January - March 2020
- Credit Risk: Management and Measurement - Instructors: Giacomo De Laurentis, Andrea Resti
The course is focused on credit risk measurement techniques and management. Internal and external ratings systems, simplified credit risk models and full portfolio credit risk models are, in fact, analyzed from a technical point of view, a regulatory perspective and the management opportunities and competitive issues they open.
- Market Risks: Management and Measurement - Instructor: Aldo Nassigh
This course is aimed at providing participants with the necessary instruments to measure and understand the market risks associated to investments and trading positions typically held by major financial institutions. The subjects covered in the course include asset liability management techniques focused on interest rate risk management, value at risk models for market risks and their applications for risk measurement and control.
- Numerical Methods - Instructors: Gianluca Fusai, Daniele Marazzina
The course introduces the student to the most important numerical methodologies currently employed to interface between analytical results from arbitrage pricing theory and final users trading tools. Numerical solution to partial differential equations, Monte Carlo simulations and lattice methodologies are presented in theory and in practice through several concrete applications. Students will learn how to implement models by coding the corresponding algorithms.
- Theory of Valuation - Instructors: Anna Battauz, Alessandro Sbuelz
The course is an advanced class on mathematical finance. The intention is to provide students with the fundamental tools for the analysis of financial markets. The mathematical foundations of the celebrated Black and Scholes model will be reviewed. The valuation of relevant vanilla and non-vanilla derivatives (American claims included) will be examined in detail. The foundations of modern term structure modelling will be provided, with application to pricing and calibration for interest rate derivatives.
- Topics in Financial Econometrics with R - Instructors: Carlo Favero, Anna Rita Filippi, Fabio Monti, Matteo Ognibene, Fabio Piacenza
R is a free software environment for statistical computing and graphics. This course is aimed at learning the R language thanks to the R studio suite, with the goal of giving to participants the skills to tackle a quantitative problem that requires data management, also in case of large volumes, to discuss alternative possible solutions and to present results thanks to effective reporting. The course structure enables students to perform simple exercises directly on their laptops in the classroom, without explicit separation between theoretical and experiential learning.