Department of International Finance Presentation & Course Offerings

Transcription

1 Department of International Finance Presentation & Course Offerings Stefan Ruenzi University of Mannheim Tel: +49 (621)

2 Outline Department of International Finance Presentation of Course Offerings Introduction What courses do we offer and what are they about? Seminars & Master s Thesis What research are we doing? Stefan Ruenzi Department of International Finance Course Offerings 2

3 Who am I and how did I get here? Professor and Chair of International Finance at the University of Mannheim since August Diploma in Economics (University of Konstanz) PhD and Habilitation in Finance (University of Cologne) Assistant Professor at University of Texas at Austin Visiting Professor at Georgia State University (Atlanta) and the University of New South Wales (Sydney) Research Areas: Asset Management, Empirical Asset Pricing, Risk Management, Liquidity, Behavioral Finance Contact: - Room 310, L9, 1-2, Tel lsruenzi@bwl.uni-mannheim.de Stefan Ruenzi Department of International Finance Course Offerings 3

4 Master & PhD Course Offerings Fin 580: Derivatives I Basic Derivatives Strategies and Pricing (English) Fin 681: Derivatives II Advanced Pricing and Risk Management Applications (English) Fin 682: International Asset Management (English) Fin 780: Seminar (English/German) Fin 781: Master-Colloquium (English/German) PhD: Research Seminar in Asset Management PhD: Faculty Seminar in Finance PhD: Current Research Topics in Finance Stefan Ruenzi Department of International Finance Course Offerings 4

5 FIN580: Derivatives I Basic Derivatives Strategies and Pricing What are derivatives & what kind of basic derivatives contracts do exist? What strategies can we implement using these instruments? - Speculation & Hedging Strategies How can we determine the fair price of derivatives? - No-arbitrage valuation - Pricing using binomial models & Black/Scholes - Pricing of non-standard derivatives, e.g. energy derivatives, credit-default swaps Stefan Ruenzi Department of International Finance Course Offerings 5

6 FIN681: Derivatives II Advanced Pricing and Risk Management Applications Part I: A little bit more on Pricing Applications What are the shortcomings of the basic pricing models from Derivatives I? How can we overcome these shortcomings? (e.g. Implied Volatility Trees) What approaches exist to price derivatives with complex payoff structures? (e.g. Monte-Carlo Simulations) Part II: Risk Management Applications What is the motivation for and the goal of corporate risk management? How can we use financial derivatives (futures & options) for risk management purposes? Stefan Ruenzi Department of International Finance Course Offerings 6

7 FIN 682: International Asset Management How do international markets (Europe/US) for delegated portfolio management work? What products are available? What are the most prominent investment philsophies? What are the benefits of investing internationally? How can specific portfolio strategies be implemented? What investment strategies earn(ed) money? How can we evaluate the success of asset managers? Stefan Ruenzi Department of International Finance Course Offerings 7

8 Fin 780: Seminar Typical seminar format on a specific topic, typically from the area of International Finance, Asset Management, or Empirical Asset Pricing HWS10: Investor Behavior and Investor Skills FSS11: Investor Sentiment and its Effect on Asset Prices HWS11: Behavior of Mutual Fund Managers and Performance Implications HWS12: Hedge Funds and Liquidity FSS13: Finance and Compute Linguistics HWS13: Household Finance FSS14: tbd Joint allocation system with other chairs. More information in due time (towards end of semester for next semester) on our webpage Stefan Ruenzi Department of International Finance Course Offerings 8

9 Fin 781: Master-Colloquium Open (and required) for all students writing their Master s (or Diploma) Thesis at the Department of International Finance 2 blocked seminar dates (1-2 days each) Language: English/German Joint allocation system with other finance chairs Requirement: Seminarschein from the Finance Area Watch out for presentation of topics towards end of semester Stefan Ruenzi Department of International Finance Course Offerings 9

10 Master/Diploma Thesis: Examples From the Past Semesters Topics are often from the fields of Asset Management/Empirical Asset Pricing Asset Pricing and Liquidity Risk Investments in Automobiles The Influence of Media Coverage on Stock Markets Entrepreneur Teams and Fund Management Managerial Ownership and Firm Valuation The Performance Flow Relationship in the Mutual Fund Industry Ethical Investing Extreme Dependence in Asset Pricing You are typically asked to perform your own empirical investigations. Stefan Ruenzi Department of International Finance Course Offerings 10

