Rates and Steepness of the curve
CHAPTER 3: The Actors

-
Central Banks
o Traditional tools: monetary policy
o Non-traditional tools: QE, SME, LTROs, etc
Banks
o Retail: transmission mechanisms, ALM
o Investment Banks: market markers, brokers, prop traders
Insurance companies & Pension Funds
o Focus on the Netherlands: the discounting of Liabilities (UFR)
Corporates
Hedge Funds
Teaching methods
Slides will be distributed before the start of each lesson. There is no handbook.
The course intends to use as much as possible concrete examples (live curves, real termsheets, pricing and risk
spreadsheets) to illustrate theoretical notions in order for the students to be as close as possible to the reality of the fixed
income markets.
Evaluation
Each student must take a final exam, worth 120 points. The exam is closed book.
Classes 2, 3, 4, and 5 will start with a short multiple-choice quiz, worth 20 points (hence 80 points in total).
The final grade will be the sum of the final exam and of the 4 multiple-choice quizzes.
HEC Majeure Finance and MSc. in Finance Fall 2014
__________________________________________________________________________________
Instructor : Blaise Allaz
Assistant : Pascale Madeleine
e-mail : allaz@hec.fr
Office phone : 01 39 67 72 34
e-mail : madeleine@hec.fr
Office phone : 01 39 67 97 22
Web site : https://studies2.hec.fr

Introduction :
This 18 - hour course develops the basic framework necessary to operate in a multi-currency world.
The course is organized in three parts. The first part covers the foreign exchange market and the
international parity relations. The second part is devoted to the international extension of the CAPM
and to the pros and cons of an international diversification. The third part deals with currency
derivatives and the hedging of foreign exchange risk.
The material is presented at a level corresponding to level II of the CFA program.
Readings :
The main textbook for this course is : Bruno Solnik and Dennis McLeavy, Global Investments, Sixth
Edition, Pearson Education, 2009. Copies are available in the library under reference : 5-3131 SOL.
Part I : chapters 1 to 3.
Part II : chapters 4 and 9.
Part III: chapters 10 and 11.
Other recommended textbooks :
Jacque, Laurent L., International Corporate Finance, Wiley, 2014.
Sercu, Piet and Raman Uppal, International Financial Markets and the Firm, South-Western College
Publishing, 1995.
Other references will be indicated on the course web page.
Problem sets :
4 problem sets to be solved at home will be handed out in class. Each problem set is worth 10 points.
Students are encouraged to work together in groups. There is no upper limit on the number of
participants in a given group and group composition is allowed to change over time.
Exercises :
Exercises will be regularly handed out and discussed in class. They will not be graded. Solutions will
be posted on the course web page.
Evaluation :
Take home problem sets :
Final written test (2h - out of class) :
40 points (= 4 x 10 points) i.e. 1/4 of the course grade.

120 points, i.e. 3/4 of the course grade.
CORPORATE FINANCE THEORY
Teacher : Ulrich Hege, HEC Paris, Professor of Finance and Associate Dean
2014-2015
Course Objectives
This course presents major theoretical concepts of modern corporate finance and initiates the
students to the state-of-the-art thinking in the field. We will analyze the ideas behind these
theories and their rationale, and discuss how these concepts can be applied to corporate
finance issues in practice. The course will also acquaint students with the methodology used
in corporate finance, in order to enable them to follow advances in corporate finance research
on their own.
Overview
In the first part of the course, we will discuss basic concepts and theoretical explanations of
corporate financial policy. After a brief review, we will get familiar with the main concepts
and tools determining capital structure: asymmetric information, incentives, and conflicts
between managers and investors. We will introduce the major modern capital structure
theories, such as debt overhang, the pecking order model, financial signalling, and the role of
cash. We will study how agency conflicts are intertwined with financial policy and look at the
implications for incentives, and as well as risk-shifting and strategic effects of capital
structure decisions. We will briefly look at empirical evidence and payout policy.
In the final sessions of the course, we present and discuss models of takeovers and mergers.
We analyze their role in the working of the market for corporate control, and how they
contribute to our understanding of M&A transactions.
Teaching Methods
The course will keep the mathematical level to a minimum. However, the analytics will be
rigorous and at times challenging. Adequate student preparation (reading assignments,
problem sets) is essential. Two problem sets will be distributed, and students should discuss
them in small groups and hand in written solutions (groups of up to four students). Problem
sets are obligatory. The course will be accompanied by three tutorial sessions taught by
Sylvain Catherine that will discuss the problem sets and further explore problems around the
models presented in class.
Course Grades
Problem Sets and participation
Final Exam
30%
70%
Schedule
Lecture 1 :
Concepts and Financial Policy
Lecture 2 :
Capital Structure: Review and Debt Overhang
Lecture 3 :
Capital Structure: Debt Overhang and Financial Signaling
Lecture 4 :
Capital Structure: Means of Payment and Pecking Order
Lecture 5 :
Capital Structure: Agency Cost of Equity and Managerial Incentives
Lecture 6 :
Capital Structure: Risk-Shifting
Lecture 7 :
Market Timing and Free Cash Flow
Lecture 8 :
Empirical Evidence and Payout Policy
Lecture 9 :
Takeovers and Mergers
Lecture 10 : Takeovers and Mergers
Course Web Site

http://www.hec.fr/hege
Contact Details
Ulrich Hege
Office 417, Bt. W, 4th floor
Tel. 01 39 67 70 48
Email hege@hec.fr
Assistant: Franoise Dauvergne, 01 39 67 74 87, dauvergne@hec.fr
FINANCIAL STATEMENT ANALYSIS

Fall Term 2014
Course Syllabus
Course Instructor
Professor: Yun Lou
Office: Room 52, Building W2
Telephone: 0139 67 9827
E-mail: lou@hec.fr
Assistant: Delphine Vilain

Office: Room 42, Building W2
Telephone: 0139 67 7202
E-mail: villain@hec.fr
Course Overview
A companys financial reports convey a wealth of useful information about its
business. Indeed, financial reports are the primary means by which managers
communicate company results to investors, creditors and analysts. These parties use
the reports to judge company performance, to assess creditworthiness, to predict
future financial performance, and to analyse possible acquisitions and take-overs.
Users of financial statements must be able to meaningfully interpret financial reports,
construct measures of financial performance.
To enable meaningful comparison across business, accounting regulators have
developed a set of standards and rules that provide guidelines to the reporting firms.
Nevertheless, these standards and rules still allow mangers considerable discretion in
reporting the firms results. Since company managers choose among a set of available
accounting procedures when preparing their reports, we need to learn about
accounting choices in order to achieve a thorough understanding of the reports and
their link to the underlying business activity and economic reality.
Aims and Objectives.
Learn how firms operating activities are reflected in their financial reports
Learn to compute and interpret financial ratios
Analyse the link between accounting choices and their reflection in the financial
reports
Understand the rationale for various accounting methods
Develop a critical view of managers accounting choices
Identify and undo earnings management
Format and Teaching Method
The course consists of 12 sessions of approximately 1.5 hours each. There will be two
sessions each week. Developing expertise in financial analysis requires a significant
amount of practice. We will therefore approach this task by learning the relevant
theory and experimenting with its applications. We will look at textbook cases as
well as at financial statements of real companies.
Topics Covered
Session 1: Introduction to financial statement analysis
Session 2: Steps and Tools of financial statement analysis
Session 3: Revenue recognition policies
Session 4: HBS Case: Revenue-recognition Problems in the Communications
Equipment Industry
Session 5: Tangible assets: depreciation and revaluation
Session 6: Capitalization of expenses
Session 7: Provisions
Session 8: Lease accounting
Session 9: Pensions and other post-retirement benefits
Session 10: Credit analysis and distress prediction
Session 11: Banks financial statement analysis
Session 12: HBS Case: Citigroup 2007: Financial Reporting and Regulatory Capital
Assignments and Assessment
Final exam: 100%
Course Materials
Slides are provided for each session. From time to time, I may also distribute news
articles or other additional readings.
The following books are recommended for this course:
Healy P., Palepu K, Bernard V. Peek E. Business Analysis and valuation IFRS edition
text and cases, Cengage Learning, UK, 2nd edition, 2010.
Jagdish Kothari and Elisabetta Barone, Advanced Financial Accounting, Financial
Times Prentice Hall.
Stephen Ryan, Financial Instruments and Institutions: Accounting and Disclosure
Rules, Second Edition, 2007, John Wiley & Sons.
Stolowy, H., Lebas M., and Ding Y., Financial Accounting and Reporting: A Global
Perspective, Cengage Learning, UK, 3rd edition 2010.
EVALUATION DES ENTREPRISES

CORPORATE VALUATION
Olivier Levyne
Director CACIB
Prsentation
Presentation
Presentation of the various valuation approaches which are commonly used by investment banks
(M&A) and brokers (equity research)
Objectifs pdagogiques
Course objectives
Ability to value a listed or non listed entity, taking the specifities of its sector into account and to
achieve sensitivity analyses
Droulement du cours
Format
3 Courses in September 2014 (Sept 15th, 22th and 29th), each one having a 4 h duration
Contenu
Course content
1. Market capitalisation
2. Peers approaches : listed peers and M&A peers
3. DCF: principles, free cash flow, terminal value, terminal value, discount rate
4. Interpretation of multiples thanks to Gordon & Shapiro and DCF approches
5. Net Asset Value and Sum of the Parts and consistency of both approaches
6. Introduction to the valuation of financial institutions (Dividend Discount Model)
Mthodes pdagogiques
Teaching methods
Lectures and simulations on PCs (models building)
Travail personnel
Individual work
Reading of documents provided before the first course and case study
Evaluation
Evaluation
Case study: multicriteria valuation of a listed firm
Financial Modeling Nicolas NAILLON
Course Description:
In most of the jobs that are offered to students post a concentration in finance they will have
to model the financial statements of a company in order to forecast its evolution, take key
decisions on its development or know its value The main objective of the course is to give
students the opportunity to implement the various finance skills learnt since the beginning of
their schooldays and build an operating model, a DCF and a merger model, tasks that those
who choose a career in corporate finance will have to perform on a daily basis. There will be
2 classes, one for beginner and one for intermediate level students.
Objectives:
At the end of the course, students are expected to be able to set up an operating model
(income statement, balance sheet, and free cash flow statement), a DCF, sensitivities, and a
merger model meeting the level of standards required by investment banks.
Content:
Introduction to the basic modeling rules and recap of the main accounting principles (~ 2-3
hours):
- Recap of basic accounting concepts used to build a financial model
- Introduction to the principles of modeling and practice through exercises
- Presentation to common Excel shortcuts used in modeling
- Presentation of the choose and offset functions
- Introduction to circular references and their use in interest calculation
Creation of an operating model and of a DCF (~ 9 hours):
- Creating an operating model and a DCF step by step
- Sensitivities around the WACC and the long term growth rate
- Sensitivities around the EBIT margin and the growth rate
Creation of a merger model (~ 8 hours):
- Creating a merger model step by step
- Accretion / dilution analysis
Evaluation:
Students will be evaluated on their class participation, ability to build a model and a test
(only for those having this class as a compulsory class).
Rgulation financire / Financial regulation

Responsable du cours / Course Instructor : Jean-Edouard, COLLIARD
Prsentation
Presentation
The functioning of financial markets is heavily impacted by regulation, which is often extremely
complex and opaque to outsiders. Since the latest financial crisis, the global regulatory landscape
has evolved at an increasing speed, making it even more difficult to apprehend all the channels
through which regulatory choices impact financial intermediation, and indirectly the financing costs
of all companies.
However, it has become impossible for companies to neglect the regulatory environment when
deciding on their strategy. Adapting optimally to regulatory constraints, and anticipating them, is
key to a financial companys profitability in a competitive environment.
Course objectives
Understanding the impact of financial regulation on firms, both financial and non-financial, and how
best to adapt to regulatory constraints.
Borrowing conceptual tools from economics and finance to analyse various forms of regulation:
their objectives, their implementation, and their shortcomings.
Studying the processes governing regulatory changes, the role of political economy issues and of
lobbying.
Getting a panoramic view of recent or on-going regulatory reforms such as the Dodd-Frank Act, the
European Banking Union, proposals to regulate high-frequency trading and financial transactions
taxes.
Droulement du cours
Format
18 hours course, 12 x 1h30.
Contenu
Course content
The course aims at introducing a number of concrete examples of financial regulation as well as
transveral topics. In each case the approach will be to underline the impact of regulation on
companies and how they react:
-Examples of regulation (may vary depending on students' interests and recent developements): the
Dodd-Frank Act, the European Banking Union, the debates on banks' capital requirements, Basel
III, banks' liquidity requirements, the regulation of high-frequency trading, the regulation of OTC
derivatives, the debates on separation of commercial and investment banking, financial transactions
taxes, short-selling bans, financial information and the Sarbanes-Oxley Act...
-Transveral topics: too big to fail, political economy of financial regulation, regulatory dialectics, ex
ante and ex post effects of regulation, regulation and competition, regulation and financial
innovation, international competition in regulatory standards, coordination between regulatory

agencies, regulatory capture.
Mthodes pdagogiques
Teaching methods
The course is essentially self-contained and requires only a basic knowledge of finance and economics. The
12 lectures will present different regulatory frameworks and use them as examples to introduce concepts and
tools to analyse financial regulations in general. On some topics the students will have to read a few articles
and opinion pieces to learn about current regulatory debates, before they are discussed in class.
Travail personnel
Individual work
There will be required readings for some sessions as well as suggestions for extra readings for
students who want to learn more about particular topics. Note that there is no comprehensive
textbook on this topic, lecture notes will be relatively dense and require some work at home.
Evaluation
Evaluation
2 hours exam.
EMPIRICAL METHODS IN FINANCE

Instructor : Professor Laurent E. Calvet, HEC Paris
Presentation
This 15-hour course is an introduction to some of the main empirical methods used in financial
economics.
Course objectives
The course is an introduction to linear regressions and their applications to commonly used asset
pricing models, such as the CAPM and the 4-factor model of Fama and French (1993) and Carhart
(1997). The use of instrumental variables and their applications to corporate finance will also be
discussed.
Format
10 lectures
Each lecture is 1.5 hr.
Course content
- Simple regressions. Application: the Capital Asset Pricing Model.
- Multivariate regressions. Application: Multifactor asset pricing models.
- Instrumental variable regressions. Application: Performance of family firms.
Teaching methods
The course is based on lectures, Excel applications in class, and individual work.
Individual work
2 problem sets to be solved at home will be handed out in class. Each problem set is worth 25
points. Students are encouraged to work in groups. There is no upper limit on the number of
participants in a group. Group composition is allowed to change over time.
Evaluation
Problem sets: 50 points (2 x 25 pts) i.e. 1/4 of the course grade.
Final written exam: 150 points, i.e. 3/4 of the course grade.
FUSIONS & ACQUISITIONS / MERGERS & ACQUISITIONS

