20150523 CMF Summer 2015 Presentation

1. Center of Mathematical Finance
23 May 2015
2015/16 Program Preview

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 Economics
faculty
• 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
• Mar-2015: “Venture analysis” program launched
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4. Our Programs
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Financial Analysis
 Launched in 2013
 Fundamental
analysis
 Financial modeling
 Valuation principles
Quantitative Analysis
 Launched in 2012
 Econometrics
 Algorithmic Trading
 Derivatives
 Fixed Income
 Risk Management
 Investment Analytics
New program
Economic Analysis
 To be launched in
2015/2016
Data-Driven Analysis
 To be launched in
2015/2016
Venture Analysis
 Launched in 2015
 2015/2016
program to be
discussed
Pipeline
Existing programs

5. Our Team
• Instructors
– Buga Mandzhieva, PE analyst, Russian Direct Investment Fund
– Egor Karpunin, PE Internship, Da Vinci Capital
– Marina Israelyan, MBD Internship, Sberbank CIB
– Michael Pavlenko, HF Analyst, Cybervest
– Nickolay Skibnevsky, IBD Intern, Goldman Sachs
– Nickolay Udalov, IBD Analyst, Sberbank CIB
– Olga Tyshetskaya, FICC Derivatives Sales Internship, Nordea Markets
– Ruslan Akhmedzyanov, IBD Analyst, Goldman Sachs
– Tatiana Eliseeva, PE Analyst, Da Vinci Capital
Financial analysis program (1/2)
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6. Our Team
• Consultants
– Andrey Baryshov, Consultant, Otkritie Holding
– David Aryutunyan, PE Associate, Invest AG
– Eugene Belov, IBD Associate, Goldman Sachs
– Maxim Loginov, PE Associate, Baring Vostok Capital Partners
– Oksana Tseitlin, Partner, Agnes Capital
• Partners
– Selectif, HR-agency
Financial Analysis Program (2/2)
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7. Our Team
• Instructors
– Eugene Lukash, PhD in Economics, Director of CMF MSU
– Vladimir Piterbarg, PhD in Math, Head of Probability Lab at MSU
– Alexander Kudrov, Ph D in Math, Quant at HF
– Andrey Zlotnik, Entrepreneur
– Mikhail Radomyselskiy, PhD in Applied Math, Head of Derivatives Sales and
Debt Capital Markets at Unicredit
– Jaroslav Bologov, PhD in Economics, Risk analyst at FCR Bank
– Ilya Zlotnik, PhD in Applied Math, Quant at SDC
– Michael Pavlenko, MA in Economics, HF analyst at Cybervest
– Anton Ivanov, MA in Economics, Risk analyst at Sberbank CIB
– Artem Isaev, M.Sc. In Applied Math, Risk analyst at Sberbank CIB
– Eugene Bogdanov, M.Sc. In Math, Risk analyst at Sberbank CIB
– Alexander Karpov, MA in Economics, CFA L2 Passed, Trader at Schildershoven
Quantitative Analysis Program (1/2)
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8. Our Team
• Consultants
– Vladimir V. Piterbarg, PhD in Math, Managing Director, Head of Global
Derivatives at Barclays (London)
– Evgene Pogrebnyak, PhD in Economics, Managing Director at VEB
– Pavel Koryakin, PhD in Applied Math, CEO at IT Global LLC
– Michael Nechaev, PhD in Math, Managing Director at NASDAQ OMX
(Stockholm)
– Andrey Selivanov, PhD in Math, Head of Market Risks at Gazprom Export
• Partners
– International Laboratory of Quantitative Finance at HSE
Quantitative Analysis Program (2/2)
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9. Quantitative Analysis Program Overview
• General courses
– Algorithmic trading
– Econometrics
– Machine Learning
– Stochastic Analysis and
Financial Mathematics
– Derivatives Pricing
– Structured Products
– Applied Fixed Income
– Quantitative Equity Analysis
– Scientific Seminar
– Analytic Cases
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• Workshops
– Sales and Trading
– Investment Analytics
– Risk Management
– Programming
– Brain Teasers
– CFA L1 Preparation

10. Quantitative Analysis Courses (1/9)
Pair trading
Cointegration, threshold cointegration. Bayesian methods, nonlinear regression (kernel
and polinominal estimators)
Asset Selection
Optimal portfolios, mean-reverting assets
Oil Futures
Modelling oil-futures, trading strategies
Stopping times
Pair trading, mean-reverting strategies, momentm strategies
Causality analysis
Exchange rates
Patterns recognition
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Algorithmic Trading

