# ECONOMICS | Quantitative Analysis of Financial Risk

## ECONOMICS Quantitative Analysis of Financial Risk

 0222200037 DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE EQF7 ECONOMICS 2019/2020

 OBBLIGATORIO YEAR OF COURSE 2 YEAR OF DIDACTIC SYSTEM 2018 PRIMO SEMESTRE
 SSD CFU HOURS ACTIVITY TYPE OF ACTIVITY 1 ANALISI QUANTITATIVA DEL RISCHIO FINANZIARIO MOD 1 SECS-S/01 5 30 LESSONS COMPULSORY SUBJECTS, CHARACTERISTIC OF THE CLASS 2 ANALISI QUANTITATIVA DEL RISCHIO FINANZIARIO MOD 2 SECS-S/06 5 30 LESSONS COMPULSORY SUBJECTS, CHARACTERISTIC OF THE CLASS
 MARIA RUSSOLILLO2 T RODOLFO METULINI1
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 (30H LEZIONE)

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

MODULO B (30H LEZIONE)
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
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LECTURE NOTES AND EXERCISES BY THE TEACHER
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