Responsables du cours : Franck Ceddaha, Professeur affili du Groupe HEC / Serge Bedrossian, Directeur
dInvestissement chez Bpifrance
Course Instructors : Franck Ceddaha, Group HEC Adjunct Professor / Serge Bedrossian, Investment Director at
Bpifrance (French sovereign fund)
Prsentation
Presentation
Huit sances, dont quatre cours magistraux et quatre sances par demi-groupe portant sur ltude de
cas. Le cours, anim par deux professionnels des fusions-acquisitions et du private equity, prsente
les principales techniques de rapprochement dentreprises. Les tudiants prpareront deux cas
inspirs doprations relles et lanalyse dune opration M&A marquante. Ils prsenteront leurs
analyses devant la classe de manire professionnelle. Un test final sera organis. Le cours est en
anglais.
Eight sessions, comprised of four fundamental lectures on Mergers & Acquisitions (M&A) and
four case study sessions. The course, led by two M&A and private equity professionals, introduces
the fundamental knowledge and skills of M&A transactions. Students will have to complete two
home assignments and analyze a high-profile M&A deal. Students present their analyses to the
group in a professional manner. Test at the end. The course will be entirely in English.
Course objectives
Le cours est destin renforcer les comptences ncessaires aux tudiants pour entrer dans les
carrires de la finance dentreprise (M&A, private equity, corporate development). Le cours
suppose connues les techniques danalyse financire et dvaluation dentreprises.
This course intends to strengthen the skills necessary to students to enter careers in the corporate
finance industry (M&A, private equity, corportate development). The course assumes students
have already acquired basic valuation and financial analysis skills prior to the course.
Droulement du cours
Format
Trois sances de 3 heures et une sance d1h30 en groupe complet, permettant dacqurir les
connaissances fondamentales, suivies dune sance de 3h et de trois sances d1h30 en demigroupe, permettant de mettre en uvre ces connaissances dans le cadre dtudes de cas fondes sur
des situations relles.
Three 3-hour lectures and one 1-hour lecture focusing on the core knowledge and skills, followed
by one 3-hour and three 1-hour sessions allowing the implementation of these skills through case
studies based on real life situations.
Contenu
Course content
Le cours sera centr sur les caractristiques des oprations de fusions & acquisitions, sur les acteurs
de ce march, les techniques de rapprochements et de rachat/ cession dentreprises, de dtermination
du prix dune socit, de financement, de LBO.
Much of the course will focus on M&A transactions characteristics, on the actors on this market, on
deal types and their respective techniques, price determination, financing and LBO.
Mthodes pdagogiques
Teaching methods
Le cours et les lectures proposes ont pour objectif de fournir aux tudiants les connaissances et
techniques ncessaires dans les carrires de corporate finance. Les tudes de cas permettront aux
tudiants dacqurir la matrise de la mise en uvre de ces comptences dans des situations
quotidiennes de professionnels de la finance.
Les ouvrages de rfrence sont :
Franck CEDDAHA, Fusions & Acquisitions, 4me dition, Economica, 2013
Patrick A. GAUGHAN, Mergers & Acquisitions and Corporate Restructuring, 5th edition, Wiley
The course and proposed readings will provide students with the knowledge dans techniques
required in corporate finance careers. Case studies will allow for the necessary training in
implementing these skills in real day-to-day challenges of finance professionals.
Reference books:
Franck CEDDAHA, Fusions & Acquisitions, 4me dition, Economica, 2013 (in French)
Patrick A. GAUGHAN, Mergers & Acquisitions and Corporate Restructuring, 5th edition, Wiley
Travail personnel
Individual work
Les tudiants prpareront deux cas et analyseront en outre une transaction M&A marquante. Les
travaux seront raliss par groupes de quatre personnes, et prsents en classe de manire
professionnelle. En outre, chaque sance devra tre prpare par les tudiants laide des lectures
proposes dans les livres de rfrence.
Students complete two home assignments (case studies), and analyze a high-profile M&A
transaction in groups of four people per group. Students present their analyses to the group in a
professional manner. In addition, each lecture will have to be prepared by students with proposed
readings from reference books.
Evaluation
Grading
En raison des nombreux liens entre les sances du cours et de la densit des concepts enseigns, la
prsence toutes les sances est obligatoire. Toute absence non justifie pourrait rsulter dans
lattribution de la note F ou Fx pour le cours. Il en ira de mme pour toute absence au test final, sauf
raison mdicale majeure. Chaque sance devra tre prpare par les tudiants laide des lectures
proposes dans les livres de rfrence. Il convient de prendre le temps ncessaire pour prparer les
tudes de cas en petits groupes de quatre personnes.
Un test final sera organis sur la dernire sance. Des tests intermdiaires pourraient tre organiss
sans pravis durant lune quelconque des sances. La note finale sera dtermine comme suit :
Test final (70%)
Etudes de cas, travaux la maison, qualit des prsentations et des interventions orales,
participation active et prsence (30%)
Because of course progress and density of concepts, attendance to all lectures is compulsory.
Absence without excuse will not be permitted and may be counted as F or Fx on final grade. The
same will apply to absence to the final test without a major medical reasonb. Each lecture will have
to be prepared by students with proposed readings from reference books. Take the necessary time to
review and prepare case studies in small groups of three persons per group.
Final test will be organized during the last session. Intermediary tests may occur during any lecture
without prior notice. Final grade will be computed as follows:
Final test (70%)
Case studies, home assignments, quality of presentations and of oral participation,

attendance (30%)
SecuritiesMarkets:TradingMechanisms,Liquidity,andPricing
Professor:IoanidRosu
rosu@hec.fr
Bldg.W2,Rm.27
Ext.7159
Assistant:ClineRimbault
rimbault@hec.fr
Bldg.W2,Rm.20
Ext.9605
Overview
Thiscourseexplainshowfinancialsecuritiesaretradedinrealmarkets,andhowtheprocessof
tradingaffectspriceformationandmarketquality.Inmanyfinancecourses,themechanismof
determining a security price is a black box, with no connection to the market in which the
securityistraded.Bycontrast,thiscoursefocusesontheactualmarkettradingmechanism,as
wellasonthevariousmarketparticipants,andhowthesefactorsaffectpricesandliquidity.In
particular,wediscussindetail:(1)priceformationwhenthemarketisdesignedasalimitorder
market,dealermarket,darkpool,callauction,etc.;(2)thedefinitionofliquidityinconnection
withtradingcosts,marketimpact,resilience,andmarketstability;(3)howliquidityisaffectedby
various market participants in the trading industry: the "buyside" (investors, asset managers,
arbitrageurs),andthe"sellside"(brokers,dealers,exchanges);(4)theroleofmarketdesignand
tradingrulesinmaximizingliquidity;and(5)howtradingfrictionsgeneratedeviationsofasset
pricesfromtheircorrectvalue.
Learningoutcomes
Whenyoucompletethiscourse,youshouldbeabletounderstand:
Marketefficiencyandarbitrage.Aremarketsefficient,oraretheydominatedbyirrational
investors?Arepricespredictable?Howdoespricediscoveryworkintherealworld?
Marketdesign.Howdotodayscomplexsecuritiesmarketsoperate?Whatisthedifference
betweenelectroniclimitordermarkets,darkpools,overthecountermarkets,callauctions,
etc.?
Marketliquidity.Whatdoesitmeanthatamarketisliquid?Howdowemeasureliquidity?
Howisliquidityrelatedtotradingcosts?
Assetallocationinilliquidmarkets.Howdoweaccountforilliquidityandtransactioncosts
inmanagingaportfolio?
HighFrequencyTrading(HFT).WhatarethestrategiesofHighFrequencyTraders?Howdo
theyaffectmarketquality?WhatistheconnectionwiththeFlashCrashofMay6,2010?
SecuritiesMarkets;ProfessorRosu
Page2
Keytopics
Part1:Marketefficiencyandarbitrage
Theroleofinformationinmarketefficiency
Anomaliesandbehavioralfinance
Arbitrage:exploitingmarketinefficiencies;arbitragecostsandrisks
Part2:TradingIndustryandTradingMechanisms
Tradingandpricediscovery
Tradingindustry:keyplayers
Tradingmechanisms:limitordermarkets,OTCmarkets,darkpools
Part3:IlliquidityandAssetManagement
Liquidity:definitionandconnectionwithtradingcosts
Assetmanagementinilliquidmarkets
ImplementationShortfall,EfficientTradingFrontier
Coursematerials
RecommendedTextbook
Onebookthatcoverspartofthematerialstudiedinclassis
Harris,L.(2003),TradingandExchanges,OxfordUniversityPress.
ThebookisavailableattheHEClibrary.Itisnotrequiredforthecourse,butitishighly
recommendedifyouwanttounderstandthecoursetopicsinmoredepth.Inparticular,the
textbookisagoodpurchaseforthosewhoplantoworkinthetradingindustry:brokers,
portfoliomanagers,traders,quants,etc.
Articles,Assignments,andOtherCourseMaterials
Coursematerialscanbedownloadedfromthecoursewebpage,whichwillbeannouncedby
emailbeforethefirstweekofclasses.Inlectures,Iwillfollowmylecturenotes,whichIwill
makeavailablebeforeeachclass.
Teachingmethods
We combine lectures, classroom discussions, readings, and cases, to strengthen your
understanding of basic topics, and to sharpen your analytic and problem solving skills. The
coursepresentsathoroughconceptualframeworkforunderstandingsecuritiesmarkets,yetat
the same time offers much practical knowledge. The course is therefore challenging, and
requiresasignificantamountofworkoutsideofclassinordertogetmostoutofit.
SecuritiesMarkets;ProfessorRosu
Page3
Grading
Thefinalgradeisbasedon3assignmentsandafinalexam.Thecorrespondingweightingsinthe
finalgradeare:
Assignments(Team)
FinalExam(Individual)
30%
70%
Theassignmentsshouldbetypedorwrittenlegibly,andsubmittedinhardcopyatthe
beginningofclassonthescheduleddate.Theassignmentsmaybediscussedonlywiththe
membersofyourgroup.Onlyonesolutionpergroupshouldbehandedin.Nolatesubmissions
willbeaccepted.
Theexamisclosedbookandclosednotes,withacalculatorallowedbutnootherelectronic
device(e.g.,calculatorsoftwareonasmartphoneisnotpermitted).
ExamRegradingPolicy:Youmayrequestaregradeontheexam.Eachregraderequestmust
beaccompaniedbyaconcisewrittenexplanationoftherequest(emailisacceptable).The
requestshouldbesubmittedtomewithinoneweekafterexamsaredistributed.Thewhole
examwillberegraded,soyourscorecaneitherincreaseordecreaseasaresult.
Classparticipationisveryimportant.Manyofyouhaveusefulexperiencethatcanundoubtedly
benefitourclassdiscussions.Donothesitatetoshareyourexperiencewiththerestofthe
class!
IoanidRosu
IoanidRosuhasjoinedHECParisasAssociateProfessorin2010.AgraduateofUniversityof
Bucharest,heearnedtwoPhDsfromMIT,oneinmathematicsin1999andoneinfinancial
economicsin2004.Between2004and2010hewasAssistantProfessorofFinanceatthe
UniversityofChicago,BoothSchoolofBusiness,wherehetaughttheintroductoryfinance
courseintheMBAandExecutiveMBAprograms.Hisresearchfocusesontheliquidityof
financialmarketsanditseffectonassetpricesandinvestordecisions.Heisalsointerestedin
mergersandacquisitions,optionpricing,andhighfrequencytrading.
Foreign Exchange derivatives trading

Course Instructor :Loc Henry, Head of Foreign Exchange Structuring Paris
Prsentation
Using Foreign Exchange as the underlying, the objective is to introduce students to the fundamentals of
derivative trading.
Format
Six 3-hour-sessions.
Course content
Financial Markets
- Participants
- Market rules
Foreign Exchange (FX)
- Spot
- Forwards and FX Swaps
FX Options
- Presentation
- Volatility
- Simple strategies
- Greeks (Delta, Gamma, Vega, Theta)
- Higher order Greeks
Teaching methods
Lectures and interactive sessions.
Individual work
High level of in-class participation required from students, exercises during and between the sessions.
Evaluation
Final test 100%
Asset Pricing Theory HEC MIF Business Track Fall 2014/15

Objectives of the course:
The recent financial crisis has revealed some limitations of the models of option pricing used
in the finance industry. The appropriate reaction to this observation is certainly not to throw
away the models but rather to achieve a better understanding of their theoretical
underpinnings so as to know when to use which type of model for which purpose. This course
aims at providing such a theoretical and conceptual grounding of asset pricing models with a
minimal level of maths (to the extent it is possible in asset pricing) and a focus on the
economic interpretation of models. More specifically, the objectives of the course are:
(i) Acquire a good comprehension of basic models of option pricing (binomial model and
B&S)
* Assumptions
* Risk-neutral pricing
* Assessing the output of the model
* When to use more advanced models and why
(ii) Develop a sensitivity to model risk issues
* Mis-specified models
* Implications of market incompleteness
* Some common misuse of models
(iii) Understand the economic interpretation of key concepts
* Risk neutral probability / pricing kernel
* Implied volatilities / correlations / smile
* Risk-neutral vs. equilibrium pricing
Organization of the course:
Each student must take a final exam, which carries 120 marks and is open book.
There are 4 problem sets (PS) to hand in during the term, which carry 15 points each. You
are encouraged to solve the PS in study groups of up to 5 students. However, any student who
hands in a PS with correct answers but who is unable to solve the problem when asked to the
board or any student whose name appears on a copy but who is absent w/o due justification
the day the PS is due will lose all the marks of all the PS he/she has handed in so far
Instructor
Jacques Olivier
E-mail address: olivier@hec.fr
Office: Rm 38, W2 building (Finance Department)
Course Material
1 bulk pack
Slides distributed at the beginning of each lecture
Website of the course on the HEC intranet (look for the "K-Hub" link)
Textbook
No single textbook corresponds to the entire course as some lectures are instead drawn from
separate research papers.
When available, I include below relevant chapters of the following two textbooks (which can
be found in the HEC library):
(H): J. Hull: "Options, Futures and Other Derivatives", Prentice Hall (8th edition)
(J): R. Jarrow and A Chatterjea: "An Introduction to Derivative Securities, Financial Markets
and Risk Management", Norton
"Must read papers" are included in the bulkpack and (as the name indicates) are compulsory
reading outside the classroom.
"Reference articles" can be found on the course's website and can be read by interested
students. They are typically more technical than "must read" papers
Course Content
CHAPTER 0: RISK NEUTRAL PRICING AND BINOMIAL MODEL
Lecture 1: Monday 11/10
Course Organization
Refresher: Forward and Futures
Arbitrage pricing
Model risk versus other risks
Refresher: Options
Payoffs
Call-Put Parity
Time Value of Options
H: Chapters 5, 10
; J: Chapters 11, 12, 13, 16
Lecture 2: Wednesday 11/12

2-Period Binomial Model:
Dynamic replication
Delta hedging
Backward induction
H: Chapter 12 ; J: Chapters 17, 18
Lecture 3: Thursday 11/13

Risk-neutral method
1-period case
Properties of the risk-neutral measure
General solution to the binomial model
Lecture 4: Monday 11/17
PS 0 due
Risk-neutral method (continued)
Returns and dynamics of forward prices in continuous time
Dividends and storage costs
CHAPTER 1: BLACK AND SCHOLES MODEL

In class practice PS
Black and Scholes model
Taking the limit of the binomial model
Reference article: Cox, J., S. Ross and M. Rubinstein (1979): "Option Pricing: A Simplified
Approach", Journal of Financial Economics, 229-263
J: Appendix Chapter 19
Lecture 6: Tuesday 11/25

Black and Scholes model (continued)
Derivation of the B&S formula
Interpretation
Numerical application
H: Appendix Chapter 12 + Chapters 14, 18 ; J: Chapter 19

Black and Scholes model (continued)
Greeks
Dividends and storage costs
Implied volatilities
Volatility Puzzles
H: Chapter 19
Reference article: sections 1 and 2 of Christoffersen, P., S. Heston and K. Jacobs (2010):
"Option Anomalies and the Pricing Kernel", SSRN working paper
CHAPTER 2: VOLATILITY AND MODEL RISK

PS 1 due
Delta hedging revisited
P&L of delta hedged position
Volatility risk and volatility risk premium
Reference articles:
Bakshi, G. and N. Kapadia (2003): "Delta Hedged Gains and the Negative Market Volatility
Risk Premium", Review of Financial Studies, 527-66
Ang, A. (2013): "Factor Investing", mimeo, Columbia University

Model calibration
Fat tails and the smile
Vega hedging
J: Chapter 20
"Must read" articles:
Jarrow, R. (2010): "Risk Management Models", Working paper, Cornell University
Henrotte, P. (2006): "Buckets in the Hold of the Titanic", Wilmott magazine, 24-27
Lecture 10: Friday 12/05

Going beyond Black and Scholes
Volatility swaps and the VIX index
Implied distributions
Why do we need option pricing models?
H: Appendix Chapter 19
"Must read" article:
Derman, E. (2009), "Financial Models Must Be Clean and Simple", Business Week
Reference articles:
Breeden, D. and R. Litzenberger (1978): "Prices of State Contingent Claims Implicit in
Option Prices", Journal of Business, 621-651
Demertefi, K., E. Derman, M. Kamal and J. Zou (1999); "More Than You Ever Wanted to
Know About Volatility Swaps", Quantitative Strategies Research Note, Goldman Sachs
CHAPTER 3: COMPLETENESS AND ARBITRAGE

PS 2 due
Arrow Debreu model
Basic set-up
State prices vs. risk-neutral probabilities
Market completeness
"Must read" article: Varian, H. (1987): "The Arbitrage Principle in Financial Economics",
Journal of Economic Perspectives, 55-72

