Anno Accademico 2019/2020

  • Docente: Umberto Cherubini
  • Crediti formativi: 6
  • 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

At the end of the course the student is familiar with the main principles and tools of market risk analysis and the hedging techniques. He knows the general theory of risk measures and the principles of market risk regulation. He is able to design a process of market risk measurement and reporting, and to make market risk management decisions.


1. Definition of market risk and the concept of sensitivity

2. Cash flow analysis and mapping of fixed and floating rate secutities

3.  Profit and loss distribution analysis for linear portfolios: parametric VaR approach

4.Structured finance and non linear portfolios: replicating portfolio analysis and Monte Carlo simulation.

5. Beyond non-normal returns: historical simulation and stress testing

6. Spread risk and the risk analysis of credit risk portfolios and securitization tranches

7. The debate on risk measures

8. Credit and funding valuations adjustments

9.  Market risk and accounting: prudent valuation

10.Overview of market risk regulation: towards FRTB


  1. C. Acerbi, Coherent Representations of Subjective Risk Aversion, ch. 10 in G. Szego (ed), Risk Measures for the 21th Century, Wiley Finance Series, 2004
  2. M. Bianchetti and U. Cherubini, Prudent Valuation Guidelines and Sound Practices, https://ssrn.com/abstract=2790629 , 2016
  3. U. Cherubini and G. Della Lunga, Structured Finance: The Objected Oriented Approach, Wiley Finance, Chichester, 2007
  4. J. Mina and J. Y. Xiao, Return to RiskMetrics: The Evolution of the Standard,RiskMetrics, New York, 2001
  5. JP Morgan, RiskMetrics™ – Technical Document, Fourth Edition, New York, 1996

Additional reading will be provided during the course

Metodi didattici

Classroom lectures

Modalità di verifica e valutazione dell'apprendimento

The exam will be based on a term paper, that may consist of a portfolio analysis or the analysis of a specific topic and an oral exam. The portfolio will be provided at the beginning of the course. During the course, several analysis of the portfolio will be suggested.

At the end of the course each student will take an oral exam in which he will sustain a defence of the term paper, and will answer questions about the subjects covered in the program.

Strumenti a supporto della didattica

Portfolio case study. Computer execises.

Orario di ricevimento

Consulta il sito web di Umberto Cherubini