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.
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
Author | Title | Publisher | Year | ISBN | Note |
A. F. McNeil, R. Frey, P. Embrechts | Quantitative Risk Management:Concepts, Techniques and Tools | Princeton University Press | 2015 |
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.
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