Arrow Debreu model (continued)
Absence of arbitrage and existence of risk-neutral probabilities
Incompleteness and model misspecification
Implications for asset pricing models: pricing vs. hedging performance
Reference article: Dumas, B., J. Fleming and R. Whaley (1998): "Implied Volatility
Functions: an Empirical Test", Journal of Finance, 2059-2106
CHAPTER 4: FROM ARBITRAGE BACK TO EQUILIBRIUM PRICING

Lecture 13: Friday 12/12
Equilibrium pricing
Utility functions
Portfolio choice problem
Lecture 14: Tuesday, 12/16
Equilibrium pricing (continued)
Pricing kernels and marginal utilities
Must Read: lecture notes in bulkpack

Equilibrium pricing (continued)

Empirical evidence
Introduction to new theoretical developments (not examinable!!!)
Reference articles (not examinable!!!):
Bansal, R. (2007): "Long-Run Risks and Financial Markets", Federal Reserve of Saint Louis
Review, 283-299
Campbell, J. and J. Cochrane (1999), "By Force of Habit: A ConsumptionBased
Explanation of Aggregate Stock Market Behavior", Journal of Political Economy, 205-251
Section IV of Cochrane, J. (2011) "Discount Rates", working paper, University of Chicago
Collin-Dufresne, P., M. Johannes and L. Lochstoer (2012) "Parameter Learning in General
Equilibrium: the Asset Pricing Implications", working paper, Columbia University
Savov, A. (2011) "Pricing with Garbage", Journal of Finance, 177-201
Lecture 16: Friday, 12/19
PS3 due
Wrap-up
Derivatives
Instructor: Prof. Christophe Prignon
perignon@hec.fr
Finance Department, HEC Paris
W2 Bldg, Rm# 29
01 39 67 94 11
Assistant: Martine Chapeland

chapeland@hec.fr
Overview
This course provides a broad overview of the derivatives markets. We discuss the different
classes of derivatives, the rationale for using them, as well as the main approaches to value
them and manage their risks. Lectures combine theory, numerical examples, cases, and
classroom discussions. We cover exchange-traded derivatives, over-the-counter derivatives,
and structured products.
Learning outcomes
Knowledge of How to . . .
Use derivative securities (firms, investors, financial institutions, municipalities, etc)
Price derivatives securities
Analyze risks of derivatives securities and derivatives markets
Combine derivatives securities with other financial securities
Regulate derivatives markets in order to make the financial system safer and more resilient
Key topics
Part 1: Introduction
The nature of derivatives
Why are derivatives used?
Who is using derivatives?
The impact of derivatives on the real economy
Part 3: Over-the-Counter Derivatives

Interest rate swaps
Credit Default Swaps (CDS)
Total Return Swaps and ETFs
Collateralized Debt Obligations (CDO)
Can securitization cure cancer?
Part 2: Futures and Options

Futures contracts
Part 4: Structured Financial Products
Market organization
Capital protected products
Default risk
Convertible bonds
Hedging with Futures
Structured debt and the toxic loan scandal
Futures pricing
Options contracts
How hedge funds use options to generate alpha
Stock options
Extracting information
Course materials
Books
No required textbook but participants are advised to refer to the following textbooks:
1. An Introduction to Derivatives Securities, Financial Markets, and Risk Management,
Jarrow and Chatterjea, Norton, 2013.
2. Options, Futures, and Other Derivatives, John C. Hull, Seventh Edition, Pearson, 2009.
3. Derivatives and Portfolio Management, CFA institute, Level 2, 2010.
4. Financial Risk Manager Handbook, Philippe Jorion, fourth edition, GARP, 2007.
5. Marchs Financiers, Bruno Solnik, Bertrand Jacquillat, Christophe Prignon, Dunod, 2009
(in French).
Slides, Data, Cases, Articles, and Other Teaching Materials
www.hec.fr/perignon
HEC login and password required
Grading
Grades are based on assignments, quizzes, class participation, and a final exam:
Assignments (Team)
Quizzes (Individual)
Participation (Individual)
Final Exam (Individual)
20%
20%
10%
50%
Rules: Each team must comprise 4 students. Assignments must be sent by email to the
instructor (perignon@hec.fr) before the lecture. Students must bring a copy of their assignment
in class to be able to present their results to the class. Late assignments will lose 25 percent/per
day.
Christophe Prignon
Christophe Prignon is an Associate Professor of Finance at HEC Paris, France. He is the coholder of the ACPR (Banque de France) Chair in Regulation and Systemic Risk. He holds a Ph.D.
in Finance from the Swiss Finance Institute and has been a Post-Doctoral Fellow at the
University of California at Los Angeles (UCLA). Prior to joining HEC, he was an Assistant
Professor of Finance at Simon Fraser University in Vancouver, Canada. His areas of research are
derivatives markets, financial risk management, and the regulation of financial markets. His
research has been published in top finance journals including the Journal of Financial
Economics, Journal of Business, Journal of Financial and Quantitative Analysis, and Review of
Finance. He is also co-founder of RunMyCode.org, an academic website allowing researchers to
share data and computer code associated with scientific publications. In 2014, he received the
Europlace Award for the Best Young Researcher in Finance.
The course on structured finance is given twice in the program :

once in the Fall in French, once in the Spring in English
******
FINANCEMENTS STRUCTURES
Damien GAILLARD
Prsentation et Objectif
Les Financements Structurs sont une composante importante dune Banque de Financement
et dInvestissement (BFI). Ces activits sont forte valeur ajoute et font partie des produits /
services vitaux pour pntrer le 1er cercles de banques dun grand client denvergure
international.
Lobjectif du cours est de permettre aux tudiants dacqurir les principaux concepts utiliss
dans ce domaine.
Contenu
- Prsentation et Acquisition des fondamentaux communs tous les types de
financements structurs (structure ad-hoc, srets, water fall, analyse de sensibilit du
cash-flow) ainsi que lenvironnement de travail
- Application sur les principaux types de financements concerns : immobiliers, projet,
actif, matires premires
- Mthodologie danalyse des risques adaptables toutes les problmatiques de
financement
- Illustration de chaque type de financement structur par des tudes de cas et exercices
reprsentatifs des marchs concerns
Volume horaire
7 sances de 3 heures
Evaluation de ltudiant
50% un projet en groupe (term sheet, analyse des risques, modlisation), 25% participation en
classe, 25% test individuel
Nicolas VIEILLE
Master in International Finance
Description of the course.
This course is a refresher/upgrade in probability theory, dedicated to stochastic processes. The aim
is to prepare for the theoretical finance classes. This will start with some complements on
probability and random variables and go up to the Brownian motion and the stochastic integral. The
course is devided in 5 lessons. For each lesson, exercises will be proposed to students and solved in
class.
Lesson 1. Complement on probability and random variables: Laplace transform, Gaussian vectors.
Lesson 2. Probabilistic modelling of information : conditional expectation and filtration.
Lesson 3. Stochastic processes and martingales.
Lesson 4. The Brownian motion.
Lesson 5. Stochastic calculus and Ito's formula.
_________________Groupe H E C___________________
MDMHXUH)LQDQFH 0asters in

%XVLQHVVTrack
SECOND SEMESTER COURSES

January 2015 April 2015
Jacques OLIVIER
This document may not be used, reproduced or sold without prior authorisation from HEC Group
HEC Majeure Finance + MIF Business track : Curriculum 2014/2015

Course
Status
Instructor
ECTS
Comments
ECTS
Hours
per student
Core MIF Business

Track
Misc.
Pass/Fail
Special
20
3
FALL 0 - Introduction week
Soft Skills Seminar
FALL 1
Core
Vieille
Pass/Fail ; can be
waived
Ethics Seminar
Core
Columelli
Pass/Fail
Asset Management
Core
Bertrand
20
Interest rates Bulding Blocks
Core
Parolari
18
Core
Allaz
18
Corporate Finance Theory
Core
Hege
15
Financial Statement Analysis
Core
Yun
18
Corporate Valuation
Core
Levyne
12
15
124
Total Core
Financial Modeling
Naillon / Petra
2 sections F1
1 section F2
20
(*) : Students must choose either the two corporate finance (CF) or the two capital markets and asset management (CM/AM) block electives
FALL 2
Financial Regulation
Core
Colliard
18
Empirical Methods in Finance
Core
Calvet
15
Mergers and Acquisitions
Core
Ceddaha/Bedrossian
18
Securities Markets: Mechanisms, Liquidity and Investment Decisions
Core
Rosu
18
69
Total Core
FX Derivatives Trading
Asset Pricing Theory
Derivatives
Financial Modeling

(*)
(*)
Henry
Olivier
Prignon
Naillon / Petra
Spread over F2 and

Spring
18
24
18
2 sections F1
1 section F2
20
same course given in

English in the Spring
20
(*) : Students must choose either the three corporate finance (CF) or the three capital markets and asset management (CM/AM) block electives
Financements structurs (in French, F2)
Elective
Gaillard
Elective
Vieille
12
BT students may choose 13 or 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
SPRING
Financial Dimension of Strategic Decisions
Core
Quiry
Total Core
18
18
Elective
Fery / Bruyre / Bertrand
12
Macroeconomics of Crisis Economies
Elective
Sturzenegger
18
Comments
ECTS
Hours
per student
Status
Instructor
ECTS
Elective
Besanger
Elective
Farah
Sustainable and responsable investment
Elective
Apffel
14
Economie et gestion bancaire (in French)
Elective
Klein
24
Advanced Accounting
Elective
Marion
18
Energy and Finance
Elective
Dallemagne
15
Elective
Grevet
12
Real Estate Foundations
Elective
Simon
12
Financing Decisions of the Firms
Elective
Legland
24
Course
20
heavy work load
unavailable if taken as
block elective
15
Financial Modeling
Elective
Naillon
Elective
Bernard
14
Elective
Javary
18
Real Options
Elective
Levyne
Strategies for International expansion
Elective
Schaeffer
Topics on Valuation
Elective
Saintot
Elective
Salaun
12
Elective
Cizain / Dever
12
Structured Finance
Elective
Poirson / Tassart
20
Fiscalit l'usage des financiers (in French)
Elective
Rossetti
12
Treasury Management (in French)
Elective
Rousseau
13
Elective
Fontaine
12
Advanced Asset Pricing
Elective
Touzi
2 chili peppers
30
Elective
Henrotte
2 chili peppers
15
Elective
Bertrand
18
Credit Crisis: Historical and Technical Analysis
Elective
Prigent
14
Energy Markets
Elective
Franois
12
Elective
Columelli
10
Elective
Bossard
30
Elective
Suominen
18
Volatility modeling
Elective
Calvet
Elective
Robert
Numerical analysis
Elective
Kebaier
1 chili pepper
Chili Pepper: course which is especially challenging because of strong mathematical and/or quantitative and/or coding content...
Core Courses (general)
56
Core courses (corporate finance)

Core courses (capital markets and asset management)
Core courses (total)
81
74
211
Block Electives (CF)

Block Electives (CM / AM)
38
42
Electives (general)
in English
107
83
Electives (corporate finance)

in English
Electives (capital markets and asset management)
in English
Electives (total)
in English
258
213
225
225
590
521
14
10
overlap with core

business track
BT students may choose between 13 and 14 ECTS credits of electives during the year ; drop out period expires the day before the second session of the course ;
20
1 chili pepper
12
12
12
1 chili pepper
30
CORE COURSE
Course Outlines
The Financial Dimension of Strategic Decisions

AIMS
To set out the main problems currently being experienced in corporate finance.
To provide a work-related and concrete dimension to the body of knowledge acquired to date.
To fill in any remaining gaps in students grasp of corporate finance
COURSE CONTENT
1/ CORPORATE STRATEGY
Financial strategy and economic environment, examples of European groups over past 50
years
Financial analysis of a sector and development of a financial product, example from the movie
business
Mergers and acquisitions: Negotiating strategies
2/ FINANCIAL POLICY
Financial policy, market values, self-financing and share buybacks

Financial policy, share prices and tapping capital markets
Liquidity and its impact on value
To own or to rent operating building?
To borrow at fix or floating rate?
3/ FINANCIAL ENGINEERING
Off-balance sheet financing techniques: Improving the presentation of accounts?

The impact of corporate structures on value
CONCLUSION
Do not forget to read annual reports, the Enron example
TEACHING METHOD
This course will teach students how to analyse operations on the European market in depth, and also
look at original operations on the US market. Students will be split into groups and given a case study
that they will have work on together and then present to the class. Pascal will give a short introduction
to each topic, outlining the key points to keep in mind, and will provide feedback on the presentations
given.
This course will be taught in English in January March 2015.
ASSESSMENT
33% on the basis of the presentation made during the course

67% on the basis of a final 3-hour test, consisting of a financial policy problem like the ones
dealt with during the course.
RECOMMENDED TEXTBOOK
Corporate Finance, theory and practice, by Vernimmen, Quiry, Le Fur and alii, Wiley, 2014
or in French, Finance dEntreprise, Pierre Vernimmen, Dalloz, 2015
Professor: Pascal QUIRY
quiry@hec.fr
Pascal Quiry is the BNP Paribas professor of finance at HEC Paris where he has been teaching
finance since 1986 in Grande cole, MBA and Exed programs. 38.000 students followed his MOOC
devoted to financial analysis and corporate valuation in French, English and soon Chinese.
Since 2013, Pascal has been founder and managing partner of the closed-end investment fund
Monestier Capital which specializes in investing in start-ups and unlisted SMEs.
In addition to be a regular media commentator, Pascal manages two websites (www.vernimmen.com
and www.vernimmen.net) which receive 200,000 unique visitors a month. He is the co-author of
Corporate Finance: Theory and Practice, a textbook published by John Wiley and of Finance
dEntreprise the top-selling financial textbook in French-speaking countries whose initial author was
Pierre Vernimmen until his untimely death in 1996. He also co-writes 2 monthly newsletters devoted to
corporate finance with a combined circulation of 70,000 copies.
Until 2012, Pascal was a managing director in the Corporate Finance department of BNP Paribas
where he was a member of the Executive Committee and head of American and European execution
teams since beginning of 2007. From 2000 to 2006, he co headed the Advisory for Listed Companies
team and from 1993 to 1999 the Media team of this M&A department. Previously, he worked for the
Private Equity side of Paribas which he initially joined in 1986 as a Corporate Finance teacher in its inhouse training centre. Among the many deals Pascal advised are the sale of RTL to Bertelsmann, the
Sanofi bid on Aventis, the reorganization of the Agnelli familys Swiss and French assets, the
contribution of Dragon Air to Cathay Pacific by Air China, the reorganisation of LOral controlling
shareholders, the demerger of Arkema from Total, etc.
Pascal is a member of the Association Franaise de Finance, of the American Finance Association,
Socit Franaise des Evaluateurs, and lInstitut Franais des Administrateurs. He sits on the board of
directors of Broceliand (pearltrees.com), Ennesys and Philo Editions.
Together with his wife, Pascal is a Grand Donateur at the HEC Foundation and member of its
fundraising committee where he has been instrumental in raising more than 1.3m so far.
He is 52 years old, a graduate of HEC Paris, doctor honoris causa University of Moscow, and the
happy father of four children.
ELECTIVE SPRING COURSES

Course Outlines
Choice of Electives Majeure Finance / MIF

I) Schedule
Friday, November 14th: all information sent to students, which comprises:
* List of electives available
* Time table
* Course outlines
Tuesday, November 18th : Q&A session with Jacques Olivier (room 307 at 11:10am)
* All courses discussed
* Equal access to information for all students (Majeure, MIF business track, MIF
accelerated track)
From Monday, November 24th morning to Sunday, November 30th included: electronic
choice session open on Sharepad (access through HEC intranet)
From Thursday, December 4th, morning to Monday, December 8th, included : if
necessary, 2nd round of electronic choice session
* Has not been necessary in the last 3 years
* Instead: individual enrollment through Bernadette
1st lecture of an elective: deadline to ask the instructor for permission to "sit in" a class
without taking the course for credit.
Eve of 2nd lecture: deadline to drop an elective (possibility to register for another elective
directly through Bernadette, provided there are seats left). Reminder: all electives taken for
credit count for the GPA and will appear on your transcripts.
II) How the electronic choice session works

(i) You give a list of electives you want to attend by decreasing order of preference (i.e. most
desired elective first, least desired elective last)
(ii) Total number of ECTS credits of electives must be
-
For AT students : 11 or 12 ECTS

