# ECONOMICS | 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
 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
 SARA MILITO1 T ALBINA ORLANDO2
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