Quantitative Models for Risk Management (2006/2007)

Course not running

Course code
4S00547
Credits
10
Coordinator
Andrea Berardi
Teaching is organised as follows:
Unit Credits Academic sector Period Academic staff
lezione 1 4 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 1° sem lez Andrea Berardi
esercitazione 1 1 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 1° sem lez Andrea Berardi
lezione 2 4 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 1° sem lez Andrea Berardi
esercitazione 2 1 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 1° sem lez Andrea Berardi

Learning outcomes

The course is divided into two parts. The aim of the first part of the course is to provide the student with the key concepts and topics regarding the pricing of derivative instruments. The course covers most of the models for the valuation of derivatives, such as futures, options and swaps, commonly used in the practice of financial markets.
The second part of the course studies the models and the empirical methodologies advanced in the finance literature for measuring and managing market risk and credit risk.

Syllabus

Lectures will be held in a computer room. About 30% of the time will be dedicated to the practical implementation of the models.

Assessment methods and criteria

Written exam.