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
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

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
More Information
LECTURE NOTES AND EXERCISES BY THE TEACHER
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