20140913 CMF Fall 2014 Presentation

1. Center of Mathematical Finance
13 September 2014
2014/15 Program Overview

2. About Us
•One of the leading university school of finance in Russia
•We help students to build long-term career in finance
•Well-educated instructors from the largest Russian and International financial companies
•Strong relationships with the Moscow State University Economic faculty governance
•Communication with the recruiting teams of financial companies
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3. Key Milestones
•2007-2011: Scientific seminar “Financial Econometrics” at the Faculty of Economics, Moscow State University (EF MSU)
•Sep-2012: CMF foundation
•Jan-2013: “Financial analysis” program launched
•Sep-2013: EF MSU Master’s program “Mathematical Finance” established
•Oct-2013: First analyst research competition ‘Russian Buffet”
•Feb-2014: “Financial modeling” course added: highly positive feedback from the students
•Jun-2014: Summer program
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4. Our Team
•Instructors
–Andrey Baryshov, PE associate, ex-Summa Capital
–BugaMandzhieva, PE analyst, Russian Direct Investment Fund
–David Aryutunyan, Head of projects, OJSC Sistema
–Maxim Loginov, PE analyst, Baring VostokCapital Partners
–NickolaySkibnevsky, SberbankCIB IBD Summer Internship
–NickolayUdalov, IB analyst, SberbankCIB
–RuslanAkhmedzyanov, IB analyst, Goldman Sachs
–Tatiana Eliseeva, PE analyst, Da Vinci Capital
Financial analysis program (1/2)
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5. Our Team
•Assistants
–Alexey Slobodenyuk, Graduate student, Financial University under the Government of the RF
–Alina Matygulina, Graduate student, Plekhanov Russian Economic University
–ArtemIsaev, Risk analyst, Alfa Bank
–Anton Ivanov, Risk analyst, SberbankCIB
–EgorKarpunin, Da Vinci Capital Summer Internship
–Ekaterina Velikorosova, MMAE Master’s program, Moscow State University
–LucineKhachumova, Consumer industrial products auditor, Deloitte
–Marina Israelyan, SberbankCIB MBD Summer Internship
–Michael Pavlenko, HF analyst, Cybervest
–Nikita Akimov, Co-founder, Eristica
–Olga Tyshetskaya, International Economics Master’s program, Moscow State University
–YuliaGurvits, MMAE Master’s program, Moscow State University
–YuliaShkuridina, MMAE Master’s program, Moscow State University
Financial analysis program (2/2)
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6. Our Team
•Instructors
–Vladimir Piterbarg,PhD in Math, Dept. of Mathematics at MSU
–Eugene Lukash, PhD in Math, Dept. of Economics at MSU
–Alexander Kudrov, PhD in Math, Senior Researcher at CEMI RAS
–Andrey Zlotnik, Entrepreneur
–Anton Ivanov, MA in Economics, Risk analyst at SberbankCIB
–Eugene Egorov, MA in Economics Student, Analyst of BigDataDepartment at HCFB
–IlyaZlotnik, PhD in Applied Math, Quant at SDC
–JaroslavBologov, PhD candidate in Economics, Risk analyst at FCR Bank
•Assistants
–ArtemIsaev, M.Sc. In Applied Math, Risk analyst at Alfa Bank
–Michael Pavlenko, MA in Economics, HF analyst, Cybervest
Quantitative analysis program (1/2)
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7. Our Team
•Consultants
–Vladimir V. Piterbarg,PhD in Math, Managing Director, Head of Global Derivatives at Barclays (London)
–EvgenePogrebnyak, PhD in Economics, Managing Director at VEB
–PavelKoryakin, PhD in ApliedMath, CEO at IT Global LLC
–Michael Nechaev, PhD in Math, Managing Director at NASDAQ OMX (Stockholm)
–AndreySelivanov, PhD in Math, Head of Market Risk, GazpromExport
•Partners
–International Laboratory of Quantitative Finance at HSE
–Data Mining Lab (St. Petersburg)
Quantitative analysis program (2/2)
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8. CMF Graduate Students’ Achievements
•2011/12
–Eugene Egorov, Analyst of BigDataDepartment, HCFB
–Ruslan Akhmedzyanov, IB analyst, Goldman Sachs
–Valery Ivanov, Business analyst, Google
•2012/13
–Alexey Pogrebnyak, Quantitative analyst, OtkritieBank
–Alexey Shabarshin, Founder, CashYou
–Anton Ivanov, Risk analyst, SberbankCIB
–ArtemIsaev, Risk analyst, Alfa Bank
–BugaMandzhieva, PE analyst, RDIF
–NickolayUdalov, IB analyst, SberbankCIB
–Nikita Akimov, Co-founder, Eristica
–Tatiana Eliseeva, PE analyst, Da Vinci Capital
•2013/14
–ArtemDrofa, SberbankCIB FI Summer Internship
–EgorKarpunin, Da Vinci Capital Summer Internship
–Maxim Popov, CIB IBD Summer Internship
–NickolaySkibnevsky, CIB IBD Summer Internship
–Nikita Lebedev, SberbankCIB IBD Summer Internship
–Marina Israelyan, SberbankCIB MBD Summer Internship
–RamilNafikov, SberbankCIB FI Summer Internship
•2014/15
–?
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9. What Has Been Changed This Year?
•New instructors from Goldman Sachs
•More modeling and valuation materials
–incl. adapted AMT and BIWS materials
•More in-depth workshops
•Data Mining Lab online courses
•Communication with Bulge Bracket recruiting teams
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10. Universities’ Financial Communities
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Partnership. Not competition

