Financial Modelling Workshop - Analysis, Measurement and Valuation

09.15 - 12.00 Review of Basic Financial Mathematics

Time Value of Money and Cash Flow Analysis
Descriptive Statistics
- Mean, variance, standard deviation, skewness, kurtosis,…
Probability Analysis
Statistical Tools
- Regression analysis, random number generation,…
Small Exercises

Building Blocks in Risk Analysis
Sensitivity Measures for Equity Investments
- Alpha, Beta and factor sensitivities
Sensitivity Measures for Fixed-Income Investments
- Duration, modified duration, convexity, key-rate duration
Statistical Measures of Risk
- Value-at-Risk, Earnings-at-Risk, Capital-at-Risk,..
Practical Examples
Workshop

Measuring Return
- Arithmetic and geometric returns
One-Dimensional Measures of Performance
- Internal rate of return
- Money-weighted return
- Time-weighted return
Risk-Adjusted Measures of Performance
- Treynor index
- Sharpe index
- Sortino ratio
- Lower partial moments
Relative Measures of Performance
- Tracking error
- Information ratio
Workshop

Purpose of Total Return Analysis
“Total Return” Concept
Assessing Reinvestment Risk
Assessing Principal Risk
Calculating Expected Return
Sensitivity Analysis
Switch Analysis (Bonds)
- Arbitrage switch
- Duration switch
- Convexity switch
- Spread trades
Using Total Return Analysis in Constructing Optimal Portfolios
Workshop
Total Return Analysis for Equity Investments
- Assessing residual value
- Estimating total return and risk
- Constructing optimal portfolios
Workshop

Introduction to Project Finance
- Definition
- Rationale and motives
- Characteristics
Structuring Projects
Typical Financing Structure
Typical Structure for Allocation of Risk
Valuing Projects
Analyzing Debt Capacity
Analyzing Debt Sensitivities
Managing Project Risk
Case Study: The A2 Motorway
Workshop

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