- •Financial market: notion, structure and infrastructure.
- •Notion, functions, types of financial intermediaries. Financial intermediaries in Russia.
- •International foreign exchange market: functions, participants, operations.
- •Foreign exchange risks: definition, types, insurance methods.
- •3 Types of currency risk:
- •Definition and types of exchange rates. Exchange rate forecasting, currency parity. Factors of exchange rates.
- •Foreign exchange regulation: purposes and instruments.
- •International securities market: definition, structure, participants.
- •Financial system of a country: structure, interrelation between the elements.
- •Budgetary system of a country: principles of construction, structure, Russian and foreign experience.
- •12. State budget revenues and expenditures.
- •Income distribution
- •13. Public debt and sources of its formation.
- •14. Federal budget of the Russian Federation: revenues, expenditures, modern peculiarities.
- •Imf's main responsibilities:
- •2.1 Over the counter (otc) and exchange-traded derivatives
- •2.2 Forward contracts
- •2.3 Futures contracts and their difference to forwards
- •2.4 Options
- •2.5 Swaps
- •Interest rate swaps,
- •19. Securities market regulation in Russia and abroad.
- •20. Professional activity on securities market.
- •21. The problem of risk and the notion of insurance. Functions of insurance company.
- •Insurance aids economic development in at least seven ways.
- •22. Features of corporate insurance products. Commercial insurance.
- •23. Notion and purpose of reinsurance. Types of reinsurance contracts.
- •25. Obligatory and voluntary types of insurance in Russia and abroad.
- •Voluntary:
- •Voluntary:
- •27. Bank liquidity: notion, analysis, regulation.
- •29. Bank’s credit risks: methods of evaluation and minimization.
- •Interest Rate Risk
- •30. International banks: transactions and risks.
- •31. Monetary policy: purpose, types, tools.
- •32. International credit: notion, functions, forms, tendencies.
- •33. Credit market: functions, participants, instruments, indicators.
- •34. Analysis of a borrower’s creditworthiness by banks.
- •7 Functions of financial management:
- •37. Structure of a company’s balance sheet. Analysis of assets and liabilities structure
- •39. Capital structure and company’s cost of capital.
- •42. Classification of sources of corporate financing.
- •Instruments
- •Issuing and trading
- •Valuation
- •Ipo via foreign bank
- •44. Corporate credit policy.
- •Various Types of Corporate Credit and Corporate Credit Policy
- •45. Types of financial risks, quantitative analysis.
- •46. Investment portfolio construction: calculation and analysis of risk and return.
- •48. Types of bonds, calculation of present value of discount and coupon bonds. Types of bond yield.
- •50. Capital Assets Pricing Model (capm).
- •52. Price structure and its components. Factors of a price.
- •53. Methods of pricing.
- •55. Profit taxation in Russia.
- •56. Taxation of foreign corporate entities in Russia.
- •57. Income taxation of individuals.
- •59. Tax planning: notion, purposes, stages.
46. Investment portfolio construction: calculation and analysis of risk and return.
Investment strategy – market expectations, personal preferences, etc.
Portfolio policies:
Objectives (risk of return) – tolerance, requirements, RR tradeoff. Define liquidity, horizon, regulations, unique needs, terms of a portfolio, horizontal planning.
Sphere of investment – real estate, venture, funds.
Regulations. Tax aspects. Double taxation avoidance. Unique needs of an investor.
Policies : assets allocation (Real Estate / Cash / Currency / Metals / Bonds)
Security selection; diversification. Techniques of security. Income generation aspects – increase of portfolio price, or dividends payoff?
R = E (wi * ri) – доходность (profitability determination)
Sigma_p^2 = (w1^2 * sigma1^2) + … 2w1*w2*sigma1*sigma2*cor(r1,r2) – risk of portfolio – is determined by level of risk of each bond and by correlation between them.
In evaluating credit risk, the ultimate measure is the risk of the entire portfolio. The portfolio risk is substantially less than the sum of the stand-alone risk, due to the effect of diversification within the portfolio. The purpose of portfolio management is, however, not just to determine overall risk, but to determine how to achieve the maximal return for the risk that is being taken. Three key points emerge from portfolio analysis:
The amount of diversification achievable in a portfolio depends on the correlations between default risks within the portfolio.
The amount of risk contributed by any asset to the portfolio’s net diversification depends significantly on how much of the asset is held in the portfolio.
Improving portfolio performance consists of including large numbers of assets and varying asset holding to bring each asset’s contribution to the portfolio risk into line with its contribution to the portfolio return.
The main thrust of portfolio theory, however, is not simply to measure risk, but also to show how, by changing the composition of the portfolio, the return and risk characteristics of the portfolio can be improved. Because expected loss and expected return are simple averages, increasing portfolio return is simple. One merely has to hold assets with higher expected returns. However, changing risk is more complicated because of diversification. Holding less risky assets reduces risk, but holding too much of any single asset increasing risk.
Portfolio theory concentrates on the expected return per unit of risk. The ratio of return to risk for a portfolio is called the Sharpe ratio (Sharpe 1994), and efficient portfolios are those with the highest attainable Sharpe ratio. Portfolio optimization refers to a variety of mathematical techniques for determining asset increases risk.
The main aspect, which has to be sold by constricting portfolio, is the spreading some amount of money to the different alternative securities in such a way as to get to your goals. Firstly investor is trying to reach the maximum profit through the difference in prices of securities, dividends, receiving fixed percentage and ext. Generally in order to create a portfolio it is possible to invest into one type of financial assets. Present practice shows that this sort of nondiversified portfolio encounters rarely. Much more common portfolio is diversified meaning with all different types of securities. For example, we have two companies first one is producing sunglasses and the other umbrellas. Investor invests half of money into Sunglasses company and other half in to umbrellas company. The result as follows:
Here are some famous models of optimal portfolios:
Markowitz model – when you interpreting statistically future profit, brought by financial instrument, as random changeable, meaning profits for separate investments accidentally changes in some limits.
Index Sharpe model – its simplifies in such way, that closest solution can be found with a less efforts. Sharpe introduced unrelated -factor, which plays special role in present portfolio theory.
Arbitraregeprais-Theorie-Modell ATP – the goal of this model is usage of price differences in securities of one or close related types for different markets or segments of markets, with a goal of receiving the profit.
Weather conditions |
Profitability (Eo) for Sunglasses |
Profitability (Ez) for Umbrellas |
Profitability for portfolio En=0,5Eo+0,5Ez |
Rainy |
0 |
20 |
10 |
Normal |
10 |
10 |
10 |
Sunny |
20 |
0 |
10 |
47. Criteria of investment project valuation.
Investments can be:
Obligatory
FA renovative
Expanding (направленные на расрасширение)
New product development-targeted.
Valuation should start from CASH FLOW analysis.
Then NPV, IRR, Payback Period, Profitability Index (=NPV Inflow/NPV outflow)