11. What?
Leading educational center in finance
Leading investment bankers’ network
Educational program
Regular program with pre-class/ online / home works
Event-driven program
Minimal entry requirements
Selected CFA L1 study sessions
No
Advanced knowledge of finance/ valuation
Recommended
Required / strongly recommended
Specialization
Focus on acquiring basic technicalskills
Focus on networking events and in-depth modeling workshops
Workshops/ Case studies
Prepared casestudies based on the study program
Case studies based on precedent deals
CMF MSU vs. IB Club MSU 11
Complements.Not substitutes
We strongly recommend to use a unique opportunity to combine theoretical and practice experience by applying for both programs

12. Quantitative Analysis Program Overview
•General courses
–Algorithms Design
–Algorithmic trading practice
–Econometrics
–Stochastic analysis and financial mathematics
–Fixed income and Derivatives
–Computational Methods
–Data mining (feat. Data Mining Lab)
–Scientific seminar
•Workshops
–Risk management
–Programming
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13. Quantitative Analysis: General Courses (1/5)
Pair trading
Cointegration, threshold cointegration. Bayesian methods, nonlinear regression (kernel and polinominalestimators)
Asset Selection
Optimal portfolios, mean-reverting assets
Oil Futures
Modellingoil-futures, trading strategies
Stopping times
Pair trading, mean-reverting strategies, momentmstrategies
Causality analysis
Exchange rates
Patterns recognition
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Algorithms design and Algorithmic trading practice

14. Quantitative Analysis: General Courses (2/5)
•Market Risks
•Panel Data
•Extreme Value Theory
•Nonparametric Modeling
•Classification Trees
•Nonparametric Classification
•Copulas
•GeneralLinearModels
•SplineApproximation
•Wavelet Analysis
•Multivariate Adaptive Regression Splines
•Independent Components Analysis
•Projection Pursuit Regression
•Kernel regression
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Econometrics

15. Quantitative Analysis: General Courses (3/5)
•Stochastic Analysis
–Martingale properties.
–Brownian Motion
–Ito Calculus
–DoobDecomposition
–GirsanovTheorem
–KolmogorovEquation and Feynman–Kacformula
•Financial Mathematics
–Risk-neutral pricing Derivatives
–Binominal and Black-Scholesmodels
–Call, Put-options, Greeks
–American options
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Stochastic analysis and Financial mathematics