11 Research Seminar Finance Area Most active research seminar in Germany with weekly presentation. Most recent program under: Speakers from the following institutions (names from this and previous semesters): Harvard (David Scharfstein, Lauren Cohen, Brigitte Madrian, David Laibson, Victoria Ivashina, ) MIT (Antoinette Schoar, Konstantin Milbradt) Stanford (Stefan Nagel, Darrell Duffie, Ken Judd) NYU (Lasse Pedersen, Yakov Amihud, David Yermack, Marcin Kacperczyk, ) Wharton (Philipp Illeditsch, Alex Edmans, Itay Goldstein, Franklin Allen, Hülya Eraslan) Columbia (Enrichetta Ravina, Patrick Bolton, Martin Oehmke) UC Berkely (Ulrike Malmendier) Northwestern University (David Matsa, Camelia Kuhnen) Yale (Robert Shiller, James Choi) Stefan Ruenzi Department of International Finance Course Offerings 11

12 Offering Schedule When can you take which course? Course Titel Offering Schedule Courses ECTS FIN 580 Derivatives I Basic Derivatives Strategies and Pricing Each HWS Blocked - 1st half of semester Lecture (2) Exercise Class (1) 6 FIN 681 Derivatives II Advanced Pricing and Risk Management Applications TBD Blocked Half semester Lecture (2) Exercise Class (1) 6 FIN 682 International Asset Management TBD Blocked Half semester Lecture (2) Exercise Class (1) 6 FIN 780 Seminar in International Finance Each HWS & FSS (not FSS14) FIN 781 Master-Colloquium Each HWS & FSS (not FSS14) Blocked Seminar 6 Blocked Seminar I have a sabbatical in FSS14 (and possibly in HWS14. There would be a replacement professor in HWS14). This overview is subject to change. Please consult our homepage and the Module Catalogue regularly for possible changes. Stefan Ruenzi Department of International Finance Course Offerings 12

13 Research: Relevant Teaching Based on Relevant Research Main Research Areas: (1) Asset Management & Mutual Funds (2) Liquidity (3) Behavioral Finance (4) Empirical Asset Pricing & Risk Management Stefan Ruenzi Department of International Finance Course Offerings 13

14 Research in Asset Management & Mutual Funds Kempf, A., Thiele, T., Ruenzi, S. (2009): Employment Risk, Compensation Incentives, and Managerial Risk Taking: Evidence from the Mutual Fund Industry, Journal of Financial Economics, Vol. 92, S Losers gamble in good times, but want to play it safe in bad times! Stefan Ruenzi Department of International Finance Course Offerings 14

15 Research in Behavioral Finance Niessen, A., Ruenzi, S. (2013): Sex Matters Gender & Prejudice in the Mutual Fund Industry (covered in: New York Times, WSJ, FAZ, ) Important gender differences in a professional setting but identical performance and lower inflows. Investors dislike women!? Prejudice against females in finance! Stefan Ruenzi Department of International Finance Course Offerings 15

16 Research in Empirical Asset Pricing von Lilienfeld-Toal, U., Ruenzi, S. (2013): CEO Ownership and Stock Market Returns (forthcoming in: Journal of Finance) CEOs often hold large fractions of their firm voluntarily. These firms strongly outperform on the stock market. Ruenzi, S. and F. Weigert (2013): Crash Sensitivity and the Cross- Section of Expected Stock Returns (revise & resubmit: Journal of Finance) Investors dislike crashes disproportionally. Stocks that are crash sensitive earn higher returns. Adverse incentives for financial institutions? Stefan Ruenzi Department of International Finance Course Offerings 16

17 Why should you take our courses? We strongly believe in teaching most recent research findings in an accessible matter! Finance matters (real world relevance)! Benefits your career & your understanding of political debates (and your personal finances)! We are looking forward to seeing you participating in our courses!! Stefan Ruenzi Department of International Finance Course Offerings 17

18 Appendix: Equivalence Rules What if I am a diploma student? The following courses are counted as equivalent to Diploma courses: New Course FIN 580 Derivatives I OR FIN 682 International Asset Management FIN 780 Seminar in International Finance FIN 781 Master Colloquium Old Course Finanzierung III Seminarschein im Diplom Diplomandenkolloquium The Chairs of Theissen & Ruenzi agreed to open their lectures to diploma students, offering a new 8-SWS Finance Block, that replaces the old finance block. The following rules apply: - Investments I (Theissen, HWS) replaces Finanzierung I - Trading & Exchanges (Theissen, HWS) OR Investments II (Theissen, FSS) replaces Finanzierung II - Derivatives I (Ruenzi, HWS) OR International Asset Management (Ruenzi, FSS) replaces Finanzierung III Stefan Ruenzi Department of International Finance Course Offerings 18