- Docente: Anna Grazia Quaranta
- Credits: 6
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: In-person learning (entirely or partially)
- Campus: Forli
- Corso: Second cycle degree programme (LM) in Economics and Business Administration (cod. 8858)
Course contents
1. Risk: definitions and classifications; downside risk; mean, variance and standard deviation; the meaning of volatility; risk and asymmetric return distributions.
2. Risk Measures: Value at Risk (VaR), Expected Shortfall (CVAR); Risk Measures property; selecting VaR parameters; Back-testing and Stress-testing; VaR measuring procedures.
3. Trade-off between risk and return: the Markowitz' model; the Capital Asset Pricing Model (CAPM); the Arbitrage Pricing Model (APT); Portfolio Selection via Vol, VaR and CVaR.
4. The trade-off between risk and return in relation to the Companies.
5. Financial products and hedging procedures: Exchange-traded Market and over-the-counter Market (OTC); hedging procedures description; 'Plain-vanilla' products (spot and long position, short selling, forwards, futures, swaps, options); using financial products for hedging; a short assay on exotic options and structured products.
6. Interest Rate Risk Measures and Management: Interest Rate Risk in relation to bond with or without coupon; duration meaning and peculiarities; from the duration limits to convexity and to stochastic duration; hedging procedures and Financial Immunization.
7. Credit Risk and Default Probability: ratings; Z-score model; Default Probability and historical data; Default Probability and bond prices; Default Probability and stock prices; a short assay on Credit Derivatives (CDS, CDS Forwards and CDS Options).
8. Banking Regulation and Basil III: from Basil I to Basil II; from Basil II to Basil III; Credit Risk and Basil II; Operational Risk and Basil II. A short assay on Basil III.
9. Operational Risk: definitions; the approaches for the operational risk capital quantification; operational risks classification; loss frequency distribution and loss severity distribution; forward looking approaches; capital distribution to face operational risks.
10. Model Risk and Liquidity Risk: the models; the models in relation to linear product and the models in relation to structured products; the overfitting and the overparameterization problems; Liquidity Risk definition; liquidity black holes; long-term capital management.
Office hours
See the website of Anna Grazia Quaranta