16. Quantitative Analysis: General Courses (4/5)
•First 3 month:
•Partnership with DmLabs, elective
•The most important points and cases for all
•Next:
•Partnership with DmLabs, close or less
•Focus on financial cases
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Data mining

17. Quantitative Analysis: General Courses (5/5)
•DmLabls
•Data Mining Track —yes, Data Visualization —may be, Sales —no
•Sunday Hackathons: Intro from company —doing —discussion the best solution
•Stepic—user leaving prediction
•Delloite—regular partner of DmLabs
•Jetbrains—new for both us and them
•Odnoclasniki—like prediction
•Siemens —tbd
•TUM/fortiss—Human Brain Project
•…and even more
•Step-by-Step every Wednesday evening:
•cleaning&imputation—working with data
•supervised ML
•predictive model design
•unsupervised ML
•Data Analysis framework 17
Data mining

18. Financial Analysis Program Overview
•General courses
–CFA Level 1 preparation
–Financial statement analysis
–Financial modeling
–Valuation principles
–Deal financing
–Deal structuring
•Supplementary course
–Fundamental analysis
•Workshops
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19. Financial Analysis: General Courses (1/6)
•Online tests and classroom concept checking
•Key topics:
–Ethics
–Economics
–Quantitative methods
–Financial statement analysis
–Corporate finance
–Portfolio management
–Equity investments
–Fixed income
–Derivatives
–Alternative investments
CFA Level 1 preparation
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20. Financial Analysis: General Courses (2/6)
•This core module serves as a solid foundation for understanding transactions in both financing and M&A context. It provides you with essential financial statement analysis skills, in preparation for modeling, valuation and deal structuring.
•We'll start out by looking at companies’ financial statements and building a 3-statement model from the ground up, going through the Income statement, Balance sheet, and Cash flow statement, and then linking them together.
•Key topics:
–Income statement
–Current assets and working capital
–Non-current assets
–Debt and equity
–Cash flow statement
–Earnings per share
Financial statement analysis
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21. Financial Analysis: General Courses (3/6)
•This module provides you with the skills necessary to build a variety of financial models. Cutting edge techniques are used to help build accurate, flexible and user friendly models.
•The entire course is based on a case study of selected companies, using real company filings
•Key topics:
–Financial modeling fundamentals
–Three statement modeling
–Integrity and error checking
–Financial modeling and forecasting
–Financial modeling from scratch
Financial modeling
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22. Financial Analysis: General Courses (4/6)
•The module provides the complete toolkit of corporate valuation methodologies as they are currently used by bankers.
•In this course, we'll begin our discussion of valuation with an overview of how we use public company comparables, precedent transactions, and discounted cash flow analysis to value a company.
•Key topics:
–Valuation overview
–Common stock comparisons
–DCF analysis
–Present value of future stock price
–Consolidating financial statements
–Merger plans
–Pulling the analysis together
Valuation principles
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23. Financial Analysis: General Courses (5/6)
•This module builds on the fundamentals of capital markets to introduce an understanding of the key products, issuers and investors for each product discussed
•Key topics:
–Capital markets fundamentals
–Equity capital markets
–Fixed income fundamentals
–Debt capital markets
–Credit analysis fundamentals
–Credit comparables
Deal financing
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24. Financial Analysis: General Courses (6/6)
•This module examines how to model and understand the impact of a transaction on the financial statements of a company. It then assesses the appropriate structuring of the transaction
•In this course, you'll learn how to build an advanced LBO model that incorporates all 3 financial statements, pro-forma balance sheet adjustments, and several tranches of debt from the revolver to PIK notes.
•Key topics:
–Leveraged buyout analysis
–LBO modeling
Deal structuring
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25. Financial Analysis: Supplementary Course
•Industries:
–Banks
–Metals&Mining
–Oil&Gas
–Retail
–TMT
–Transportation
•Key topics:
–Industry profile
–Value chain analysis
–Company profile
–Industry specific valuation metrics
Fundamental analysis
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26. Workshops
•Overview of financial sector/investment banking
•Overview of current trends in different industries
•Banking applications overview (Capital IQ, BBG, Factiva, Thomson Research)
•Presentation/soft skills
•Valuation best practices
•Presentation/soft skills
•Overview of buy and sell-side M&A process
•IPO process
•Interview tips/Interview preparation
•ECM/DCM/Credit agencies overview
•Regulation/legislation: Russian securities market information requirements, M&A process in Russia
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27. Financial Analysis Program Groups
•Group 1: 12-weeks intensive program
–More pre-class/homework materials
–General courses only (ex. CFA preparation)
–Preparation for the Bulge Bracket off-cycle interview sessions starting on Dec-2014
–Computer classroom with BBG Professional installed
•Group 2: 24-weeks in-depth program
–All courses and workshops
–Preparation for the summer interview sessions starting on Mar-2015
–Lecture hall: laptops are required
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28. Financial Analysis Program Timetable (1/3)
Date
Sub-topics
4-Oct-14
Overview of financial sector / investment banking. Income statement, Working capital, Non-current assets, Debt and equity, Cash flow statement, EPS
11-Oct-14
Financial modelingfundamentals, Three statement modeling, Integrity and error checking
18-Oct-14
Financial modelingand forecasting. Financial modelingfrom scratch
25-Oct-14
Valuation overview, Common Stock Comparisons. Deal comparison. Industry specific valuation metrics
1-Nov-14
DCF analysis
8-Nov-14
DCF analysis. Pulling the analysis together
15-Nov-14
Consolidating financial statements, Merger plans
22-Nov-14
Equity / Debt capital markets
29-Nov-14
Interview tips / Interview sessions
6-Dec-14
Workshop / Case study
13-Dec-14
Workshop / Case study
20-Dec-14
Final exam
12-weeks program: Oct-14 / Dec-14
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Finding Key Financial Figures topics
Modeling the Businesstopics
Valuation Principles topics
Financing the Deal topics

