Quantitative Models for Risk Management (2009/2010)

Course not running

Course code
4S00547
Name of lecturer
Andrea Berardi
Coordinator
Andrea Berardi
Number of ECTS credits allocated
10
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Location
VERONA
Period
2nd semester dal Feb 22, 2010 al May 22, 2010.

Lesson timetable

Learning outcomes

The course focuses on the mathematical models and the empirical methodologies advanced in the finance literature for measuring and managing market risk and credit risk. Lectures will be held in a computer room. About 30% of the time will be dedicated to the practical implementation of the models.

Syllabus

1. Introduction
Definition of market risk, credit risk, liquidity risk, operational risk. Measuring and managing financial risk. Case study. Regulation.
2. Market risk
Basics of immunization techniques. Methods for the estimation of volatility and correlation (exponential moving average, Garch models, implied volatility, realized volatility). Market risk and Value-at-Risk (VaR) models. VaR models: parametric approach (portfolio-normal, asset-normal, delta-normal, delta-gamma-normal, beta-normal), non-parametric approach (historical simulation, filtered historical simulation, Monte Carlo simulation). Stress testing and backtesting.
3. Credit risk
Basic variables: default probability, loss given default, expected loss, unexpected loss, transition matrices. Credit risk measurement: structural models; intensity-based models; credit scoring models; portfolio models. Credit derivatives. Systemic risk.

References
- J. HULL, Options, futures, and other derivatives, (VII edition). Prentice Hall, NJ, 2008.
(chapters 20-23).
- A. RESTI - A. SIRONI, Risk management and shareholders' value in banking, (I edition). Egea, Milan, 2007.
(chapters 6-15 and 19-21).
- Slides downloadable from the course website "http://dse.univr.it/berardi/mqrm/mqrm.htm".

Assessment methods and criteria

Written exam.