For BT / GE students : 13 or 14 ECTS
INCLUDING ANY ELECTIVE YOU TOOK IN THE FALL (Probability and stochastic
processes, Real Estate...) BUT EXCLUDING BLOCK ELECTIVES
* Note that the system does not automatically compute the number of ECTS credits of
electives requested. It is therefore of your responsibility to make sure the total is
correct. In case the total exceeds 12 ECTS for AT and 14 ECTS for BT/GE, you
may get automatically unregistered from any course where demand exceeds
supply so as make your total of ECTS below the 12 / 14 credits limit.
* Special note to "Grande Ecole" students: the system works A LOT better than the
choice of electives in HEC1 and HEC2. The reason is that > 90% of Majeure finance
electives do not get filled up to their maximum capacity. Thus, there is no need to load
up on the number of courses you request, which may on the contrary end up being
costly (cf. previous bullet point)
(iii) The system waits until the session closes to process the choices (no time preference)
(iv) The system fills up courses starting with students who put the course as 1st choice, then
with students who put the course as 2nd choice, etc. Two scenarios are then possible. The
more frequent scenario is that the total number of students who requested the course is less
than the number of seats available. Then all students who requested the course get it. The less
frequent scenario is one where the total number of students who requested the course is larger
than the number of seats available. In that case, there is a threshold level of preference such
that all students who requested the course with a higher order of preference get it, all students
who requested the course with a strictly lower order of preference get rejected and a random
choice is made for students at the threshold.
Example:
Total number of seats available: 10
Total demand: 15
Choice 1: 4 students
Choice 5: 1 student
The system first fills up the course with the 4 students who put it as first choice, then with the
3 students who put it as second choice but then runs into a problem when moving to third
choices. There are 3 seats left (10 - 4 -3 = 3) for 5 requests. The system then randomly
chooses 3 among the 5 students who put the course as third choice and gives them the course.
The other 2 students, as well as the 2+1 = 3 students who put the course as 4th or 5th choice
get rejected and will have to choose another course either during the 2nd electronic session or
directly through Bernadette.
Note also that the system will not allow students to get registered to two courses with a
timetable conflict (even if there is an overlap for one lecture only). In such cases, you will
get registered only for the course higher up on your preference list.
(v) A few hours after the choice session has closed, courses you got enrolled in appear on
your Sharepad account. Bernadette will also send everybody a mail giving you the list of
courses for which demand exceeded supply (if any).
Choice of Spring Electives - Majeure Finance / MIF Class of 2015

Course
Conflicting courses
Instructor
Language
ECTS
Hours
# seats
per student
available
Comments
Electives open to all

1
Advanced asset pricing
Corporate Strategy & Financial Institutions
Credit crisis: historical and technical analysis
Credit risk and turnaround of distressed companies
Economie et gestion bancaires
10
Energy and Finance
11
Economie et gestion bancaire
Touzi
English
30
54
no
Bertrand/Fery /
Bruyre
English
12
54
Real Options
Bertrand
English
18
54
Besanger
English
20
35
Joined with MFE students
Cizain / Dever
English
12
54
Partial overlap wih n 7
Energy and Finance
Farah
English
15
40
no drop out of the course possible
no
Prigent
English
14
54
Numerical Analysis
Grevet
English
12
54
Partial overlap wih n 4
Klein
French
24
47
Joined with MFE students
Dallemagne
English
15
54
this course doesn't count toward the Certificate

Energy and Finance
Energy Markets
no
Franois
English
12
54
Trading class
12
no
Salaun
English
12
54
13
Financial decisions of the Firm
Columelli
English
10
54
14
Financial Engineering and Derivative products
Bossard
English
30
38
1 chili pepper - students with inadequate class

participation will get dropped out of the course
15
Financing Decisions of the Firm
Legland
English
24
54
recommended for AT students / some redundancies

for BT and Majeure students
16
Conduct of Debt restructuring Transactions
Fontaine
English
12
54
17
no
Bernard
English
14
48
18
no
Javary
English
18
54
19
Macroeconomics of Crisis Economies
Financial Engineering and Derivative products
Sturzenegger
English
18
54
20
Treasury Management in a Multinational Corporation
Henrotte
English
15
54
1 chili pepper
22
Numerical analysis
Kebaier
English
30
30
1 chili pepper Matlab coding
23
Topics in Valuation
Robert
English
12
54
24
Economie et gestion bancaire
Simon
English
12
40
25
Real Options
Bond Portfolio managemant
Levyne
English
14
54
26
Strategies for International Expansion
Schaeffer
English
10
54
27
Structured Finance
Poirson.Tassart
English
20
54
28
Sustainable and responsible investing
Strategies for international expansion
Apffel
English
14
54
covers both SRI and CSR
29
Topics in Valuation
Orgination of structured products
Saintot
English
12
54
recommended for AT students / redundancies for BT

and Majeure students
30
Treasury Management in a Multinational Corporation
Rousseau
French
13
54
31
Volatility Modeling
Calvet
English
12
54
Suominen
English
18
29
no
Naillon
English
20
13
Marion
English
18
54
M. Rossetti
French
12
54
Structured Finance
Models of Volatility


Macroeconomics of crisis economies
Numerical Analysis
Credit Risk and Turnaround of distressed companies

Financial Decision of the Firm
Sustainable and responsible investing

Elective available for both BT/GE students and AT

students who did not take the Capital Market
Block Electives
31
Elective available for all students who did not take

the Corporate Finance Block Electives
32
Financial Modeling
Elective available for all students EXCEPT for the

BT.GE students who took the Capital Market Block
Electives
33
Foreign Exchange Derivatives Trading (Market Track for

BT.GE)
Elective available ONLY for Majeure Finance + MIF

business track
34
Fiscalit l'usage des financiers
no
2 chili peppers
12 h course + 2 h presentation for each group
1 chili pepper
ALTERNATIVE INVESTMENTS
(FUTURE TRENDS IN INSTITUTIONAL ASSET MANAGEMENT)

Course instructors
Richard BRUYERE
CEO
INDEFI
richard.bruyere@indefi.eu
Loc FERY
Founder and CEO
Chenavari Credit Partners
lf@chenavari.com
Head of Multi Asset
HSBC Global Asset Management
jean-charles.bertrand@hsbc.fr
Presentation of the course and objectives:

Institutional investment management is undergoing a dramatic period of change in the aftermath of
the 2008 financial crisis.
With directionless equity markets and major risks in the fixed income area, alternative investments
offer attractive diversification opportunities to investors provided they are correctly understood and
judiciously used.
The objectives of the course are to provide students with a comprehensive analysis of the trends that
are currently shaping the asset management industry as well as the technical and cultural
background to thoroughly understand the alternative investment space, which currently represents
an underestimated growth relay for the career prospects of HEC graduates (opportunities with hedge
funds, asset management companies, institutional investors, family offices, regulators)
The course will be highly interactive, propose real-life case studies and rely on the first-hand
professional experience of the lecturers.
Scope:
The course will endeavour to
cover the entire alternative
investment space, namely
alternative asset management
strategies deployed on
traditional asset classes
(equities, fixed income) as
well as alternative asset classes,
which are expected to represent,
over time, a growing share of
institutional investors asset
allocations.
Asset management
Alternative investments
Traditional asset
management
Hedge funds
Alternative asset
classes
Fixed income
Infrastructure
Equities
Real estate
Balanced
Private equity
Etc.
Other real
assets
Etc.
Course schedule: 6 lectures (6 x 2h00)
Teaching methods
Lectures
Classroom discussions
Case studies
Evaluation
Participation
Case study analysis
1
Detailed contents
Lecture 1
(Richard
Bruyre)
Asset management: the new normal. Introduction to alternative investments

Review of the investment management industry
Value chain analysis, typology of players
The 2008 crisis and aftermath; challenges for institutional investors
Core-satellite and the alternative opportunity
The hedge fund industry (overview, industry evolution post-2008, new
opportunities)
Alternative asset classes (real assets, private equity and others)
Rationale for using alternative investment strategies
Lecture 2
(Loc Fery)
Hedge funds: the entrepreneurship model

What does it mean to be a hedge fund manager?
How to set up a hedge fund?
Key success factors and mistakes to be avoided
Business model scalability
Lecture 3
(Jean-Charles
Bertrand)
Hedge fund strategies, performance and risk analysis

Segmentation of other hedge fund strategies (relative value, event-driven,
opportunistic, funds of funds)
Technical description of each strategy (instruments and techniques used, risk
factors): managed futures, risk/merger arbitrage, funds of hedge funds
Hedge fund performance (performance review, common factors, analysing hedge
fund returns, alternative beta)
Risk analysis (case studies of hedge fund failures, typology of hedge funds risks,
risk metrics)
Case study to be prepared for Lecture 5
Lecture 4
(Richard
Bruyre)
Real assets: introduction to infrastructure finance and infrastructure as an

asset class
Infrastructure: definition, scope and market potential
Overview of infrastructure delivery mechanisms
Infrastructure financing techniques (risk matrix)
Infrastructure investments as an asset class (equity vs. debt)
Infrastructure fund market
Case study to be prepared for Lecture 6
Lecture 5
(Jean-Charles
Bertrand)
Hedge funds case study

Correction of case study
Lecture 6
(Richard
Bruyre)
Infrastructure case study

Correction of case study
The Macroeconomics of Crisis Economies

Sturzenegger, Federico
Member, Chamber of Representatives, Argentinas National Congress
Presentation
This is a course in international finance with particular emphasis on financial crises. This is not a theoretical
course (though we review theory) but a course that attempts to build a practical guide to macroeconomic
analysis and financial consulting in countries under stress. While the course reviews crises in emerging
economies, in recent years building the tools that enable to understand both the US financial crisis and the
Euro crisis have captured an important share of the courses attention.
About the instructor:
Currently Member of Parliament in Argentinas National Congress, and Professor at Universidad Torcuato
Di Tella. He holds a Ph.D in Economics from MIT (1991), was Assistant Professor of Economics at UCLA
(1991-1995), Chief Economist of YPF (1995-1998), Dean of the Business School at Di Tella (19982000/2002-2005), Secretary of Economic Policy of the Republic of Argentina (2001), Visiting Professor of
Public Policy at the Kennedy School of Government, Harvard University (2005-2007) and President of
Banco Ciudad (2008-2013). He has written or edited eight books, and has published extensively in the area
of international finance and macroeconomics. In 2005 the World Economic Forum of Davos selected him
as Young Global Leader.
If you want to learn more about me just check http://www.fsturzenegger.com.ar
Course objectives
We aim to develop knowledge of how to . . .
Analyze basic macroeconomic data of any country in the world.
Predict situations of financial distress.
Incorporate basic principles of finance to analyze investment opportunities in financial markets.
Discuss the main issues in the global agenda regarding international financial markets
Distinguish between real and nominal exchange rates.
Track possible scenarios for exchange rate movements.
Understand how the US financial crisis and the Euro crisis occurred and lay out possible future
scenarios.
Format
Part 1: Basic Tools
Asset Pricing
Current Account Sustainability
Toolkit for analyzing Sovereign Debt
Part 2: Applications
Real and nominal exchange rates
The debate on Global Imbalances
The US financial crisis
The Euro Crisis
Course content
Class
th
1 February 13
Topic
Basic Principles of Asset Pricing
Current Account Analysis
Description
In this initial section we discuss some
basic rules for understanding asset price
evolution, prediction and forecasting. We
also discuss the concept of the current
account and its relevance for
macroeconomic analysis.
th
Current account sustainability

Global imbalances and the debate on
the US current account
We develop analytical tools for

understanding current account
sustainability. In recent years a main
source of concern in international
finance has been the large current
account deficits of the US. This section
discusses whether this is a real source
of concern.
th
Exchange Rate determination

Nominal and real exchange rates
This section discusses basic models of

how exchange rates are determined. Is
the euro cheap or expensive? Can we
anticipate the movements of the Chinese
Yuan? And so on
th
Models of financial crisis

Toolkit for understanding sovereign
debt pricing and risks
This section discusses the timing and

consequences of an exchange rate
collapse. Sovereign debt is debt issued
by governments where no court can
enforce repayments. In this section we
explain why sovereign debt exists at all,
and how it can be priced.
th
The US financial crisis of 2008

The Euro Crisis
The financial crisis of 2008 has been

one of the most important events in
international finance in recent decades.
We provide a chronology of the events,
as well as a description of the main
instruments that were responsible for the
outburst of the crisis. The Euro is
suffering is most important crisis since
its inception. Can it survive? Why is it
under stress? What needs to be done?
th
Growth theory and perspectives for the

world
Investing in emerging economies cannot

be done without a long term view of what
may happen with economic growth. In
this section we review some of the most
recent theories about world growth.
2. February 14
3. February 17
4. February 18
5. February 19
6. February 20
Teaching methods
The course works through class lectures. My classes tend to combine basic theory with lots of applications
and personal experiences from 25 years of academic life as well as direct policy experience (in addition to
having taught at Harvard Kennedy School for several years Ive been Secretary of Economic Policy of the
Republic of Argentina and President of a large state owned bank, among other positions).
Bibliography will be provided to students through an internet link several weeks prior to the course and
includes articles from investment banks, policy speeches and some short academic papers.
Individual work
Each class students will be given a study guide reviewing class content.
Evaluation
Grades are based on a country report that each student will prepare analysing macroeconomic strengths and
weaknesses of a student-specific country. This report will need to have the features of a state of the art
country report as prepared in macroeconomic consulting and investment banking and will be based on the
analysis developed in class.
CASES IN STRATEGIC MANAGEMENT

NUMBER OF HOURS : 20
COURSE COORDINATOR : Serge Besanger
COURSE OBJECTIVES
This course is aimed at testing the students skills at solving strategic management issues.
LEARNING OUTCOMES
Participants will learn to practice strategic management case solving. Through these case studies,
they will learn how to evaluate an organizations external and internal environments, analyze its
competitors, assess the companys resources, core competencies and activities. They will identify
strengths, weaknesses, opportunities and threats for the organization and reveal a clear picture of
companys situation in the market in an integrative and interdisciplinary way, from a broad general
management perspective, viewing the firm as a whole, and examining how policies in each functional
area can be integrated into an overall competitive strategy. The strategic management case studies in
this course involve choosing competitive strategies, creating competitive advantage, taking advantage
of external opportunities, securing and defending sustainable market positions, and allocating critical
resources over long periods.
PREREQUISITES
Business Administration, or degrees in Economics, Political Science, Applied Social Sciences.
COURSE CONTENTS
Introduction to case methodology
Case from Mc Kinsey
Cases from BCG
Cases from AT Kearney
Cases from A.D. Little
Cases from Roland Berger
TEACHING & LEARNING METHODS

Class discussions, lectures, readings, case studies, and exercises, and interaction.
ASSESSMENT METHODS
Participation, continuous assessment (readings, oral presentations) and final presentation.
RECOMMENDED READING
Strategic Management: An Integrated Approach by Charles W. L. Hill , Gareth R. Jones, Houghton
Mifflin Harcourt (HMH), 2009.
CORPORATE STRATEGY AND FINANCIAL INSTITUTIONS

Course Instructor: Elie-Pierre FARAH, Partner at Oliver Wyman
Presentation
Allocating capital and resources, taking risk-based decisions, adjusting to new regulations, adapting business models
to changing market environment, are examples of day-to-day issues/challenges for financial institutions CEOs in an
increasingly globalized and volatile market.
Successfully addressing these challenges and satisfying shareholders/analysts expectations requires managers of
financial institutions to come up with innovative bold solutions, properly assess attractiveness of each option and
timely turning this into market reality.
Course objectives
The course is built around both lecture sessions on the financial industry and related case studies to engage students
around a selection of recent real life situations (recent subprime and Eurozone debt crisis) and better understand the
challenges facing financial institutions and its managers.
The key objectives of the course are to develop a better understanding of the financial industry and get introduced to
strategic case study methodology.
Format
Five 3-hour sessions 100% in English
40 students: 8 groups of 5 students
Once registered students will be allowed to choose their own group but will not be able to unregister
Session 1:
Lecture and case study
Session 2 to 4: Will start with a lecture on a specific topic of the financial industry and an introduction to a reallife case related to the topic. Students will then present their solutions to face real-life challenges
Session 5:
A series of debates between student groups on a selection of controversial themes; the session is
closed by a lecture
Course Content
Session 1
The recent financial crisis a brief view on how we got here From subprime to Eurodebtcrisis and latest
developments
Introducing a series of publications (that will be distributed to all) and distilling 4 key themes that the
students(in groups) will have to write papers on and debate during session 5 - e.g.
The end of traditional retail banking? Do traditional banks have a future with increased regulatory pressure and
digitalization?
Retail banking and CIB activities need to be split
Banks do not play their fair role in financing the real economy
The Private Banking industry has no future with the increased fiscal transparency
Introduction to case studies methodology followed by an applied example
Sessions 2 to 4 case-based:
The following topics will be covered during these sessions:
Capital markets and intermediation

