Master AMSE, Aix-Marseille School of Economics # Speciality Finance # Finance - Track Econometrics of banking and financial markets

RESPONSABLE

AIM

Financial institutions in the fields of banking, insurance and financial markets are suffering from an increasing shortage of staff able to master the complexity of financial instruments, the functioning of financial markets and institutions and the techniques of quantitative analysis. The Banking and Financial Econometrics program aims to meet this demand by providing training that is rarely found in France, in that it combines the economic and institutional analysis of financial product markets and intermediaries with a mastery of financial econometric methods. This Master’s program provides in-depth training in applied financial economics, with both a specialization in financial econometric techniques (in banking, capital markets and the foreign exchange market), and specialized training in the use of complex financial instruments, how to extract information from them, and how to evaluate the risks associated with them.

LINKS WITH RESEARCH

This master is supported by the Labex (laboratory of excellence) AMSE with nearly one hundred researchers coming from AMU, the CNRS, the INSERM, the EHESS, the IRD, the ECM, and three entities in economics : GREQAM (UMR 7316), SESSTIM (UMR 912) and the Institute of public economics. Teachers are selected according to their skills within these entities

RECOMMENDED PREREQUISITES

The specialty is directly addressed to AMSE master 1 graduated students. Students from other French and foreign universities graduated in economics, finance, mathematics or statistics can apply and join this master 2.

PLAQUETTE DE LA FORMATION

Télécharger la plaquette de la formation au format PDF

PROFESSIONAL SKILLS

The program aims at providing the students with the ability to use quantitative methods to analyze banking and financial data, while mastering financial products and their creation mechanisms.

INTERNSHIPS AND SUPERVISED PROJECTS

At the end of the second year, students do an internship and write a master's thesis. The objective of the thesis is to demonstrate their ability to mobilize conceptual tools in order to find answers to issues raised by companies. The student must therefore identify the issue, implement tools, and communicate the results to both professional and academic audiences. The thesis is supervised by an academic.

Students wishing to write an academic thesis can do it in one of our research centers (GREQAM-UMR 7316, SESSTIM-UMR 912 and the IDEP Institute of public economics) ; in this case the internship is not mandatory. The student asks a research question in economics, mobilizes the relevant literature and contributes to it.

VOLUME OF TEACHINGS

  • Lectures: 288 hours

PLAQUETTE DE LA FORMATION

Télécharger la plaquette de la formation au format PDF

Semester 3 (30 ECTS)

Theory and econometrics of banking and insurance (6 ECTS)

Theory of banking and insurance

CONTENT

This course aims at introducing insurance and in particular it discusses risks and premium principles in the areas of non-life and life insurance, with some applications.

Course overview :

1. Definition of risk

2. Introduction to non-life and life insurance

3. Comparisons between speculative and pure risks

4. Discussion of several examples

5. Risk related to the lifetime of an individual

6. Risk management

7. Risk evaluation : expectation and probability distribution of pure risks

8. Retention

9. The role of the insurer

10. Premium principles : the equivalent premium.

11. Safety loading

12. Life insurance pricing

13. Duration models

14. Count data models, Poisson regression, negative-binomial regression

PDF brochure.

VOLUME OF TEACHINGS

  • Lectures: 24 hours

Banking econometrics

Unavailable contents.

Theory and econometrics of financial markets (6 ECTS)

Theory of financial markets

Unavailable contents.

Finance econometrics

CONTENT

Introduce students to some basic topics of the financial econometrics, with an emphasis on practical implementation.

Course overview :

- Stylized facts of time series of asset returns

- Asset allocation and Capital Asset Pricing Model

- Introduction to Value-at-Risk

- Introduction to interest rate models

PDF brochure.

VOLUME OF TEACHINGS

  • Lectures: 24 hours

Theory and econometrics of exchange rates (6 ECTS)

Econometrics of exchange rates

Unavailable contents.

International finance

CONTENT

Provide students with the general tools of financial market microstructure theory and their application to the foreign currency market.

Course overview :

Chapter 1 : New microstructure and the foreign exchange market

Chapter 2 : Theory of information and microstructure

Chapter 3 : Fundamentals’ models and central bank intervention

Chapter 4 : Microstructure

PDF brochure.

Risk and financial engineering (6 ECTS)

Risk and financial instruments

Unavailable contents.

Financial engineering

CONTENT

Overview of the theoretical basis of behavioural finance. The students should be able, by the end of the course, to read and understand applied works in behavioural finance.

Course overview :

  1. Introduction : why we need behavioural finance
  2. Decision under risk : from expected utility to prospect theory
  3. Decision under uncertainty : from subjective expected utility to uncertainty aversion.

PDF brochure.

VOLUME OF TEACHINGS

  • Lectures: 24 hours

English and computer science (6 ECTS)

Computer science in finance

Unavailable contents.

Financial english

Unavailable contents.

Semester 4 (30 ECTS)

Master dissertation and internship (24 ECTS)

Research dissertation in applied econometrics

Unavailable contents.

Internship - Master dissertation

Unavailable contents.

Theory and econometrics of information extraction (6 ECTS)

Theory of information extraction in derivative markets

Unavailable contents.

Econometrics of information extraction in derivative markets

Unavailable contents.