Quantitative Analysis of Financial Risk

ECONOMICS Quantitative Analysis of Financial Risk

0222200037
DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE
EQF7
ECONOMICS
2017/2018

OBBLIGATORIO
YEAR OF COURSE 2
YEAR OF DIDACTIC SYSTEM 2016
SECONDO SEMESTRE
CFUHOURSACTIVITY
1ANALISI QUANTITATIVA DEL RISCHIO FINANZIARIO MOD. 1
530LESSONS
2ANALISI QUANTITATIVA DEL RISCHIO FINANZIARIO MOD. 2
530LESSONS
Objectives
1) KNOWLEDGE AND UNDERSTANDING
THE STUDENTS ARE EXPECTED TO MASTER THE MAIN METHODOLOGICAL TOOLS FOR THE QUANTITATIVE ANALYSIS OF FINANCIAL RISKS.

2) APPLYING KNOWLEDGE AND UNDERSTANDING
THE COURSE AIMS AT HELPING THE STUDENTS TO DEVELOP THE ABILITY TO USE ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS AND MANAGEMENT OF FINANCIAL RISKS.
Prerequisites
KNOWLEDGE OF MATHEMATICS FOR ECONOMICS, FINANCIAL MATHEMATICS, STATISTICS.
Contents
MODULE A

CREDIT SCORING METHODS, MEASURES OF ASSOCIATION BETWEEN BINARY CAUSAL VARIABLES, LOGIT REGRESSION, DISCRIMINANT ANALYSIS.

MODULO B
PORTFOLIO THEORY – MARKOWITZ MODEL – SHORT SELLING - SHARPE MODEL – ETA– CAPM – FUTURES – FINANCIAL OPTIONS
Teaching Methods
- LECTURES IN CLASSROM;
- PRACTICES;
- LECTURES IN LABORATORY.
Verification of learning
ASSESSMENT METHODS:
-WRITTEN EXAMINATIONS;
-ORAL EXAMINATION.
Texts
MODULE A

E. STANGHELLINI, INTRODUZIONE AI METODI STATISTICI PER IL CREDIT SCORING, SPRINGER, 2009;

MODULE B
D.G. LUENBERGER, INVESTMENT SCIENCE, OXFORD UNIVERSITY PRESS, 1998
More Information
LECTURE NOTES AND EXERCISES BY THE TEACHER
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