Insurance
Banks business model post capital / liquidity crisis and in a more constraining regulatory environment
Session 5
Student groups will debate the themes selected in session 1 (see above)
Presentation by OW, What happens now?
What is changing - evolution of the regulatory landscape
How is this impacting the Financial Services (Players and Landscape)
Teaching methods
Each session will be organized in a highly interactive format
Session 1: Interactive lecture, followed by a methodological session on solving case studies short applied example
Sessions 2 to 4 lecture case studies
An industry expert gives a lecture on a specific theme and provides insights on the key challenges in this
specific area of the industry and the context of the case prepared by students
Solutions prepared by the various groups of students (prior to the sessions)
Presentation of the case by a selected group (s) at each session
Solution will be challenged/assessed by the remaining groups (moderated discussion)
Presentation by OW on approach used in real life lessons learned and outcomes
A consultant from Oliver Wyman will be assigned to each case and a call with be scheduled between that consultant
and the leader of each group of students so that students are able to raise questions / ask for some guidance.
Papers will be submitted by each group in advance, allowing sufficient time to review and select the teams that will
be presenting during the course (all papers will be graded).
Session 5
Will be organized as 4 debates, where 2 groups of students will have to defend contradictory views on the
themes selected by Oliver Wyman in session 1 Papers will be submitted in advance and graded
Interactive lecture on evolution of FS landscape
Relevant Partners from OW will participate to the various sessions
Individual work
Preparing the cases prior to each session (papers of maximum 8 to 10 slides) in groups of 5
Reading Selected Publications and preparing a short essay on one of the themes selected by Oliver Wyman in
session 1
Individual research to support the above
Students are expected to spend 3 4 hours to prepare for each session
Evaluation
Grading case study group presentations (Session 2 4)
Grading group presentations in Session 5
Additional grades for individual participation
Sustainable and Responsible Investing
Course instructor: Arnaud APFFEL, formerly head of Global Investments for Deutsche Bank Asset &
Wealth Management EMEA, currently CEO of Perennium (Geneva/Paris)
Presentation
Sustainable & Responsible Investing, in the broader sense, emerged in the 60s-70s. Its expansion accelerated
significantly since the mid 90s, making it mainstream today, and still enjoying double-digit investments growth.
Whether you want to work in asset management or simply learn more about how finance can benefit society, this
should be a relevant and interesting field for you.
And the field is wide: it involves corporations, investors, specific institutions/organizations, NGOs, and of course a
significant part of the financial services industry ($35 trillions under UN-PRI), all united by the objective not to
hurt or damage, neither directly nor indirectly, society as a whole; and potentially to provide benefits to it.
Ranging from ethics to economics, from social to environmental, from individual (action, situation) to corporate
(responsibility, governance), this is a very fertile matter. But given its multi-faceted nature, breadth and span, and
its sometimes confusing definitions, Sustainable & Responsible Investment can be hard to to figure out from the
outside although easy to grasp when presented in a structured and comprehensive way.
Course objectives
(a) Understand the broad framework (origins, evolution, scope, trends) and the key concepts
(b) Capture how this translates into practice (players, processes), the relationship between the investors and
the companies theyre invested in, as well as the concrete impacts on society and environment
Keywords
SRI, ESG, CSR, Sustainability, Impact investing, Shared Value, PRI, Asset Management, Responsibility, Engagement
Format
A total of 14 hours, taught in English:
Seven sessions of 2 hours each
Three of which with recognized outside professionals (experts, CEOs..)
A final test (1 hour, outside of the course sessions)
Course content
1- General introduction (history, concept, values, scope, players, investment process)
2- How to assess listed corporations (specialized research, ratings), how to invest (strategies)
Practical example with an industry expert: ESG research firm.
3- Investment universe (asset classes, vehicles, markets; fiduciary duty)
4- Practical example with an industry expert: ESG/SRI lived by a leading Asset Manager
5- a/ Engagement strategies: process, history, milestones of shareholders action
b/ Performance: does ESG/SRI lead to superior results ?
6- Impact investing: scope, nature, key issues (including social performance measurement)
Practical example with an industry expert: impact investing firm
7- The future, challenges and vision (from technology innovations to new forms of capitalism)
Teaching methods
Lectures, case studies & classroom discussion
Individual work
Class participation, one case study in small groups (2-3), some reading
Evaluation
The grade will include class participation (20%), case study (20%) and final test (60%).
ECONOMIE et GESTION BANCAIRES

Responsable du cours : Olivier KLEIN
Directeur Gnral de la BRED, professeur dconomie finance HEC ,
Presentation
The course analyzes the economic and financial role of banks, considered, along with markets, as central
elements of the financial system. It also introduces the different professions that can be found within a bank, the
criteria that guide them and their specific management constraints. On top of this, it introduces students to a few
key techniques in the banking (credit analysis,) and market (derivative instruments, VAR,) fields.
Course objectives
The course combines a macro-financial and microeconomic analysis of banking institutions, offering students
insight into the economic role and specificities of a bank and the conditions for its profitability. Finally, it aims
to analyse banking and market techniques.
Droulement du cours
8 sances de 3 heures + confrences
Course content
I.
Comparing the economic roles of banks and financial markets :

Analysis of the economic roles of banking institutions and financial markets: comparative advantages of
intermediated finance and direct finance
Evolution of the banking model from "originate and hold" to "originate and distribute".
II. Bank typologies and management methods

III. Financial risk management :
Recap of a fiew key financial notions
The interest rate risk of a bond portfolio and its measurement: concepts and uses of duration and
convexity
IV.
V.
The global rate risk of a bank: measurement and management

Volatility risk: the "Greeks"
VAR (Value At Risk): definition, methods of measurement and use in risk management
Stress scenarios
The practice of credit

Prudential rules
Mthodes pdagogiques
Polycopis, support de cours
Articles de presse et de revues conomiques
Papiers de recherche
Travail personnel
Lecture de la presse conomique
Lecture de papiers de recherche
Evaluation
Test de 2 heures
HEC Majeure Finance

Advanced accounting
Proposed syllabus Year 2014/2015
Christophe Marion
The objective of this course is to give students a better understanding of some (advanced) accounting
concepts and their consequences on financial statements. All topics covered will be illustrated by actual
transactions and/or financial statements.
No Theme
1
Conceptual
frameworks and
key concepts
Jan 15
2:10-5:10pm
2
Business
combination
Jan 23
10:10am
1:10 pm
Pensions and
stock options
Jan 29
2:10-5:10pm
Perspective &
Leases
Feb 6
10:10am
1:10 pm
Derivatives and
hedging
Feb 12
2:10-5:10pm
Accounting in
banks
Feb 18
4:10-7:10 pm
Key messages
What is a conceptual framework?
How to compare Continental European models and US/ IFRS?
Who uses which framework?
Substance over form
Killing the fair value myth
No set list of differences (due to options)
Reminder on purchase accounting
Identifying intangibles (IAS 38 criteria)
Determining goodwill
Step accounting
Subsequent increases/decreases in interest
Put options on non controlling interests
Understanding the economics: defined benefits/contributions
The projected unit credit method
Actuarial assumptions and discounting
Dealing with actuarial gains and losses
Stock options: how to pay and get money!
The 4 accounting scenarios
Management packages: distinguishing the manager-investor from the
manager-employee
Part 1: Philippe Danjou the IASB's perspective
Part 2: Leases
The issue with leases
Reminders on finance and operating leases
The thin line
IFRS/US: similarities and differences
Various ways of tricking the standard(s): structured leases,...
Implicit leases in take or pay contracts (IFRIC 4)
Service Concession Arrangements (IFRIC 12)
The new proposed standard
The accounting mismatch
Hedge accounting as a solution (FVH, CFH, and NIH)
The conditions for hedge accounting
Some issues with hedge accounting under IAS 39
Disqualifying a hedge
The future IFRS 9
What is different in banks?
Reconciling accounting equity and prudential equity
Reconciling assets and RWA
From incurred loss to expected loss: how IFRS and Basel 3 converge or
not
Accounting and financial stability
ENERGY and FINANCE

Geoffroy DALLEMAGNE, MD Socit Gnrale
Presentation
Energy is a major driver of the world economy, and a key component of the financial markets.
Investments into the necessary infrastructures to ensure energy security for the world are assessed
to be in excess of US$37,000bn to 2035. The supply of energy will result in a major drain on the
capital markets.
Highly capital intensive, access to energy bears implication into the security of domestic supply,
and competiveness of economies.
While the Oil market has been global for a long time, power markets have been more local,
monopolistic and regulated. Deregulation however has drastically changed the industry.
Course objectives
This course is an introduction to the world of energy and its strong link with finance. This course
will take the corporate view into financing. More sophisticated structure finance techniques are
reviewed in the Energy & Finance Certificate.
Commodity is the most volatile asset class, with complex pricing. This course will give a first view
into drivers that impact price mechanisms.
Course content
1. Fundamentals of oil, gas, coal and electricity markets,
Availability of resources and forecast scenario
2. Segment of the energy industry: production, transportation, and distribution
Various Assets contributing to the value chain, capex and characteristics
Commodity price formation: Short term versus Long term, oil indexed contract, transport
arbitrage
3. Rating methodology for corporate in unregulated and regulated infrastructure:
Business profile, Financial profile, Financial ratios
4. Review of some Corporates strategy and funding
European consolidation, Deregulation of markets, Vertical integration, Energy mix. Funding
strategy for energy companies
5. Case study: Financial modelling of a generation asset and its funding strategy
Schedule
15 Hours, 5x3h
Evaluation
Participation in class and case study 30% and Final exam 70% (1h MCQ and calculation exercise)

Teacher : J-L GREVET, Founder and CEO , Perceva
__________________________________________________________________________________________
Introduction
This course addresses, both from a legal and financial perspective, the context of
companies in France coping with financial difficulties, before and after bankruptcy.
It highlights the financial techniques to monitor such situations, to negotiate with creditors
and to restructure balance sheets.
Two case studies and numerous examples support the course.
__________________________________________________________________________________________
Course timeline
6 classes of 2hours + 1 exam
__________________________________________________________________________________________
Agenda
Course 1 :
Introduction
Legal Context
Financial considerations
Course 2 :
1st Case Study: Rmy-Cointreau
Course 3 :
Perspective and role of various stakeholders:

Management
Financial Creditors : assessment of credit risk
Trade and other creditors
Shareholders
Other parties (Commercial Court/ Receivers/ Auditors)
Course 4 :
Financial assessment of difficulties
Cash analysis and assessment of new money needs

Covenants breach
Avenues to avoid bankruptcy
When and how to file for bankruptcy
Course 5:
How to raise new money and restructure balance sheets

Bank loans
High Yield Bonds
Equity
Course 6
2nd Case Study : Groupe FLO

Difficulties created by overleveraging sound businesses
Course 7
Exam
Course Instructor : Thierry SIMON, Member of the Executive Committee,

Crdit Agricole CIB
___________________________________________________________
PRESENTATION of the COURSE and OBJECTIVES
Real Estate has always been, and will always be, a major Asset Class.
Being an individual, a private or public user, an investor or a government, ALL have to deal with Real
Estate; ALL will gain or lose from Real Estate.
At the origin of the 2008 financial crisis, Real Estate has more than ever to be mastered and offers
attractive diversification opportunities to users and investors, provided the technics are correctly
understood and judiciously used.
The objectives of the course are to provide students with a fundamental knowledge and comprehensive
understanding of the Real Estate industry, the markets, their actors and the related technics for
valuations and financings.
HEC graduates will have to deal with Real Estate issues in their future operational and managerial
responsibilities, an Asset Class that also offers significant career prospects (opportunities with
Corporates, Institutional Investors, Bankers, Asset Managers, Family offices, Private Equity funds....).
The course will be highly interactive and propose real-world case studies.
COURSE FORMAT
12 hours in English: 4 lectures of 3 hours
TEACHING METHOD
- Lectures
- Classroom discussions
- Case studies
EVALUATION
- Participation
- Case study analysis
COURSE CONTENT
LECTURE 1: REAL ESTATE INTERNATIONAL MARKETS, the PLAYERS and the
VALUE CHAIN
Objectives:
- To get the fundamental understanding of the different International
Markets and their actors
- To master the value chain of the Real Estate industry.
1/ Fundamentals of the International markets, Real Estate Clock
2/ Profile of the different actors, business models, business case
3/ Building-up the Value Chain, value positioning, segments, business case
LECTURE 2: REAL ESTATE ISSUES and CHALENGES

Objectives:
All actors of the Economy are facing Real Estate challenges.
To master the Real Estate challenges seen from the different types of actors: the user, the
investor, the professional, the banker and the capital Markets and governments.
1/ From the Users: leases, Sustainable Leeds, MtM, data bases, RFPs...
2/ From the Investors: REITs, PE funds, Asset Managers, family offices, sovereign funds...
3/ From the Professionals: Brokers, Facility managers, Property Managers, Advisers, rating
agencies...
4/ From the Bankers: Basel III, RWA, liquidity, senior/mez returns, services...
5/ From the Capital Markets: equities, credit...
6/ From the Governments: Regulation, impact on the economy...
LECTURE 3: VALUATION and FINANCING TEHCNICS
Objectives:
To revue valuation, investment and financing technics based on the different profiles and
objectives of assets, markets and actors.
1/ Mortgage history
2/ Financing technics and statistics: senior/mez lending, bonds, ABS, CMBS, Conduit,
mortgage, Covered bonds, Plan brief, covenants, leverage ratios, collaterals...
3/ Valuation technics
4/ Valuations and Financings to be consistent with the profile and objectives of the markets,
the assets and the actors
5/ Financing business cases
LECTURE 4: LESSONS from the 2008 REAL ESTATE FINANCIAL CRISIS
Objectives:
To benefit from the lessons of the 2008 Real Estate and financial crisis; draw conclusions on
the excesses and weaknesses of the markets, actors, financial structures. But also on rising
opportunities!
1/ The 2007 Real Estate and Financial Crisis: subprime, Lehman, AIG, capital and liquidity
issues...
2/ Crisis business cases based on actors and markets: US and Spain 3/
Excesses, weaknesses and opportunities.
FINANCIAL DECISION OF THE FIRM

Patrick Legland - plegland@hotmail.fr
Lecturer:
Patrick Legland, Global Head of Cross Asset Research at Socit Gnrale, Global Co-Head of the
Equity Chain and a Member of SGs Global Capital Markets Executive Committee.
Presentation/Objective:
- To provide real world expertise on Investment Bankings best practices
- A practical approach: how to originate, negotiate and execute profitable deals.
- The keys to being successful and adding value in the deal making industry.
- Advice on job opportunities and challenges in Corporate & Investment Banking.
Course Schedule: 24 hours, 8 x 3h
1 Understanding financial accounts; window dressing, manipulation, IFRS issues

The most common accounting manipulations - Key IFRS issues impacting deals - Due diligence
Case Study: Adidas account analysis
2 Optimising Capital Structures

The optimum Capital Structure - Debt restructuring - Bank debt vs debt securities
Case Study: Seprofirm Mid-Cap financing
3 Advanced Valuation
Fair value vs Transaction Price Negotiation techniques Brands & Intangibles valuation
Case Study: Happy Menu Start-up financing (Real case study)
4 Brand Valuation & Financing