11. Quantitative Analysis Courses (2/9)
Econometrics
• Market Risks
• Panel Data
• Generalized Hyperbolic Distribution
• Extreme Value Theory
• Nonparametric Modeling
• Kernel regression
• Copulas
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Econometrics and Machine Learning
Machine Learning
• Logistic Regression
• Artificial Neural Network
• Support Vector Machine
• Anomaly Detection
• K-means Algorithm
• Decision Tree & Random Forest
• Numerical Optimization

12. Quantitative Analysis Courses (3/9)
• Stochastic Analysis
– Martingale properties.
– Brownian Motion
– Ito Calculus
– Doob Decomposition
– Girsanov Theorem
– Kolmogorov Equation and Feynman–Kac formula
• Financial Mathematics
– Risk-neutral pricing Derivatives
– Binominal and Black-Scholes models
– Call, Put-options, Greeks
– American options
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Stochastic Analysis and Financial Mathematics

13. Quantitative Analysis Courses (4/9)
• Arbitrage Pricing Theory
• Finite Difference Methods
• Monte-Carlo Methods
• Vanilla Products Pricing
• Vanilla and Exotic Options Pricing
• OTC Structured Products Pricing
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Derivatives Pricing

14. Quantitative Analysis Courses (5/9)
• Interest Rates
Forwards / NDFs - purpose, pricing considerations, risk, consideration when managing
a portfolio of forwards / liquidity position, future vs. forward interest rate swaps -
purpose, discounting, forward curve, cashflow versus delta hedging
• Basis Risk
Multi-currency liquidity position of banks/companies, Cross Currency Swaps, Swaps
vs. Forwards and Basis Swaps
• Options and optionality
Practical considerations of Black Scholes - advantages/shortcomings, managing an
option position - greeks, dynamic hedging vs hedging with options, volatility smile
• Interest Rate Options
Caps, swaptions/calls - pricing, usage, strategies, optionality in retail deposits and
mortgages
• FX Vanilla and Exotic Options, Pricing, usage, strategies, Barrier Options and
Structures
• Structured Deposits
Dual Currency Deposits, Cash or Asset Deposits, Capital Protected Option Strategies
• Credit Products and Credit Risk
CDS, Correlation Trades, Credit-Value Adjustment and Credit Risk of derivatives
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Structured Products

15. Quantitative Analysis Courses (6/9)
• The objectives of this course are:
Describe important fixed income securities classes and markets
Describe interdependencies and the roles of the different players in the debt markets
Develop tools for valuing fixed income securities and managing interest rate risk
Develop economic intuition
• The course covers:
Traditional bonds and term structure concepts
Fixed income derivatives
Interest rate modeling
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Applied Fixed Income

16. Quantitative Analysis Courses (7/9)
Course covers basics of equity research and valuation
• Stock market
• Typical fund strategies
• Finding key data and information
• Industry Analysis
• Methods of valuation
• Preparing equity research report
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Quantitative Equity Analysis

17. Quantitative Analysis Courses (8/9)
• All Classic Papers from 1900 to 2000s
• Classic Widely-used Methods
• Modern Papers and Methods
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Scientific Seminar

18. Quantitative Analysis Courses (9/9)
• Equity Case
• Fixed Income Case
• Macro-finance Case
• Commodity Pricing Case
• Algorithmic Case
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Analytic Cases

19. Financial Analysis Program Overview
• General courses
– CFA Level 1 preparation
– Fundamental analysis
– Financial statement analysis
– Financial modeling
– Valuation principles
– Deal financing
– Deal structuring
• Workshops and case studies
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20. Financial Analysis Courses (1/7)
• Online tests and classroom concept checking
• Key topics:
– Financial statement analysis
– Corporate finance
– Portfolio management
– Equity investments
– Fixed income
– Derivatives
CFA Level 1 Preparation
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21. Financial Analysis Courses (2/7)
• Industries:
– Banks
– Oil&Gas
– Retail
– Telecoms
– Transportation
• Key topics:
– Industry profile
– Value chain analysis
– Company profile
– Industry specific valuation metrics
– Oil&Gas / Banks / Retail / Telecoms / Transportation operating model
– Final exam: equity research report (incl. company-specific operating model)
Fundamental Analysis
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22. Financial Analysis Courses (3/7)
• 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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23. Financial Analysis Courses (4/7)
• 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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24. Financial Analysis Courses (5/7)
• 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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25. Financial Analysis Courses (6/7)
• 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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26. Financial Analysis Courses (7/7)
• 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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27. 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: 16 students (out of 25 on the program)
• 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
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28. How to Apply
• Summer Program starts in Mid-June
– Access to preparation materials (books and tests)
– Free and not a guarantee for successful passing of entrance exams
– Access to Moodle website is required
• Complete application form to receive access: http://bit.ly/cmf_summer2015
• Entrance exams will be in Sep-2015
• Location: Moscow State University, Economics Faculty
• This year entrance exams include interview sessions only (and
additional quantitative test for Quantitative Analytics program), BUT
– We can ask to solve any tests from CFA database as per provided list of topics
– You may need to solve some basic financial exercises and must know answers
to the list of questions which will be published in VK group
• First lesson is on 3-Oct-2015
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29. 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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30. Appendix

