- Docente: Umberto Cherubini
- Crediti formativi: 6
- SSD: SECS-S/06
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
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Corso:
Laurea Magistrale in
Quantitative Finance (cod. 8854)
Valido anche per Laurea Magistrale in Greening Energy Market and Finance (cod. 5885)
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dal 14/02/2024 al 14/03/2024
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.
Contenuti
1. Market risk and the definitions of "price", "risk factor" and "sensitivity"
2. Risk factors and risk mapping for linear, non linear and structured products.
3. Spread risk single name (CSR risk): bond and CDS spreads
4. Credit risk models: structural and intensity based models
5. Correlation risk and copula functions
5. Spread risk multi name: credit risk portfolios and securitizations
6. Counter party risk and credit valuation adjustments
7. Counterparty risk mitigation and funding valuations adjustments
8. Risk measures: VaR and ES in the axiomatic approach
9. Market liquidity risk and accounting: valuation risk
10. Funding liquidity risk, IRBB and non maturing deposits management.
Testi/Bibliografia
- C. Acerbi, Coherent Representations of Subjective Risk Aversion, ch. 10 in G. Szego (ed), Risk Measures for the 21th Century, Wiley Finance Series, 2004
- M. Bianchetti and U. Cherubini, Prudent Valuation Guidelines and Sound Practices, https://ssrn.com/abstract=2790629 , 2016
- U. Cherubini and G. Della Lunga, Structured Finance: The Objected Oriented Approach, Wiley Finance, Chichester, 2007
- J. Mina and J. Y. Xiao, Return to RiskMetrics: The Evolution of the Standard,RiskMetrics, New York, 2001
- 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
- an oral examination in which the student will discuss the term paper or portfolio and then will answer questions about the subjects covered in the whole program.
The term paper will account for up to 5 points in the final grade.
The term paper should consist of
- an introduction to the problem or topic chosen
- a review of the literature on the subject
- a mathematical treatment of the problem
- an illustrative example with data, either real or simulated
The maximum possible score is 30 cum laude.
The grades are described as follows
< 18 failed
18-23 sufficient
24-27 good
28-30 very good
30 cum laude Excellent
Strumenti a supporto della didattica
Portfolio case study. Computer execises.
Orario di ricevimento
Consulta il sito web di Umberto Cherubini