Bond portfolio management and equity markets (2019/2020)

Course code
4S006068
Name of lecturer
Emanuele Maria Carluccio
Coordinator
Emanuele Maria Carluccio
Number of ECTS credits allocated
9
Academic sector
SECS-P/11 - FINANCIAL MARKETS AND INSTITUTIONS
Language of instruction
Italian
Location
VERONA
Period
primo semestre magistrali dal Sep 30, 2019 al Dec 20, 2019.

Lesson timetable

Go to lesson schedule

Syllabus

1. The yield and risk analysis both at single bond and at portfolio level
2. The immusization policy for fixed income bond portfolio
3. The portfolio convexity and the yield curve non parallel shifts
4. The use of bond futures contracts in managing government bond portfolios
5. From the yield curve to the term structure
6. The floating rate notes
7. The OTC derivatives
8. Corporate bond analysis: the spread evaluation
9. The return analysis for stocks
10. The risk analysis at single stock and at portfoglio level
11. Equity portfolio passive and active management policies

Text books
P. L. FABRIZI (a cura di), “Economia del mercato mobiliare”, Egea, VI edizione, Milano, 2016, limited to the following chapters:
cap. 4. I criteri di valutazione e gli indicatori del rendimento dei titoli obbligazionari
cap. 5. I criteri di valutazione e gli indicatori della liquidità dei titoli obbligazionari
cap. 6. I criteri di valutazione e gli indicatori del rischio dei titoli obbligazionari
cap. 7. La curva dei rendimenti per scadenze
cap. 8. I criteri di valutazione e gli indicatori del rendimento e del rischio dei titoli azionari
cap. 12. Le strategie di gestione dei portafogli azionari ed obbligazionari
cap. 17. L'utilizzo degli strumenti derivati nella gestione di portafoglio

Reference books
Author Title Publisher Year ISBN Note
Fabrizi Pierluigi Economia del mercato Mobiliare Egea 2016 9788823822160

Assessment methods and criteria

The final examination is usually in written format trough a first part with multiple choice and a second part with case studies.
In the summer session, due to the peculiar situation linked to COVID 19, the final examination will be organized as follow only in oral format. Please get in touch with the course coordinator (<emanuelemaria.carluccio@univr.it>) in order to organize the oral exam.