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23693 - Risk Management

Academic Year 2019/2020

                
                        Docente:
                        Giuseppe Lusignani
                    
                        Credits:
                        6
                    
                        SSD:
                        SECS-P/09
                    
                        Language:
                        Italian
                    
                        Moduli:
                        
                            Giuseppe Lusignani
                            (Modulo 1)
                        
                            Riccardo Tedeschi
                            (Modulo 2)
                        
                        Teaching Mode:
                        
                                    Traditional lectures (Modulo 1)
                                
                                    Traditional lectures (Modulo 2)
                                
                            Campus:
                            Bologna
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Financial Markets and Institutions (cod. 0901)

                            Teaching resources on Virtuale

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.

Readings/Bibliography

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