Financial Risk Management (2017/2018)

Course code
4S006189
Name of lecturer
Alessandro Gnoatto
Coordinator
Alessandro Gnoatto
Number of ECTS credits allocated
9
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Location
VERONA
Period
Secondo Semestre Magistrali dal Feb 26, 2018 al May 25, 2018.

Lesson timetable

Go to lesson schedule

Learning outcomes

The goal of the lecture is to present the theoretical foundations and the models employed by financial institutions to manage different sources of financial risk. A particular focus will be put on numerical methods (Monte Carlo simulations) and their implementation using modern IT-Tools (Java, Eclipse).

Syllabus

Part 0
Introduction: Risk Management – intersection between Mathematics, IT and regulation

Part 1 Monte Carlo Methods
Monte Carlo integration (code)
Generation of randon draws and discretization of stochastic processes (code)
Variance reduction techniques (code)

Part 2 Market Risk
Introduction: IR, Equity, FX, Commodities, Options
Risk Measures: general theory
VaR/ES calculation
1) Historical approach (code)
2) Analytical approach
3) Monte Carlo simulations (code)
Optional: Basel II regulations

Part 3 Credit Risk
Basic risks in a default-free setting: duration and convexity
Structural Models
Rating based models
Optional: Basel II regulations

Part 4 Counterparty Credit Risk Funding and collateral (xVA)
CVA DVA
FVA
Monte Carlo for xVA (code)
Optional: Basel III/Basel IV regulations

Reference books
Author Title Publisher Year ISBN Note
A. F. McNeil, R. Frey, P. Embrechts Quantitative Risk Management:Concepts, Techniques and Tools Princeton University Press 2015
John C. Hull Risk Management e Istituzioni Finanziarie (Edizione 4) LUISS University Press 2015 978-88-6105-223-9

Assessment methods and criteria

The final exam consists of
a) a project work to be completed individually or in small groups.
b) a written exam.

STUDENT MODULE EVALUATION - 2017/2018