75447 - ADVANCED METHODS OF RISK MANAGEMENT 1

Conoscenze e abilità da conseguire

At the end of the course the student is familiar with the main principles and tools of market risk analysis and the hedging techniques. He knows the general theory of risk measures and the principles of market risk regulation. He is able to design a process of market risk measurement and reporting, and to make market risk management decisions.

Contenuti

1. Market risk and the definitions of "price", "risk factor" and "sensitivity"

2. Risk factors and risk mapping for linear, non linear and structured products.

3.  Risk measures: VaR and ES in the axiomatic approach

4. Spread risk single name: bond and CDS spreads

5. Spread risk multi name: credit risk portfolios and securitizations

6. Correlation risk and copula functions

7. Counter party risk and credit valuation adjustments

8. Counterparty risk mitigation and funding valuations adjustments

9.  Market risk. liquidity and accounting: valuation risk

10. Introduction to climate change risk

Testi/Bibliografia

1. C. Acerbi, Coherent Representations of Subjective Risk Aversion, ch. 10 in G. Szego (ed), Risk Measures for the 21th Century, Wiley Finance Series, 2004
2. M. Bianchetti and U. Cherubini, Prudent Valuation Guidelines and Sound Practices, https://ssrn.com/abstract=2790629 , 2016
3. U. Cherubini and G. Della Lunga, Structured Finance: The Objected Oriented Approach, Wiley Finance, Chichester, 2007
4. J. Mina and J. Y. Xiao, Return to RiskMetrics: The Evolution of the Standard,RiskMetrics, New York, 2001
5. JP Morgan, RiskMetrics™ – Technical Document, Fourth Edition, New York, 1996

Additional reading will be provided during the course

Metodi didattici

Classroom lectures

Modalità di verifica e valutazione dell'apprendimento

The exam will be based on:

1. a term paper
2. an oral examination in which the student will discuss the term paper or portfolio and then will answer questions about the subjects covered in the whole program.

The term paper will account for up to 5 points in the final grade.

The term paper should consist of

1.  an introduction to the problem or topic chosen
2. a review of the literature on the subject
3. a mathematical treatment of the problem
4. an illustrative example with data, either real or simulated

The maximum possible score is 30 cum laude. 

The grades are described as follows

< 18 failed

   18-23 sufficient

   24-27 good

   28-30 very good

   30 cum laude Excellent

Strumenti a supporto della didattica

Portfolio case study. Computer execises.

Orario di ricevimento

Consulta il sito web di Umberto Cherubini