87864 - TOPICS IN LIQUIDITY RISK

Scheda insegnamento

  • Docente Antonio Castagna

  • Crediti formativi 3

  • SSD SECS-S/06

  • Modalità didattica Convenzionale - Lezioni in presenza

  • Lingua di insegnamento Inglese

Anno Accademico 2018/2019

Conoscenze e abilità da conseguire

"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”

Testi/Bibliografia

Antonio Castagna and Francesco Fede: Managing and Measuring Liquidity Risk, 2013, Wiley.

Strumenti a supporto della didattica

Slides provided during the course

Orario di ricevimento

Consulta il sito web di Antonio Castagna