Quantitative Analysis of Financial Risk

ECONOMICS Quantitative Analysis of Financial Risk

0222200037
DEPARTMENT OF ECONOMICS AND STATISTICS
EQF7
ECONOMICS
2021/2022

OBBLIGATORIO
YEAR OF COURSE 2
YEAR OF DIDACTIC SYSTEM 2018
AUTUMN SEMESTER
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 (30H LEZIONE)
PORTFOLIO THEORY – MARKOWITZ MODEL – SHORT SELLING - SHARPE MODEL – ETA– CAPM – FUTURES – FINANCIAL OPTIONS

MODULE B (30H LEZIONE)
CREDIT SCORING METHODS, MEASURES OF ASSOCIATION BETWEEN BINARY CAUSAL VARIABLES, SUMMARY OF THE LINEAR REGRESSION MODEL, LOGIT REGRESSION, DISCRIMINANT ANALYSIS, OVERVIEW OF THE SOFTWARE R
Teaching Methods
- LECTURES IN CLASSROM;
- PRACTICES;
- LECTURES IN LABORATORY.
Verification of learning
AS CONCERN MODULE A, THE FINAL EXAM CONSISTS IN A WRITTEN EXAM AND AN ORAL VERIFICATION WITH VALUATION IN THIRTIETH AND A PROSPECTIVE THIRTY OUT OF THIRTY. EACH WRITTEN EXAM IS PASSED WITH 18/30 AT LEAST AND IS PRELIMINARY FOR THE ORAL DISCUSSION; IT CONSISTS IN 4/6 QUESTIONS, VALUED ACCORDING TO THEIR WEIGHT IN THE GLOBAL EXAM ASSESSMENT. THE AIM OF THE VALUATION IS THE RECOGNITION OF THE EXPERTISE AND A GRADUATION OF THEM. DURING THE ACADEMIC YEAR THERE WILL BE 8 EXAM SESSIONS WITH WRITTEN AND ORAL TESTS.
HE WRITTEN TEST OF FORM B IS 1:30 H LONG AND CONSISTS OF 8 QUESTIONS THAT ASSESS BOTH THE UNDERSTANDING OF THE ISSUES ADDRESSED, AND THE ABILITY TO INTERPRET THE RESULTS OBTAINED WITH THE R SOFTWARE.
Texts
MODULE A

D.G. LUENBERGER, INVESTMENT SCIENCE, OXFORD UNIVERSITY PRESS, 1998

MODULE B

E. STANGHELLINI, INTRODUZIONE AI METODI STATISTICI PER IL CREDIT SCORING, SPRINGER, 2009
More Information
FREQUENCY OF THE COURSE IS HIGHLY RECOMMENDED, BUT NON-OBLIGATORY. IN THE COURSE LECTURE THE TEACHER WILL GIVE TO THE STUDENTS NOTES AND EXERCISES. STUDENTS CAN ACT TOGETHER WITH THE PROFESSOR IN ORDER TO CLARIFY BOTH THEORETICAL AND PRACTICAL TOOLS AND PROBLEMS. STUDENTS CAN MADE SOME TEST SIMULATIONS FOR THE FINAL EXAM.

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