Gestione dei rischi e titoli derivati

Semestre 2 · 25437 · Corso di laurea magistrale in Accounting e Finanza · 6CFU · DE

The course Risk Management and Derivatives introduces students to the world of financial risks and the tools to manage them effectively. You will explore how to identify, measure, and hedge market, credit and liquidity risks by applying theory to real-world data. Through hands-on use of the software R, you’ll practice techniques like Value-at-Risk, stress testing, and credit risk modeling. Topics range from hedging with derivatives such as options, futures, and swaps to analyzing financial disasters and their lessons. With a mix of analytical methods and practical applications, the course equips you with the skills needed for a career in finance or further academic research.

Docenti: Alex Weissensteiner, Silvia Bressan

Ore didattica frontale: 36
Ore di laboratorio: 6
Obbligo di frequenza: Suggested, but not required

Argomenti dell'insegnamento
(A) structure and mechanics of OTC and exchange markets (B) (coherent) risk measures (C) market risk: bond fundamentals, derivatives, introduction to market risk, sources of market risk (interest rate risks, equity risks, currency risks, commodity risks), hedging linear risk (forwards, futures, swaps), nonlinear risk (options), modeling risk factors, Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR or expected shortfall), VaR mapping, historical and parametric VaR estimation, back testing, stress testing and scenario analysis. (D) credit risk: introduction to credit risk, actuarial default risk (credit rating), default risk from market prices (Merton model, bonds with embedded prices), credit VaR, expected and unexpected credit losses, credit derivatives, (E) liquidity risk (F) financial disasters and risk management failures will be discussed. (G) climate risk

Modalità di insegnamento
Lectures

Modalità d'esame
Written exams after 2/3 of the semester and at the end of the semester.

Criteri di valutazione
The assessement is based on a mid-term exam (33%, applicable for the June exam) and a final exam, where either the better result from 66% of the final exam or 100% of the final exam is considered. After the June exam, the final exam counts for 100% of the evaluation. A minimum score of 18 out of 30 points is required for a positive result.

Bibliografia obbligatoria

Philippe Jorion, Financial Risk Manager Handbook (GARP), 6th Edition, Wiley, 2011.

Bibliografia facoltativa

John C. Hull, Risk Management and Financial Institutions, Wiley, 2015.
René Stulz, Risk Management & Derivatives Thomson South-Western, 2002.
P. Wilmott, S. Howison and J. Dewynne, The Mathematics of Financial Derivatives: A Student Introduction, Cambridge University Press, 1995
Steve Allen, Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, Wiley, 2013.
Selected chapters from CFA Institute Curriculum 2018 edition, Level I –III

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Obiettivi di sviluppo sostenibile
Questa attività didattica contribuisce al raggiungimento dei seguenti Obiettivi di Sviluppo sostenibile.

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