29. Date
Sub-topics
Lecture / Workshop
Fundamental analysis
4-Oct-14
Income statement, Working capital, Non-current assets
Overview of Financial Sector / Investment Banking
11-Oct-14
Debt and equity, Cash flow statement, EPS
Industries presentation, Key templates
18-Oct-14
Financial modelingfundamentals, Three statement modeling, Integrity and error checking
Overview of trends in different industries (Equity research presenters)
25-Oct-14
Financial modeling and forecasting
Industry profile
8-Nov-14
Financial modeling and forecasting
Value chain analysis
15-Nov-14
Valuation overview, Common Stock Comparisons
Banking applications overview (Capital IQ, BBG, Factiva, Thomson Research)
22-Nov-14
Common Stock Comparisons
Company profile
29-Nov-14
Present value of future stock price, Deal comparison
Industry specific valuation metrics
6-Dec-14
Workshop / Case study
13-Dec-14
Workshop / Case study
20-Dec-14
Mid-term exam
Financial Analysis Program Timetable (2/3)
24-weeks program: Oct-14 / Dec-14
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Finding Key Financial Figures topics
Modeling the Businesstopics
Valuation Principles topics

30. Financial Analysis Program Timetable (3/3)
Date
Sub-topics
Lecture / Workshop
Fundamental analysis
14-Feb-15
DCF analysis
21-Feb-15
DCF analysis
Valuation best practices
28-Feb-15
Consolidating financial statements, Merger plans
Final analyst report preparation
14-Mar-15
Consolidating financial statements, Merger plans
Overview of buy and sell-side M&A process
21-Mar-15
Valuation issues, Pulling the analysis together
Final analyst report preparation
28-Mar-15
Case study
4-Apr-15
Capital markets fundamentals, Equity capital markets
IPO process
11-Apr-15
Fixed income fundamentals, Debt capital markets for issuers
Interview tips / Interview preparation
18-Apr-15
Credit analysis fundamentals, Credit comparables
Final analyst report & presentation
25-Apr-15
Leveraged buyout analysis
ECM / DCM / Credit agencies overview
16-May-15
LBO modeling
Regulation / legislation: Russian securities market information requirements, M&A in Russia
23-May-15
Final case study
30-May-15
Final exam
24-weeks program: Feb-15 / May-15
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Valuation Principles topics
Financing the Deal topics
Structuring the Deal topics

