23693 - Risk Management

Course Unit Page

Academic Year 2019/2020

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.


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