- Docente: Gian Luca Tassinari
- Credits: 6
- SSD: SECS-P/05
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Rimini
- Corso: Second cycle degree programme (LM) in Statistical, Financial and Actuarial Sciences (cod. 8877)
Course contents
Introduction to market risk.
Risk analysis at portfolio level: the univariate approach. Portfolio volatility models and Value at Risk and Expected Shortfall estimation.
Risk analysis at asset level: the multivariate approach. Models for the variance and covariance matrix and Value at Risk and Expected Shortfall estimation.
Risk measurement on different time horizons: the simulation of the term structure of risk.
Risk measurement for a portfolio containing options.
Introduction to credit risk.
Alternative approaches to credit risk measurement.
Model validation and stress testing
Readings/Bibliography
Peter Christoffersen, Elements of financial risk management, Second edition, Elsevier
Carol Alexander, Market risk analysis II - Practical financial econometrics, Wiley
Carol Alexander, Market risk analysis IV - Value at Risk models, Wiley
Alexander J. McNeil, Rudiger Frey, Paul Embrechts, Quantitative risk management, Princeton University Press
Further references will be indicated during the lectures
Teaching methods
Theoretical lessons and exercises in the laboratory
Assessment methods
Written exam: exercises and theory questions
Teaching tools
Blackboard and slides
Office hours
See the website of Gian Luca Tassinari
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.