Specific brand valuation techniques applied to M&A
Case Study: Fosun takeover on Club Med, LinkedIn IPO valuation, Burberry Brand Valuation
5 Equity Capital Markets, Convertible Bonds
Originating profitable deals - The function of Syndication - Right Issues, ABBs, Bought deals
Case Study: France Telecom refinancing
6 LBO Financing
Primary, Secondary Offerings IPOs - ECM as an alternative to M&A
Case study: Smart LBO (Real case Study)
7 Synthesis
Hybrid Products The Originate to Distribute model Disintermediation opportunities
Case study: Gap takeover on Abercrombie (Theoretical)
8 Synthesis
Current market conditions in M&A & ECM - Job opportunities in Inv. Banking
Case Study: Capio acquisition of Unilabs (Switzerland)
Teaching approach
- Each session combines fundamental coursework, application problems real world case studies
- Systematic (non-marked) Multiple-Choice sessions to sustain the learning curve
- Two technical articles to read for each class
- Courses & materials in English
Evaluation: Questions about technical articles to read: 5 points, Case Study: 15 points
Financial Modeling Nicolas NAILLON
Course Description:
In most of the jobs that are offered to students post a concentration in finance they will have
to model the financial statements of a company in order to forecast its evolution, take key
decisions on its development or know its value The main objective of the course is to give
students the opportunity to implement the various finance skills learnt since the beginning of
their schooldays and build an operating model, a DCF and a merger model, tasks that those
who choose a career in corporate finance will have to perform on a daily basis. There will be
2 classes, one for beginner and one for intermediate level students.
Objectives:
At the end of the course, students are expected to be able to set up an operating model
(income statement, balance sheet, and free cash flow statement), a DCF, sensitivities, and a
merger model meeting the level of standards required by investment banks.
Content:
Introduction to the basic modeling rules and recap of the main accounting principles (~ 2-3
hours):
- Recap of basic accounting concepts used to build a financial model
- Introduction to the principles of modeling and practice through exercises
- Presentation to common Excel shortcuts used in modeling
- Presentation of the choose and offset functions
- Introduction to circular references and their use in interest calculation
Creation of an operating model and of a DCF (~ 9 hours):
- Creating an operating model and a DCF step by step
- Sensitivities around the WACC and the long term growth rate
- Sensitivities around the EBIT margin and the growth rate
Creation of a merger model (~ 8 hours):
- Creating a merger model step by step
- Accretion / dilution analysis
Evaluation:
Students will be evaluated on their class participation, ability to build a model and a test
(only for those having this class as a compulsory class).
LBO STRUCTURING AND MODELING IN PRACTICE

Marc-Elie Bernard, Group Vice President, M&A and Financing, Altran
E-mail: LBOinPractice@gmail.com
Overview and Objectives
This course is a highly practical presentation of Leverage Buyouts (LBO): following a brief
introduction to Private Equity (PE), we will review the concepts, tasks and technical tools
involved in a LBO transaction, from your professional and operational standpoint as LBO fund
Analysts.
PE is a comprehensive business, requiring technical fluency in corporate finance, strategy,
business law, negotiation, management, interpersonal relationships, etc. Therefore, the course will
also be of interest to those of you who will somehow interact in their professional lives with the PE
world: investment or merchant bankers, consultants, auditors, managers or owners facing private
capital raising, etc.
As the course is mainly based on my operational LBO background that I intend to share with you, it
will require your active participation during classes, in order to calibrate the course pace and
technical level. Therefore, the course is best designed for motivated students who have already
acquired the main corporate finance and mergers and acquisition concepts.
Class Schedule and Content
The course is a 14-hour module:
during the first 12 hours, we will present and review the main constituents of a LBO deal:
characteristics of PE Investment Funds, valuation, deal structuring (including the main legal and
tax issues), sequencing, negotiation issues, and, above all, financial modeling to business
standards;
during the final 2-hour session, we will summarize this whole toolkit through a case
presentation.
Learning tools
The teaching method will alternate class presentations (including specialist external speakers) and
press article discussions in order to debate or illustrate one topic; the final case is a general and
comprehensive summary to the whole course. The class will be taught in English.
Personal work
The main requirement is the final case preparation and presentation (in groups of 4). In order to
reach optimal class interaction, a limited number of press articles must be read before each class.
Evaluation
Participation: 40%, and final case: 60%
LEGAL AND CONTRACTUAL ASPECTS OF CORPORATE FINANCE

Responsable du cours : Sophie JAVARY
Course Instructors:Sophie Javary deputy head of corporate finance BNP Paribas, Alban Bouley, Managing Director,
M&A, BNP Paribas and Arnaud Joubert, MD, Rothschild, all three are seasoned corporate financiers from the BNP
Paribas and Rothschild groups
_________________________________________________________________________
Presentation: An elective course in corporate finance matters covering three distinct modules of equal
weight : ECM, M&A, Financing and restructuring. It will be particularly useful for students that have an
objective of pursuing a career in investment banking, private equity or corporate finance departments of
large companies.
Course objectives: to teach students about the reality and dynamics of execution processes in various
aspects of corporate finance deals. The course intends to enable finance students to go through the
execution processes of various fields of corporate finance through the prism of the legal and contractual
key milestones of the execution process of transactions.
The three lecturers are true practitioners and seasoned bankers in their relevant fields
_________________________________________________________________________
Format: a mix of formal lectures and group case studies. It is meant to be interactive and practical. A lot of
real case precedents of transactions will be used as examples of the concepts studied.
_________________________________________________________________________
Contents: students will have access to unique learning materials developed for the course enabling them to
understand the interaction between a corporate finance process and the legal and contractual architecture
of corporate finance deals in many aspects of modern corporate finance.
First module: Equity capital markets transactions will cover the IPO processes: prospectus, letters of
comfort, underwriting agreements, Secondary placings, Capital increases: AGM approvals, prospectus and
Convertible bonds: AGM approvals, terms and conditions.
Second module: Mergers and Acquisition processes: The mandate letter, the Sales process, The sales
contract, Shareholders agreements and Acquisition of public companies
Third module: Financing and restructuring processes : LBO financings, Corporate financing: (syndicated
loans, bond issues),Restructuring: covenant reset, collective proceedings
_________________________________________________________________________
Teaching methods: a mix of formal lectures and debriefing of case studies.
_________________________________________________________________________
Individual work : At least one groupwork for a case study will be expected. A final exam at the end will
evaluate the knowledge of the contents of the course which will be made available in the form of slides.
_________________________________________________________________________
Evaluation : Attendance mandatory. Students will be evaluated in equal proportions between their presence
in class and relevant participation, grades at the final exam and quality of groupwork."
REAL OPTIONS
Olivier LEVYNE
Director, CA-CIB (M&A),
Presentation
The real options are options which are not represented by a security - and are therefore not listed as they are embedded
in the investment projects of a firm. They enable to value some assets (oil and mine claims, patents, guarantees) using
usual options pricing models (Black-Scholes-Merton). In that context, they include the whole volatility and use the risk
free rate. Such an approach prevents from determining the future yearly free cash flows and the discount rate which is
supposed to reflect the risk of the cash flows. The real options also modifiy the capital budgeting. Indeed, they
complement the traditional NPV and DCF valuation approaches as they enable to take the growth options, which are
embedded in a project, into account. Moreover, the NPV aims at deciding whether an investment has to be achieved
now or never. The real options enable to value the possibility to defer the investment and therefore to decide to achieve
it now or later. This course also focuses on the Galai & Masulis approach of the equity value which is looked upon as a
call on the firms assets, the strike price being the nominal of the financial debt. It enables to revisit the traditional
principles of corporate finance which do not include explicitly the probability of the firms bankruptcy.
Course objectives
1.
2.
Ability to turn a traditional corporate finance topic (valuation of a firm, decision to invest) into a real option
situation, enabling to take the whole volatility into account
Understanding and capacity to use various options pricing models
Format
7 courses of 2 hours = 14 hours
Course content
1.
2.
3.
4.
5.
6.
Tools of stochastic calculus for finance

a. Simple Brownian Motion
b. Brownian Motion with drift
c. Ito process
d. Geometric Brownian Motion with drift
e. Ito's lemma
f. Case of F(x) = ln(x)
g. Partial differential equation
Main option pricing models (refresher)
a. Cox-Ross-Rubinstein
b. Black and Scholes : proof, interpretation of (d 1 ), (d 2 ) and test based on Monte Carlo simulations
c. Merton
d. Volatility smiles
From financial options to real options
Usefulness of the Black and Scholes formula in the real option context
a. Strategic growth options
b. Valuation of an oil claim with various assumptions of flexibility
c. Valuation of a patent
d. Valuation of the option to exchange one risky asset for another (Margrabe formula)
e. Valuation of a guarantee
Valuation of the option to invest
a. Uncertainty, irreversibility and investment
b. Boundary conditions: F(0)=0, value matching and smooth pasting
c. Dixit and Pindyck formula
Galai and Masulis approach or the new principles of corporate finance
a. New formula for the cost of equity
b. New relationship between the leveraged and unleveraged betas
c. Usefulness and interpretation of the Greek letters for corporate valuation
d. Application to a corporate valuation
e. Option on option and the Geske formula
Teaching methods
Lectures and Excel simulations around options pricing
Individual work
No specific individual work
Evaluation
Written test after the last course (2 hours)
Strategies for International Expansion

Lecturer: Olivier SCHAEFFER International & Development MD Sephora Europe
___________________________________________________________________
Presentation
This lecture aims at getting you acquainted with the strategy and the mechanisms for the
expansion of an international business.
___________________________________________________________________
Course objectives
After a successful lecture:
you will understand the objectives and conditions for the development of an multinational
corporation
you will know its most-used practices
you will be able to understand the thinking-process driving the expansion
This lectures objective is not to elaborate specific techniques or systematic methods but to
uncover the key steps and factors affecting decisions for an international expansion.
___________________________________________________________________
Course structure
5 sessions of 2 hours each
1 test of 1 h 30
___________________________________________________________________
Course Contents
During this lecture, we will deal with the following themes:
Objectives and conditions for the expansion of an international business
Ways of expansion:
organic growth on the domestic market
organic growth on foreign markets
franchise
capitalistic partnership
acquisition
The retailing sector shall provide us with most but not all examples of applications.
___________________________________________________________________
Pedagogical methods
The approach definitely wants to be inspired by practice, mixing finance and strategy. We
will allocate most of our time to real-life case studies and interactive exchanges. During the
lectures, no slide will be displayed nor any textbook provided. Students are expected to take
personal notes.
___________________________________________________________________
Personal work
Readings
Preparation of case studies
In order to get a better understanding of the lecture, you will have minimal knowledge in
accounting and finance (reading of financial statements and financial aggregates) as well as in
corporate valuation (enterprise and equity values, DCF and multiples method).
___________________________________________________________________
Evaluation
Participation during the lectures
Final exam (1 h 30)
Topics on Valuation
Course Instructor: Didier Saintot, Director, KPMG Corporate Finance
Presentation
The course is taught by a professional that who has been involved in fairness opinions /
restructuring / M&A engagements in a US investment bank, and who is now a Director at KPMG
Corporate Finance.
This course has been part of the accelerated track of the MS in International Finance for 8 years,
and is now open to Grande Ecole students.
Course objectives
The objective of the course is to provide students with analytical tools and skills on valuation
required for analysts / associate positions in investment banking and investment management /
hedge funds.
Format
4 x 3 hours = 12 hours
Course content
The course relies on a combination of interactive presentations and case studies inspired by real
world situations.
The course will cover usual methodologies as well as advanced technical topics (alternative
terminal value methodologies in the DCF approach, valuation in emerging countries, distressed
companies valuation, intangible assets valuation, etc.).
Teaching methods
The course consists of a presentation of a slideshow by the teacher that is supported by Q&As with
students.
Individual work
The individual work relies on readings of relevant books and articles.
Some exercises will be presented by students over the course of the lesson.
Evaluation
Participation and presentation of case studies.
Final exam (case study).
EQUITY CAPITAL MARKETS

Isabelle Salan
Presentation : This 12-hour course develops the basic framework necessary to understand the
Equity market and Capital raising. The course is organized in four parts. The first part
covers the market description, including the different market participants. The other parts
deal with capital raising: IPOs, Capital increases and Equity-linked products. Each of these
topics will be covered theoretically and through European case studies.
Course objectives: to have a good understanding of the market functioning and the way to
raise capital
Format : 12 hours (6 sessions)
Individual work: Case studies will be solved at home and discussed in class. Studends will be
encouraged to work in groups.
Evaluation: One hour exam in class plus participation and case studies
The Conduct of Debt Restructuring Transactions

Professeurs vacataires :
Jean-Franois Cizain (MSFI 96) Founder Special Debt Solutions Ltd.

Yann Dever (ESCP 98) Associ Grant Lazard Frres
Presentation
How to conduct balance sheet restructuring of companies in financial difficulties. Understand the
players, the stakes, the implementation tools (financial and legal) and the conduct of the
negociations
Course Objectives :
Understand (i) different types of restructuring (liquidity driven vs solvency driven ), (ii) the conduct
of debt restructuring transactions under French Law (iii) overview of the different European
restructuring regimes (iv) the roles of the various players involved : company, shareholders,
creditors (senior, junior, derivatives), suppliers, the court appointed administrator, the Unions, the
State via the CIRI or the Mediateur du Credit, the Court, the advisors, the distressed debt funds (v)
the various implementation mecanisms : amicable settlement (mandat ad hoc, conciliation), non
amicable court driven settlement (sauvegarde acclre, sauvegarde financire acclre,
sauvegarde, redressement judiciaire)
Format :
6 sessions (12 hours in total)
4 sessions presenting (i) the different types of debt (ii) how to assess when a financial restructuring
is needed, (iii) players involved and their respective role, (iv) how to elaborate a restructuring
proposal (v) how to implement a restructuring plan.
One session reviewing recent case studies with the presence of a leading Administrator,
One session dedicated to the presentation and correction of the cases prepared by the students
Teaching Methods
First four sessions cours magistral. Interactive session on case studies with one Administrator.
One interactive session reviewing the case studies prepared by the studient
Individual work :
Reading the course material + preparation of one case study
Evaluation : Case studies prepared and presented by groups of 6 to 8 students
STRUCTURED FINANCE
Responsable du cours : Alain POIRSON, Bruno TASSART
pour les Professeurs vacataires : Head of Corporate Risk BNP Paribas ; Structured Finanace Advisor BNP Paribas :
Presentation
Presentation
Corporations continuously develop new projects and new strategies with a view to acquiring and developing
a competitive advantage over their peers. The role of financing departments has become increasingly
important as the appropriate form of financing is essential to the success of an industrial strategy.
Banks have designed new products and set up specialized teams Structured Finance activities - that are
able to structure tailor-made financing transactions to offer solutions to their clients and answer their needs
while matching the risk appetite of the banks and investors.
The ability to sell them into the markets is intrinsically linked to those financings
Structured Finance encompasses very specific forms of transactions that are designed to match particular
events or projects such as Corporate Acquisitions Financings ,Leverage Buy Outs, Asset financing , Project
financing
Objectifs du Cours
Course objectives
The objective of this course is to highlight the respective objectives and constraints of corporations as well
as financial institutions and investors, to analyze in detail how the main type of transactions in the
Structured Finance world are structured and negotiated and what are the key parameters for each of them
A number of examples, inspired by real transactions, will be developed in the form of case studies.
Droulement du cours
Format
20h split into 2 or 4h working sessions..
They will be conducted in English
Contenu
Course content
Corporates; Banks, Investors : objectives, needs, constraints

