- Docente: Marco Di Francesco
- Credits: 6
- SSD: SECS-P/09
- Language: English
- Teaching Mode: Blended Learning
- Campus: Bologna
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Corso:
Second cycle degree programme (LM) in
Greening Energy Market and Finance (cod. 5885)
Also valid for Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
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from Nov 07, 2023 to Dec 12, 2023
Learning outcomes
At the end of the course the student knows how to transfer credit and climate risk by means of swap arrangements (asset swaps and TRORS), and with credit/weather derivatives. The student knows the analysis developed both on a single name basis (CDS) and on a multiname basis (CDO, CDX, iTraxx). The analysis is extended to large CDO, ABS and ABX.
Course contents
The term structure of interest rates and bond prices
Default-free bonds vs defaultable bonds. Green bonds vs traditional bonds.
The pletora of credit spreads and The puzzle of green premiums.
The basic of credit derivatives. The basic of weather derivatives.
Single name credit derivatives: ASW and CDS. The CDS-bond basis.
Single name credit models: structural and intensity-based models
Multi-name credit derivatives: credit indexes, first to default swaps. CDS index: Itaxx and CDX. Securitization: CDOs and ABS.
Green Securitization.
Multi-name credit models: copula functions
Pricing Weather derivatives: models and assumptions. A case study: pricing options with payouts depending on temperature.
Readings/Bibliography
- D. Duffie and K. Singleton: Credit Risk: Pricing, Measurement and Management, Princeton University Press, 2003
- D. Lando: Credit Rsik Modeling: Theory and Applications. Princeton Series in Finance
- C. Bluhm, L. Overbeck and C. Wagner: An introduction to Credit Risk Modeling, Chapman & Hall/CRC, 2003
- M. Morini, "Understanding and Managing Model Risk. A practical guide for quants, traders and validators", Wiley, 2011.
- F. Benth, J. Benth: Modeling and pricing in financial market for weather derivatives, World Scientific, 2013
Teaching methods
Classroom lectures.
Theoretical lessons are accompanied and completed by interactive Lab sessions with real market data, examples and exercises.
Lessons are based on slides and Excel and Matlab exercises.
Assessment methods
The learning test consists in a written exam (maximum 2 hours). No intermediate test.
The students can ask also for an oral exam about all the programme of the course. The final grade will be the average of the oral and the witten exam's grade.
The maximum possible score is 30 cum laude (for both written and oral exam).
The grades are described as follows
< 18 failed
18-23 sufficient
24-27 good
28-30 very good
30 cum laude Excellent
Teaching tools
Teaching tools will be blackboard and slides.
Case studies analyses with real market data. Computer exercises.
Office hours
See the website of Marco Di Francesco