ECONOMICS | Quantitative Analysis of Financial Risk

ECONOMICS Quantitative Analysis of Financial Risk

 0222200037 DEPARTMENT OF ECONOMICS AND STATISTICS EQF7 ECONOMICS 2022/2023

 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
 MARIA RUSSOLILLO1 T SARA MILITO2
ExamDate
ANALISI QUANTITATIVA DEL RISCHIO FINANZ 04/04/2023 - 09:00
ANALISI QUANTITATIVA DEL RISCHIO FINANZ 04/04/2023 - 09:00
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

MODULO 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
ASSESSMENT METHODS:
-WRITTEN EXAMINATIONS;
-ORAL EXAMINATION.
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
LECTURE NOTES AND EXERCISES BY THE TEACHER

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