31. Supplementary On-Demand Course: Venture Capital
•We prepare VC analysts in 3 directions
–Investment evaluation of startup industry companies
–Structuring and packaging the startups for the investor
–Simulation of the real VC Fund
•Instructors
–Alexey Shabarshin, Founder, CashYou
–Pavel Bartev, Director of the Department, Skolkovo
–EgorKarpunin, Da Vinci Capital Summer Internship
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Course overview and our team

32. Supplementary On-Demand Course: Venture Capital
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Timetable
Date
Sub-topic
4-Oct-14
Overview of VC Market / VC Fund work principles, Portfolio Manager role, the roles of the team, KPI settings
11-Oct-14
Financial modeling fundamentals, VC evaluation secrets, checking VC Fund perfomance
18-Oct-14
Presentation of Teams portfolio company, Working with professional associate of the real Fund
25-Oct-14
Industry specific valuation metrics
1-Nov-14
Open workshop with professional legal specialist
8-Nov-14
New methods in Startup valuation
15-Nov-14
Presentation of Teams portfolio company, Working with professional associate of the real Fund
22-Nov-14
Presentation of Teams portfolio company, Working with professional associate of the real Fund
29-Nov-14
Presentation of Teams portfolio company, Working with professional associate of the real Fund
6-Dec-14
Open Workshop with VP of leading Russian VC Fund
13-Dec-14
Open Workshop with Fund and Startup representatives
20-Dec-14
VC Fund Results:Final Tests and interviews
Introduction
Valuation of the Startup sessions
VC Fund simulations
Deal Structuring in VC Market topics

33. Master’s Program Overview
•Specialization: Mathematical methods of analysis of economics
•Major: Mathematical finance
•2013/14 group: 11 students (out of 25 on the program)
•2014/15 group: interviews with the potential students to be conducted until the end of September
•About EF MSU Master’s programs
–http://www.econ.msu.ru/programms/masters/
•About Mathematical methods of analysis of economics sub-program
–http://www.econ.msu.ru/students/mag/curricula/mmae/
Moscow State University, Economic faculty 33

34. How to apply (1/3)
•Access to Moodle is required
–Complete application form to receive access: bit.ly/cmf_apply
–Registration closes on Monday, 15 September, 23.00
•Test closes on Thursday, 18 September, 23.00
•Attempts allowed: 1
•General session: 100 questions, time limit –150min
•Financial Analysis session: 60 questions, time limit –90min
•Quantitative Analysis session: 60 questions, time limit –90min
•Excel and financial calculator are permitted
•Results on Friday, 19 September
1 round: online test
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35. How to apply (2/3)
•Location: Moscow State University, Economic faculty
–Lecture hall # to be confirmed
•Start time: Saturday, 20 September, 12.00
•General session: 100 questions, time limit –150min
•Financial Analysis session: 60 questions, time limit –90min
•Quantitative Analysis session: 60 questions, time limit –90min
•Laptop/phone/any other devices are prohibited
•Any calculators are permitted
•No IRR/bond yield calculation questions
•Results on Friday, 26 September
2 round: classroom test
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36. How to apply (3/3)
•Location: Moscow State University, Economic faculty
–Lecture hall # to be confirmed
•Start time: Saturday, 27 September, 12.00
•Your background review
•Technical questions
•Soft skills / motivation questions
•Recent Russian and global M&A/IPO deals
•Key topics to prepare
–Financial Analysis program: bit.ly/cmf_topics_f
–Quantitative Analysis program: bit.ly/cmf_topics_m
3 round: interview questions
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37. Contact Us
•VK Group: vk.com/cmf_msu
•Email: cmf.executive@gmail.com
•CMF EF MSU webpage: http://www.econ.msu.ru/departments/CMF/
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