Syndicated loans : the common building block of most structured finance transactions
Financing products
Corporate Acquisition finance : Acquisition is often a major event in the life of a corporate as
it triggers changes in the business and in the financial structure of the company.
LBOs : Private Equity funds are emerging as major investors for a large spectrum of
companies with specific financing and management techniques.
Project Finance : Project Finance techniques are necessary to raise the large financing needed
for major industrial and infrastructure projects. The development of large energy related
projects and of public private partnerships has lead to a continuous development of the project
finance market.
Asset Finance : specific assets such as ships or aircrafts are financed through specific
techniques which take in account not only the potential revenues but also the intrinsic value of
the asset.
Commodity Finance : From the producer to the end user, most commodities are traded through
specialized companies, such trading requires specific form of short term financing.
Derivatives : The course will focus on counterparty risk resulting from derivative instruments,
the techniques used to mitigate these risks and their potential consequences on corporates. The
course will not cover the market risk aspects or the pricing models.
Mthodes pdagogiques
Teaching methods
Lessons followed by quizz on previous lesson and case studies.
Travail personnel
Individual work
A number of examples, inspired by real transactions, will be developed in the form of case studies. Two
cases studies to be performed by group of 4.
Evaluation
Evaluation
10% based on short quizzes during the working sessions
30% based on case studies
60% based on the final test
TITRE DU COURS : Fiscalit lusage des financiers
Responsable(s) du cours : Martine Rossetti
___________________________________________________________
Prsentation et objectif(s)
Lambition de ce cours est de fournir aux tudiants :
- les notions cls du cadre fiscal appliqu aux oprations financires ;
- les connaissances indispensables pour dialoguer efficacement avec les
fiscalistes de lentreprise.
___________________________________________________________
Contenu
Thme 1 : Lentreprise, ses rsultats et limposition de ses actionnaires :
panorama des enjeux fiscaux
Thme 2 : Pilotage des rsultats, libert de gestion et limites fiscales.
Comment lentreprise peut-elle minimiser limpact des mesures
fiscales restrictives : lenjeu de loptimisation fiscale face des
notions telles que lacte anormal de gestion ou labus de droit.
Thme 3 : Focus sur le traitement fiscal des groupes : rgime holding du
portefeuille-titres, traitement des charges de la holding et enjeux
de son activation (dductibilit de lIS, dtaxation de TVA,
minimisation de taxe sur les salaires), rgime de lintgration
fiscale
Thme 4 : Larsenal fiscal franais contre la localisation de la dette en
France : disposition anti sous-capitalisation, amendement Charasse,
disposition anti-hybrides, etc.
Les LBO, des structurations qui synthtisent les principales
problmatiques fiscales.
Thme 4 : Flux financiers internationaux : quel Etat les taxe et comment ?
Le jeu des rgles nationales face des oprations internationales.
Introduction la fiscalit internationale : territorialit des impts
et partage dimposition entre Etat source du revenu et Etat de
rsidence du bnficiaire, rle et mcanismes des conventions
internationales
___________________________________________________________
Mthode pdagogique
Alternance dexpos du professeur et de discussion. Un poly est fourni : il
reprend les prsentations faites en sance, des documents dactualit et
danalyse et des noncs de cas dapplication illustrant les thmes traits. Ces
cas sont prparer par les tudiants et corrigs en sance. Des corrigs crits
sont fournis pour chaque cas.
___________________________________________________________
Droulement du cours
4 sances de 3 heures
___________________________________________________________
Evaluation
100% test final
TREASURY MANAGEMENT IN A MULTINATIONAL CORPORATION

Instructor : Benoit Rousseau, Fromageries Bel
Presentation
This course aims to introduce students to the operational management of the
Treasury Management department of a multinational corporation.
Objectives
The course will introduce students to the different approaches to exchange risk
management, interest rate risk management, liquidity management, funding in
emerging countries, relations with banks, auditors and regulation organizations,
relations with other departments in the company (management control, accounting,
legal and fiscal departments, financial communication) and cash management.
Particular attention will be paid to the IAS impacts ( IFRS 39) and the legal aspects of
corporate finance operations.
Population
The course is designed for students aiming for a career in derivative sales for
financial institutions, in auditing/consultancy firms, or in corporate finance for
multinational corporations. The course is in French with slides in English
Content
Four 3/4-hour sessions:
Session 1: Liquidity Management: Corporate funding solutions and funding
solutions in emerging countries.
Negotiating bank loans and their legal aspects :(3 H)
Session 2:
The different types of foreign exchange risks. The different exchangerisk management approaches according to underlying activities/sector
Interest rates and raw material risk management
Impacts on the IFRS accounting standards. (3H)
Session 3:
Cash management inside a multinational corporation: Cash pooling,

payment factory, netting (3 H)
Session 4:
Presentation by the different workgroups of a Reference Document

study regarding the treasury and funding risk management aspects of a
large corporation (4H)
Pedagogical Methods
Presentation
Case study: teams of 3 or 4 students will be asked to study and report on the
principles and exhibitions as presented by a certain number of multinationals in their
Reference Document.
Evaluation
In-class participation and presentation of the case study.
Fixed-Income Emerging Markets

Perrine MORA FONTAINE, London
Presentation
Born out of the small-scale trading of Mexican defaulted loans 25 years ago, Emerging Markets
have become a mainstream asset class, a must have.
EM regularly outperform, as in 2012 when they beat everything, from commodities to equities and
govies, for virtually the 4th year in a row. More recently however, volatility has returned driven by
default (Argentina), volatile politics (eg Brazil, Russia), collapsing commodity prices.
Making sense of EM can prove difficult. The scale of risk / return, where spectacular failures can
lead to spectacular successes (Russia on both counts), is unusual. Unconventional pricings can hold
for long periods (USD/CNY). Liquidity is often patchy. And as the world of easy money comes to
an end, there is concern that EM will be hit disproportionately hard.
The course will combine case study work as a tool to understand market dynamics with lectures on
topical EM issues. Extensive use will be made of real-life market situations.
Course objectives
- Analyse the risk / return dynamics of EM fixed-income assets as an investor.
- Understand their specificities in relation to core markets.
- Look at EM debt / FX regimes from the viewpoint of borrowing countries.
- Put into perspective the decoupling / recoupling themes.
Format
3 lectures of 4 hours each in English. Test (1/2 hour).
Course content
1- What are Emerging Markets? From external debt as EMs starting point to local markets as its
most profitable and innovative part today. Default risk versus inflation and FX risk.
Case study: combine macro overview of selected sovereigns with asset analysis and core market
view to build a portfolio of real-life external debt and local debt assets.
2- How FX and debt issues are intertwined. FX as a key element to solvency; the specificities of
emerging economies. Analyse the impact of currency volatility in Argentina and Brazil.
Understand traders positioning on Chinas CNY.
Case study: evaluate decisions based on actual asset behaviour.
3- A changing universe. EM in theory and in practice.
Teaching methods
Lectures ; case study. The course is empirical and hands-on rather than theoretical and quantitative.
Students are expected to participate actively to class discussions.
Individual work: case study as part of a group; multiple choice test (1/2 hour in session 3)
Evaluation
A combination of class involvement, case study work and individual test results.
COURSE TITLE : Advanced Asset Pricing
Instructor : Nizar TOUZI

___________________________________________________________
Presentation and objective:

This course provides an introduction to continuous-time models for the valuation
and hedging of derivative securities. Our objective is to provide the students
with the necessary modeling skills in continuous-time, so that they can be
familiar with the classical models in financial engineering together with their
limitations. From the technical viewpoint, we expect the students at the end of
course to master the stochastic analysis in the gaussian case.
___________________________________________________________
Content :
The first lectures build the continuous-time approach for the theory of hedging
and valuation in the context of complete markets. We will then focus on the
Black and Scholes model and its various extensions. Lookback options will be
analyzed in this context, and we shall focus on their static hedging methods. The
practical use of the Black-Scholes model is connected to the problem of
calibrating the volatility surface. We develop the theoretical results related to
the local volatility model and the corresponding Dupires equation. We next
discuss the recent extensions which account for the funding problems, and we
address the context of American derivatives where the valuation and hedging
reduce to optimal stopping problems. We next move to the fixed income theory.
We start by factor models, and introduce the Heath-Jarrow-Morton model
which automatically fits the interest rate model to the current yield curve. We
finally extend the theory to the multi-currency context, and provide application
to the pricing and hedging of hybrid derivatives.
___________________________________________________________
15 sessions of 2 hours each,
Including tutorial sessions for problem sets solving
___________________________________________________________
Evaluation:
Written exam, 2 hours
MODELING TECHNIQUES FOR FINANCIAL ENGINEERING

TECHNIQUES DE MODELISATION POUR LINGENIERIE FINANCIERE
Philippe HENROTTE
Affiliate Professor Partner ITO33
henrotte@hec.fr
Presentation
Building on the Derivatives core course and the Advanced Asset Pricing elective, this course
describes practical numerical solutions to evaluate a wide array of derivative instruments, mostly
from the equity and fixed income worlds. Each lecture leads to an Excel based simulation exercise
highlighting the techniques developed in class. We cover in particular the modeling of jumps,
stochastic volatility, credit and interest rates. We analyse vanilla options, some exotic instruments
such as barrier options, hybrid instruments such as the convertible bond, some simple interest rate
derivatives and finally volatility derivatives such as VIX futures and options.
Textbook
The textbook for the course is: Options, Futures, and Other Derivatives by John C. Hull
(Seventh or Eigth Edition), Pearson. Some additional reading material will be provided in electronic
format ahead of the lectures.
Format
5 lectures of 3 hours each.
Course content
- Lecture 1: Jumps. Excel workshop 1: the role of jumps on the short term smile, pricing of a
barrier option.
- Lecture 2: Regimes. Excel wokshop 2: stochastic volatility and credit risk through a simple
regime switching model. Pricing of a CDS contract, the role of stochastic volatility on the
long term smile.
- Lecture 3: Convertible Bond. Excel workshop 3: the optimal exercises of the call by the
issuer and of the conversion and of the put by the bond holder.
- Lecture 4: Interest Rates. Excel workshop 4: pricing of a simple interest rate derivative
through an arbitrage free stochastic yield curve model.
- Lecture 5: Volatility Derivatives. Variance swaps, futures and options on the VIX index.
Teaching methods
- Lectures in class.
- Introductory and post lecture reading materials.
- 4 Excel based computer simulations done in group (suggested size from 2 to 3 students, no
knowledge of VBA required).
Evaluation
- 25% on four individual short quizz at the start of Lectures 2 to 5. Each quiz lasts 10 minutes
and covers the material of the preceding lecture.
- 50% on group works on the 4 Excel based simulations.
- 25% on the final written exam (one hour, during the test week).
BOND PORTFOLIO MANAGEMENT

Affiliate Professor at HEC Paris
Head of Multi Asset
HSBC Global Asset Management
Email : jean-charles.bertrand@hsbc.fr
Presentation
The course offers an overview of the strategies and instruments implemented in bond portfolios.
Theoritical and practical aspects of interest risk and credit risk are covered.. Recent development
and innovations in bond markets are also presented : emerging bonds, inflation-indexed bonds .
The course focuses on the use of quantitative techniques.
Objectives
The course aims to offer students an overview, both theoritical and practical, to the main techniques
used in the management of bond portfolios. Analysises of current market situations are made.
Course schedule
This 18-hour course is divided in 6 sessions.
Content
The first three sessions are devoted to interest rate risk. Basic risk measures like duration and
convexity are presented. Modern interest rate risk management techniques are also covered : key
rate durations, factor analysis. The other sessions are dedicated to the analysis of credit risk and
specific bond instuments. Credit risk is studied in details : default probability and ratings, credit
spreadsQuantitative techniques are presented with a focus on Merton approach. Recent
innovations in bond markets are also covered : inflation linked bonds and emerging bonds in local
currencies.
Pedagogical methods
Lectures and classroom discussion
Evaluation
Final test
HEC 2014-2015
Session 1 : Money Markets and basic concepts

- Money markets : instruments and players, Central banks role
- Basic concepts : zero coupon rates and yield to maturity , forward rates, bond returns
- Theories of the Term structure
Session 2 : Building zero-coupon curves and simple interest rate risk mesaures
- zero-coupon curves : bootstrapping methods and analytical approaches (Vasicek Fong)
- simple interest rate risk measures : duration and convexity
Session 3 : Beyond duration : modern approaches for interest rate risk management
- Taking into account yield curve changes and zero-coupon rates
- Key Rate Durations (Ho)
- Factor approach based on Principal Components Analysis (Scheinkman and Litterman)
Session 4 : Investment strategies
- Overview of fixed income strategies
- Trading on interest-rate predictions
- Trading on mispriced securities
Session 5 : Credit risk
- Overview of corporate bonds
- Ratings and default probabilities
- Dfinitions of credit spread and asset swap spread
- Credit risk modeling : structural models (Merton) and reduced form models ( Jarrow Turnbull)
- Credit VaR
Session 6 : Emerging bonds and Inflation-linked bonds
- Emerging bonds : market overview, bonds in local currency and hard currency
- Inflation-linked bonds : characteristics, comparison with traditional bonds, valuation
THE CREDIT CRISIS: Historical and Technical Analysis

Lecture by Alexandra Prigent
Course Overview
The purpose of the course is to understand the dynamics that triggered and spread the
Credit Crisis: from the Subprime Crisis early 2007 to the global liquidity crisis. The
course combines both technical and historical aspects.
Schedule
4 sessions of 3.50 hours over 2 days
Content
1- Credit Fundamentals:
Secured/Non-Secured financing
Recourse/Non-Recourse financing, collateral and margin calls
Refresh on financing methods and debt instruments
2- The Subprime Crisis
Introduction to the Asset-Backed Securities market
What are Subprimes? Definitions, mechanics and players
The Crisis: chronology, originators bankruptcies, "negative equity" and moral hazard
3- Contagion Mechanisms
Conduits, CDO and SIV
Monolines, Reinsurers and quasi-sovereign Agencies
"Deleveraging", "Fire Sale" and anti Flight to quality
4- Banks in the Crisis
Capital and Regulatory treatment
Off-Balance Sheet and Tail Risk consolidation
Inter-dealer financing and market risk
5- Business Cases:
Extracts of Too big to fail, directed by Curtis Hanson
Liquidity Crisis - Dislocation of the Credit Market: Negative basis, Leveraged Loans vs.
High Yield bonds
Teaching Methods
- Lecture
- Market Data analysis
- Business cases & videos
Students Home work
- Reading of academic and bank research materials
Grade
- Multiple Choice Tests
TITLE OF THE COURSE :
Energy Markets
Course Responsible :
Jean-Pierre FRANCOIS
Global Head of Market Making, GDFSUEZ Trading
Presentation
The energy markets are experiencing new developments. Access to information is easier, more regulation
is ongoing, banks and trading houses are implementing diverse strategies. Electronic platforms facilitate
speed, transparency, large and frequent changes in price direction. In addition, markets are much more
connected.
The course tends to give the students a global understanding and an operational approach of energy
trading in this new context, with a specific focus on Oil and Gas markets.
Course objectives
-
Understanding energy markets structure and drivers

Understanding how to elaborate and implement trading strategies
Understanding an energy trading company organization
Format
12 h 4 courses x 3h
Course content
-
Physical energy markets : fundamentals overview

Financial energy markets : price structure, trading instruments, with a focus on Oil and Gas
Energy price risk : identify, measure and hedge
Trading strategies : elaborate and implement
Case studies and quick exercices
Real life examples from the trading floor
Teaching methods
Based on slides, several exercices and cases are performed during the courses.
Evaluation
Test (2 h)
GEM2FIE010
ETHICS: FINANCIAL ANALYSTS & PORTFOLIO MANAGERDS
Responsable du cours : Nathalie COLUMELLI, Consultante @ Finance Training
_____________________________________________________________________________________
Presentation and objectives
- Abstract
Excerpt from the Standard of Practice Handbook, CFA Institute, 10th edition
The CFA Institute Code of Ethics and Standards of Professional Conducts goal is to set the highest
standards for education, integrity, and professional excellence. Such standards are critical to maintaining
and recovering publics trust in financial markets and in the investment profession.
- Learning objectives
This course objective is to increase the students awareness of the importance of ethics.
They will learn, from their own experience and the analysis of the CFA Institute code of ethics and
Standards of Practice Handbook as well as movies. The students will
Have an overall knowledge of the CFA Institute code of ethics
Identify the best standards of professionalism and integrity
Identify unethical behaviors and take appropriate corrective actions
Adopt and Use a framework for ethical decision-making
_____________________________________________________________________________________
Schedule
10 hours - 3 sessions
_____________________________________________________________________________________
Content and Methods
- Content
Reference frame and scope: Capital Markets, Financial analysis departments, and Asset management
teams.
Key concepts: Law, codes and regulation, Professionalism, diligence, fiduciary duties, respect, suitability,
fair representation, transparency, Conflicts of interest, disclosures, transparency.
- Methods
Analysis of the CFA Institute Standards of Practice handbook, Debates, Case studies and Movies
Class preparation is critical to success in this course. You are expected to:
Watch movies between the first and the last session. (see list on the bibliography section)
Participate in class discussions
Read the assigned material (slide show) in order to prepare for the exam
N Columelli
_____________________________________________________________________________________
Course Structure
Session 1 16/01/2015
CFA Institute Code of Ethics and standards of practice handbook

o Theory: Law, rules & regulation, professionalism, Fiduciary duties
Ethics questions
- Session 2 05/02/2015
Return the personal case (Maximum 2 pages, Word document Arial 12)
CFA Institute Code of Ethics and standards of practice handbook
o Theory: Fair representation & Conflicts of interest
Ethics questions
- Session 3 09/03/2015
- Final exam:
o Movie excerpts and analysis 1:45
o Final Test : 20 MCQs 0:45
_____________________________________________________________________________________
Evaluation and Grading
The students need to attend all 3 sessions.
Final score = Final exam mark + Personal case mark + Movie analysis mark.
The Final exam (80%)
The personal case is a (valid) paper returned via e-mail at the latest on the 2nd session
The movie analysis is undertaken during the 3rd session and before the final exam (12%)
Open books, but computers turned OFF for the essay, movie analysis and final exam.
_____________________________________________________________________________________
Bibliography and Filmography
The Standards of practice Handbook, 11th edition, CFA Institute, 2014. Free download at
http://www.cfapubs.org/doi/pdf/10.2469/ccb.v2014.n4.1
Strategic Management Theory: An Integrated Approach, Charles Hill, Gareth Jones. Chapter 11,
Corporate Performance, Governance, and Business Ethics, 9th edition 2012
Sarah Peck: Investment ethics, 2010, Wiley
Michael Mc Millan: Ethical Decision Making workshop, 2011
Press articles
o Robert Prentice: Ethical decision making, 2007, Financial Analyst Journal
o Lori Pizzani: Blowing it, 2011, CFA magazine
o William Bernstein: Corporate finance and original sin, 2008, Financial Analyst Journal
Movies (available at the Libray in yellow)
o The Corporation (Mark Achbar & Jennifer Abbott, 2007)
o Wall Street I and II (Oliver Stone, 1987)
o Lets make money (Erwin Wagenhofer, 2009)
o Crime and misdemeanors (Woody Allen, 1989)
o Rogue Trader (James Dearden, 2000)
o Enron, the smartest guys in the room (Alex Gibney, 2005)
o Erin Brokovitch (Steven Soderbergh, 2000)
o The insider (Michael Mann, 1999)
o Thank you for smoking (Jason Reitman, 2006)
N Columelli
o
o
o
o
o
o
N Columelli
Inside job (Charles Ferguson, 2010)

