Motivation The new regulations Basel II (for banks), Solvency II (for insurance) and AMF (for asset management) make it increasingly necessary to value financial assets at their market level (Marked To Market) and measure the market risks, credit risks etc. taken on a financial product, a portfolio, a desk, a subsidiary, a group, etc. The valuation of financial instruments at their market level is also useful in accounting (see the IFRS accounting regulation). Finally, the valuation and estimation of financial risks are essential in the finance departments of large groups. Academic objectives: To introduce mathematical tools and numerical methods enabling the market risk of portfolios consisting of financial assets to be assessed and measured. The emphasis will be on: * financial models and their numerical solution with the support of IT tools. * the calibration of models for valuation from market data. * the financial interpretation of results. Professional objectives: to prepare students for business issues particularly in the field of the evaluation and measurement of financial asset market risks and to offer them access to positions of responsibility. The programme is based on several areas of competency: scientific and technological, organisational, in methods and methodologies, languages and communication.

Framework of the apprenticeship programme: The programme is scheduled over the second year of the Statistical and Financial Engineering Masters (ISF). It is conducted in partnership with the CFA of the AFIA (Apprentice Training Centre of the Association for the Training of IT Specialists through Apprenticeship), an association of companies established in 1992 with the Ile de France Regional Council. The CFA of the AFIA supports all Dauphine Mathematics and Computing apprenticeship programmes. To date, it has trained more than 1500 apprentice IT specialists and works with more than 200 companies. The apprentice has employee status and as such receives a minimum remuneration equal to a percentage of the French minimum wage (SMIC) or the agreed minimum.

Entry conditions Selection on the basis of dossier and interview of candidates who have passed the first year of the MIDO Masters, MMD specialisation, or a level considered equivalent. Be under 26 years old upon taking up the apprenticeship and hold a full-time work permit. Be recruited by a host company. Note: in order to SUBMIT an application it is not necessary to have either a host company or a language certificate. These issues will be discussed during the interviews.

Desirable pre-requisites: Convex analysis, Portfolio theory (Markowitz, CAPM, APT), probabilities, valuation of contingent assets (valuation of standard options), knowledge of standard financial instruments (bonds, shares, swaps, forward contracts, options etc.), numerical analysis, economics of risk, decision support theory, time series, multiple regressions, general linear models, principal component analysis, numerical optimisation, linear programming, quadratic/convex programming, ordinary differential equations, English (TOEIC level 750 or equivalent will be required at the end of the programme), algorithms, good level of programming (VBA, C or C++), introduction to databases.


Other recommended modules in Masters 1: SAS, Marketing, Actuarial Mathematics of insurance, Financial Mathematics, Signal processing.