Financial risk management (2017/2018)

Course code
4S02484
Name of lecturer
Enrico Moretto
Coordinator
Enrico Moretto
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
Primo Semestre Magistrali dal Oct 2, 2017 al Dec 22, 2017.

Lesson timetable

Go to lesson schedule

Learning outcomes

The goal of the Financial Risk Management (2017-18) course is to present the contents of the main quantitative models financial institutions apply to manage the various ways risk arise in financial markets.

Syllabus

Tentative outline for the course is as follows:
1) interest rate risk management
2) coherent measures of risk: Value-at-Risk and Expected Shortfall
3) structural models: Merton (1974), Black and Cox (1976), and Leland (1994)
4) Jarrow, Lando and Turnbull (1997) rating-based model
5) exogenous bankruptcy models
6) KMV model and discriminant analysis
7) Introduction to copula functions. Li (2001) model. Concordance meaures
8) xVA (Value Adjustment) model to evaluate the effect of derivative contracts into banks balance sheets

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

Assessment methods and criteria

The final exam contains:
a) a project work to be done either singularly or in very small groups of studenti (max 4 points)
b) a written exam composed of two question to be chosen out of the three that will be given (max 28 points)

Before attending the written exam the project work has to be handed in.

STUDENT MODULE EVALUATION - 2017/2018