31. CMF Graduate Students’ Achievements (1/2)
• 2011/12
– Eugene Egorov, Analyst of BigData Department, HCFB
– Ruslan Akhmedzyanov, IBD analyst, Goldman Sachs
– Valery Ivanov, Business analyst, Google
• 2012/13
– Alexey Pogrebnyak, Quantitative analyst, Otkritie Bank
– Alexey Shabarshin, Founder, CashYou
– Anton Ivanov, Risk analyst, Sberbank CIB
– Artem Isaev, Risk analyst, Sberbank CIB
– Buga Mandzhieva, PE analyst, RDIF
– Nickolay Udalov, IBD analyst, Sberbank CIB
– Nikita Akimov, Co-founder, Eristica
– Tatiana Eliseeva, PE analyst, Da Vinci Capital
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32. CMF Graduate Students’ Achievements (2/2)
• 2013/14
– Alexander Karpov, CFA L2 Passed, Trader at Schildershoven
– Artem Drofa, FI Analyst, Sberbank CIB
– Egor Karpunin, Da Vinci Capital Summer Internship
– Michael Pavlenko, HF Analyst, Cybervest
– Maxim Popov, Nikita Lebedev, Sberbank CIB IBD Summer Internship
– Marina Israelyan, Sberbank CIB MBD Summer Internship
– Nickolay Skibnevsky, IBD Intern, Goldman Sachs
– Ramil Nafikov, Sberbank CIB FI Summer Internship
• 2014/15 (12-wk program)
– Alexey Lukyanov, Valuation Intern, EY
– Arsenty Lazarev, PE Intern, EG Private Equity
– Konstantin Danilenko, Analyst, Moscow Exchange
– Maxim Chumak, CLFI Fixed-term Analyst, VTB Capital
– Pavel Kozar, Analyst, Moody’s
– Yulia Beloglazova, Risk analyst, KPMG
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33. Date Sub-topics Fundamental analysis
3-Oct-15 Income statement, Working capital, Non-current assets
Industries presentation, Key
templates
10-Oct-15 Debt and equity, Cash flow statement, EPS
17-Oct-15
Financial modeling fundamentals, Three statement modeling, Integrity and error
checking
Industry profile
24-Oct-15 Financial modeling and forecasting
31-Oct-15 Financial modeling and forecasting Value chain analysis
7-Nov-15 Valuation overview
14-Nov-15 Common Stock Comparisons Company profile
21-Nov-15 Common Stock Comparisons
28-Nov-15 Present value of future stock price, Deal comparison Industry specific valuation metrics
5-Dec-15 Case Study
12-Dec-15 Case Study
19-Dec-15 Mid-term exam
Financial Analysis Program Timetable (1/2)
1st Semester: Oct-15 / Dec-15
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Finding Key Financial Figures topics Modeling the Business topics
Valuation Principles topics

34. Financial Analysis Program Timetable (2/2)
Date Sub-topics Fundamental analysis
13-Feb-16 DCF analysis
20-Feb-16 DCF analysis
27-Feb-16 Consolidating financial statements, Merger plans Final analyst report preparation
5-Mar-16 Consolidating financial statements, Merger plans
12-Mar-16 Consolidating financial statements, Merger plans
19-Mar-16 Valuation issues, Pulling the analysis together Final analyst report preparation
26-Mar-16 Case study
2-Apr-16 Capital markets fundamentals, Equity capital markets
9-Apr-16 Fixed income fundamentals, Debt capital markets for issuers
16-Apr-16 Interview Sessions
23-Apr-16 Leveraged buyout analysis
30-Apr-16 LBO modeling
14-May-16 Case Study Final analyst report & presentation
21-May-16 Case Study
28-May-15 Final exam
2nd Semester: Feb-16 / May-16
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Valuation Principles topics Financing the Deal topics
Structuring the Deal topics