The constant Gardener (Fernando Meirelles, 2005)
The Flaw (David Singleton, 2010)
Frontline : the warning (Michael Kirk, 2009)
Serpico (Sidney Lumet, 1973)
The wolf of Wall street (Martin Scorcese, 2013)
FINANCIAL ENGINEERING AND DERIVATIVE PRODUCTS

Olivier BOSSARD
Introduction
The aim of this course is to introduce the fascinating world of Structured Products: how they are
engineered, traded and risk-managed in the dealing rooms of Londons Square Mile and New
Yorks Wall Street. Students will examine the cutting edge mathematical models behind these
products as well as getting an insight into the real world pragmatism of traders who risk-manage the
most complex and intricate risks of the financial markets in the 21st century.
This course is being offered for the 17th consecutive year to the Masters alumni, although with
significant additions/updates every year, especially after the financial crisis, which brought drastic
changes to the world of Structured Products since 2008.
Course objectives
Taught by an experienced practitioner of Derivative Trading, this course bridges the gap between
the most advanced quantitative models and their practical application by the various players of the
financial arena: Traders, Salespeople, Structurers, and Financial Engineers working in dealing
rooms, as well as Company Treasurers, Fund Managers and Speculators. Students will gain
exposure to modern financial theory as it is applied in the professional world, giving them a
headstart for when they enter the fast-paced and competitive securities industry themselves.
Format
This 30-hour course is structured as 10 intensive sessions of half-a-day each (very often, morning
and afternoon sessions combined) in order to allow an in-depth approach of the topics.
The first part of the course (5 half-days) is articulated around key concepts from the theory of
Derivative Products, presented in lecture form.
The following 3 half-day sessions are organised as practical Workshops on PC (pricing simulations,
model development and portfolio management). The last two sessions have a more interactive
focus, and students will present case studies in groups of 2 or 3.
Course content
The founding concepts of Stochastic Calculus and Financial Engineering are illustrated through the
introduction of complex Derivative Products: Barrier Options, Multi-asset Options, Hybrids, etc.
Beyond the theoretical valuation, risk-management of Exotic Options (1st, 2nd and 3rd order, cross
partial-differential risks, etc.) is also discussed in practical environment, with the particular
involvement of real constraints, such as the impact of speculation or illiquidity on the behaviour of
financial markets.
Teaching methods
This course requires a very solid mathematical background, but more in terms of capacity of
analysis rather than knowledge mechanically accumulated.
During both the Teaching Lectures and the Workshop sessions, the students ability for abstraction,
their analytical skills and the sharpness of their brain will be extensively challenged, as it would be
in a real Dealing Room (although without the stress and the adrenaline surge!).
Individual work and Evaluation
30% Participation, 50% Homework, 20% Oral Presentation

Instructor: Professor Matti Suominen, Aalto University
matti.suominen@aalto.fi
Presentation
This 18 - hour course is an introduction to quantitative asset management and quantitative
investment strategies used by hedge funds, mutual funds and other institutional traders.
Course Objectives
Learn about the most common quantitative hedge fund strategies. Become better in evaluating
whether a quantitative trading strategy will work also in the future (detect crowded trades).
Gain a better understanding of how securities markets work.
Format
6 lectures. Each lecture is 3 hours.
Course Content
We learn how some of the common trading strategies are implemented in practice. Our focus
is on trading strategies relying on academic research and in understanding the economic
rationale behind the trading strategies. We look at trading strategies in the equity, fixedincome, and currency markets. In addition, we review academic evidence on the effects of
quantitative trading strategies on hedge funds and mutual funds performance.
Teaching Methods
The course is based on lectures, Excel applications in class, and individual work.
Individual work
There will be required readings for some sessions as well as suggestions for extra readings for
students who want to learn more about particular topics. I will give two assignments during
the course (distributed in class). Preparation of these assignments is optional. If you choose to
prepare an assignment, please work in a team of three to four students. I will grade the
assignments and this grade will be added to your final score for the course (giving at
maximum 10% extra points). Each assignment must be handed in at the outset of the course
for which it is due. Late assignments will not be graded.
Evaluation
2 hours exam.
VOLATILITY MODELING
HEC Paris - Winter 2015
Laurent E. Calvet
calvet@hec.fr
http://ssrn.com/author=75695
www.hec.fr/calvet
SYLLABUS
Books:
Calvet, Laurent E., and Adlai J. Fisher (2008). Multifractal Volatility: Theory, Forecasting
and Pricing. Elsevier Academic Press. [CF]
Campbell, John, Andrew Lo, and Craig MacKinlay (1996). The Econometrics of Financial
Markets. Princeton University Press. [CLM]
1. Maximum Likelihood Estimation

*CLM: Technical Appendix on Estimation Techniques
Hamilton, James (1994). Time Series Analysis. Princeton University Press, ch. 5.
Newey, Whitney, and Daniel McFadden (1994). Large sample estimation and
hypothesis testing. In Handbook of Econometrics vol 4, Robert Engle and Daniel
McFadden editors, Elsevier North Holland.
2. Regime-Switching Models
*Hamilton, James (1994), ch. 22.
*Hamilton, James (2008). Regime-switching models. In The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E.
Blume. Palgrave Macmillan.
3. Dynamics of Financial Returns

a. ARCH and GARCH
*CLM, ch 12.2: Models of Changing Volatility
Bollerslev, Tim (1986). Generalized Autoregressive conditional heteroskedasticity.

Journal of Econometrics 31, 307-327.
Bollerslev, Tim, Robert F. Engle, and Daniel Nelson (1994). ARCH Models. In
Handbook of Econometrics vol 4, Robert Engle and Daniel McFadden editors,
Elsevier North Holland.
Engle, Robert F. (1982). Autoregressive conditional heteroskedasticity with the
estimates of the United Kingdom inflation. Econometrica 50, 987-1008.
Hansen, Peter, and Asger Lunde (2005). A forecast comparison of volatility models:
Does anything beat a GARCH(1,1)? Journal of Applied Econometrics 20, 873-89.
Pagan, Adrian, and William Schwert (1990). Alternative models for conditional stock
volatility. Journal of Econometrics 45, 267-90.
West, Kenneth, and Dongchul Cho (1995). The predictive ability of several models
of exchange rate volatility. Journal of Econometrics 69, 367-91.
b. Stochastic Volatility
Andersen, Torben, and Luca Benzoni (2008). Stochastic volatility. In Encyclopedia
of Complexity and System Science, ed. B. Mizrach. Springer.
Ghysels, Eric, Andrew Harvey, and Eric Renault (1996). Stochastic volatility. In
Handbook of Statistics, eds. G. S. Maddala and C. R. Rao 14: 119-91.
Hull, John, and Alan White (1987). The pricing of options on assets with stochastic
volatility. Journal of Finance 42, 281-300.
Taylor, Stephen (1986). Modeling Financial Time Series. John Wiley and Sons.
Wiggins, J. B. (1987), Option values under stochastic volatility: theory and empirical
estimates, Journal of Financial Economics 19, 351-372.
c. Multifrequency Modeling
*CF, ch. 1-4.
*Calvet, Laurent E., and Adlai J. Fisher (2004). How to forecast long-run volatility:
regime-switching and the estimation of multifractal processes. Journal of Financial
Econometrics 2, 49-83.
Calvet, Laurent E. (2008). Fractals. In The New Palgrave Dictionary of Economics.
Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan.
Calvet, Laurent E., and Adlai J. Fisher (2001). Forecasting multifractal volatility.
Journal of Econometrics 105, 27-58.
Calvet, Laurent E., Adlai J. Fisher, and Samuel B. Thompson (2006). Volatility
comovement: a multifrequency approach. Journal of Econometrics 131, 179-215.
Calvet, Laurent E. and Adlai J. Fisher (2013). Extreme risk and fractal regularity in
finance. Contemporary Mathematics, Vol. 601, American Mathematical Society.
Lux, Thomas (2008). The Markov-switching multifractal model of asset returns:
GMM estimation and linear forecasting of volatility. Journal of Business and
Economic Statistics 26, 194-210.
d. Pricing Multifrequency Risk

*CF, ch. 9-10.
Calvet, Laurent E., and Adlai J. Fisher (2007). Multifrequency news and stock
returns. Journal of Financial Economics 86, 178-212.
Calvet, Laurent E., Marcus Fearnley, Adlai J. Fisher, and Markus Leippold (2013).
Whats beneath the surface? Option pricing with multifrequency latent states.
Forthcoming in Journal of Econometrics.
4. Term Structure of Interest Rates

Calvet, Laurent E., Adlai J. Fisher, and Liuren Wu (2010). Dimension-Invariant
Dynamic Term Structures. Working paper, HEC Paris.
Dai, Qiang, and Kenneth Singleton, 2000, Specification Analysis of Affine Term
Structure Models. Journal of Finance, 55(5), 19431978.
Dai, Qing, and Kenneth Singleton, 2003, Term Structure Dynamics in Theory and
Reality. Review of Financial Studies, 16(3), 631678.
Duffie, Darrell, and Rui Kan, 1996, A Yield-Factor Model of Interest Rates.
Mathematical Finance, 6(4), 379406.

Frdric ROBERT
__________________________________________________________________________________
Outline
Derivatives and Structured Products; one of the fastest growing markets in Finance. Who uses them and why? But
what are they exactly? How are they engineered and what purpose do they serve?
The world of Derivatives and Structured Products remains obscure for those who do not have a reason to use them.
Their flexibility coupled with the endless imagination of structurers and mathematicians makes them a key component
of any investment portfolio or Risk Management strategy. They can be found in the books of every single decent size
corporate or financial institution. They can be used by asset managers, hedge funds, wealth managers, retail networks,
insurance companies, corporates all different sets of constraints, different sales cycles, but at the heart of them all
the same financial techniques and mechanisms.
They are structured, put together, to meet the requierments of clients/users who can be very sophisticated about
derivatives or purely focused and interested in the output, the end product. To achieve that requires a good knowledge
of the derivatives themselves, but also their legal and regulatory framework, tax implications... and above all of the
clients circumstances. The structurers or marketers as they are sometimes called are conductors, having to make all
the musicians bring their skills sets to the music, but remain in charge of the delivery.
__________________________________________________________________________________
Courses Objectives
1) Grasp the nature of that market and get a better understanding of the tools and mechanisms involved.
2) Look into the underlying demand, who uses those products and why.
3) understand better the role and function of a structurer, his/her roles and responsibilities especially regarding the
clients.
__________________________________________________________________________________
Course Structure
4* 3-hours sessions.
__________________________________________________________________________________
Table of content
1. Derivatives: Products in their own rights or tool box?
2. Strategies and products used by fund managers and wealth managers
3. Structured MTNs
4. Structuring complex transactions through three live cases
5. Retail products: a few examples?
6. Corporate Derivatives
7. Credits Derivatives.
8. Alternative Investments
__________________________________________________________________________________
Grading
- Lectures attendance
- Participation and interests in courses
- Relevant subject knowledge demonstrated during courses
- Short paper on a related subject
Numerical Analysis
Tutor : Ahmed Kebaier

___________________________________________________________
Presentation:
The aim of this course is to introduce the basic numerical methods needed
for quantitative work in finance. To this avail, the course will provide a detailed
study for computing risk measures and for pricing and hedging financial options.
The main algorithms presented will be implemented and studied with Scilab or
Matlab.
Aim
Aim
Aim
Aim
Aim
1 : Introduction to Programming with Scilab or Matlab

2 : Computing Value at Risk and Backtesting
3 : Monte-Carlo simulation and variance reduction techniques
4 : Computing options prices and associated Greeks
5 : Discretization schemes for stochastic differential equations
___________________________________________________________
Syllabus:
1- Computing and backtesting Value at Risk
2- Variance reduction and Monte Carlo simulation
3- Computing Greeks for exotic options
4- Numerical methods for pricing American options
5- Approximation schemes for stochastic volatility models and convergence
rates.
___________________________________________________________
Total load: 30h in English
10 sessions of 3 hours reparted between 15h of lectures and 15h of practical
implementation on computer.
___________________________________________________________
Evaluation:
Personal project written on a final report.

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_________________Groupe H E C___________________

Majeure Finance & masters in

FIRST SEMESTER COURSES

HEC Majeure Finance + MIF Business track : Curriculum 2014/2015

Core MIF Business

FALL 0 - Introduction week

Soft Skills Seminar

Probability and Statistics Refresher

Interest rates Bulding Blocks

Corporate Finance Theory

Financial Statement Analysis

Block Elective CF (*)

Empirical Methods in Finance

Mergers and Acquisitions

Securities Markets: Mechanisms, Liquidity and Investment Decisions

Block Elective CM/AM

Block Elective CF (*)

Block Elective CF (*)

Spread over F2 and

same course given in

Financements structurs (in French, F2)

Financial Dimensions of Strategic Decisions

Fery / Bruyre / Bertrand

Macroeconomics of Crises Economies

Cases in Strategic Management

Corporate Strategy and Financial Institutions

Sustainable and responsable investment

Economie et gestion bancaire (in French)

Advanced Financial Accounting

Energy and Finance

Credit Risk and Turnaround of Distressed Companies

Financing Decisions of Firms

LIST OF ELECTIVES IS SUBJECT TO CHANGE - FINAL LIST

heavy work load

LBO Structuring and Modeling in Practice

Legal and Contractual Aspects of Corporate Finance

International Expansions Strategies

Equity Capital Markets

Conduct of Debt Restructuring Transactions

Fiscalit l'usage des financiers (in French)

Treasury Management (in French)

Fixed Income Emerging Markets

Advanced Asset Pricing

Modeling Techniques for Financial Engineering

Bond Portfolio Management

Credit Crisis: Historical and Technical Analysis

Ethics : Financial analysts and Portfolio managers

Financial Engineering and Derivative Products

Quantitative Asset Management

Origination of Structured Products

Core Courses (general)

Core courses (corporate finance)

Block Electives (CF)

Electives (corporate finance)

overlap with core

FALL 1 & FALL 2

Probability and Statistics Refresher

ASSET MANAGEMENT : GENERAL PRESENTATION

Lecture 1 : Overview of the asset management industry

Lecture 2 : Indexing strategies

Lecture 3 : Portfolio insurance and guaranteed funds

Lecture 4 : Active investment management

Lecture 5 : Forecasting asset class returns

_Groupe H E C___