Anno Accademico 2018/2019
- Docente: Antonio Castagna
- Crediti formativi: 3
- SSD: SECS-S/06
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
- Corso: Laurea Magistrale in Quantitative finance (cod. 8854)
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