- Docente: Antonio Castagna
- Credits: 3
- SSD: SECS-S/06
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
Learning outcomes
"The course aims at the in-depth analysis of some topics related to the ALM and liquidity risks within the banking industry. More specifically, during the course the following topics will be studied: - Behavioural models for sight deposits, credit lines and prepayment of loans and mortgages. - The interrelations between the econometric analysis and the standard tools for financial evaluation. - Adjustments to fair value of securities to take into account illiquid markets”
Course contents
1. Liquidity and banking activity
2. Monitoring Tools for Liquidity
3. Liquidity Buffer and Term Structure of Liquidity
4. Market risk factors and Liquidity
5. Behavioural modelling of Balance Sheet Items
6. Pricing Liquidity Risk in Derivative Contracts
7. Fund Transfer Pricing Modelling
Readings/Bibliography
Antonio Castagna and Francesco Fede: Managing and Measuring Liquidity Risk, 2013, Wiley.
Articles and papers indicated during the lessons and available at www.iasonltd.com in the research section.
Teaching methods
Slides' presentations
Assessment methods
Final Exam
Teaching tools
Slides provided during the course
Office hours
See the website of Antonio Castagna