- Docente: Giuseppe Lusignani
- Credits: 6
- SSD: SECS-P/09
- Language: Italian
- Moduli: Giuseppe Lusignani (Modulo 1) Riccardo Tedeschi (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Financial Markets and Institutions (cod. 0901)
Learning outcomes
The course aims to introduce the main derivative contracts used for financial risk management: futures, interest rate swaps and credit derivatives. The first part of the course deals with the features and possible uses of these instruments to hedge against risks, as well as their pricing formulas. The second part of the course is dedicated to the introduction of the main issues of credit risk, with particular reference to the valuation of a set of financial instruments whose value depends on the possible default of the counterparty (bonds, credit default swaps, securitizations).
Course contents
First part
- Introduction to the market of derivatives
- Operating mechanisms of future markets and hedging strategy
- Interest Rates, Forward Rates, Future Prices, Interest Rates Futures
- Interest Rate Swap Contracts
Second part
- Introduction to credit risk
- Models for measuring credit risk at portfolio level
- Evaluation of Defaultable Bonds
- Forward Structure of the Default Probability and evaluation of the deafultable Loans
- Derivatives Single name loans: Credit Default Swaps
- Credit Indexes and multiname credit derivatives
The second part of the course is taught by Dr. Riccardo Tedeschi.
Readings/Bibliography
Hull, J.C. -Options futures and other derivatives (10th edition), 2018
Christian Bluhm, An Introduction to Credit Risk Modelling. Chapman & Hall. (2003)
Further bibliographical references will be provided during the course and made available on the http://iol.unibo.it/
Teaching methods
Lectures followed by in-class tutorials.
Assessment methods
The exam consists of a written test, in which the student will be asked to demonstrate the ability to apply both analytically and numerically what was learned during the course.
Teaching tools
Frontal lessons with projector support; applications developed in excel and visual basic for the evaluation of derivative contracts discussed during the lessons.
Office hours
See the website of Giuseppe Lusignani
See the website of Riccardo Tedeschi