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THIRD TERM

April - May 2020

  • Accounting, Risk Evaluation and Financial Analysis for Banks - Instructor: Stefano Zorzoli
    The course discusses the peculiarities of financial statements and financial reporting of banks and financial institutions. The analysis focuses on the effects of International Financial Reporting Standards (IAS/IFRS) endorsement on accounting and risk evaluation by banks and deals with some related aspects, such as the analysis of bank profitability by financial ratios.
  • Corporate Financial Risk Management - Instructor: Cesare Conti
    The objective is to explore a process of CFRM that is aligned with the objective of value creation and, therefore, is strictly integrated with the firm's strategies. Particular attention will be devoted to the accounting procedures of financial derivatives, as provided for by the international accounting standards (IAS 32, IAS 39, IFRS 7). Risk measurement tools are also briefly explored (such as Cash Flow at Risk, Value at Risk and Earning at Risk) as are risk management tools (asset and financial restructuring, contingent capital and financial derivatives). The course includes both traditional lectures and contributions from visiting practitioners.
  • Corporate Governance and Internal Controls in Financial Institutions - Instructors: M. Onado, S. Zorzoli
    The course deals with the working of Internal Controls and Corporate Governance Rules in banks and financial institutions:principles, goals, powers, responsibilities.The two topics, which are strongly connected to each other, are discussed from a management and organizational point of view, according to the existing regulatory framework.
  • Credit Derivatives and Securitisations - Instructor: Andrea Fabbri
    The course focuses on the management of the credit risk of the assets of bank's balanced sheets through the latest credit management and liquidity enhancement techniques. Focus will be on innovative instruments such as credit derivatives, cash and synthetic securitisations and asset-backed securities. Valuation, pricing and risk analysis of these financial instruments will be amongst the topics of the course.
  • Derivatives Credit Risk: Management and Measurement  - Instructors: Dimitrios Karyampas
    The module aims to introduce the new reality for banking and financial institutions in the aftermath of the 2008 crisis. Highly debated topics such as counterparty credit risk modeling, pricing of counterparty risk (CVA/DVA), cost of funding and collateral management will be examined in depth. The theory will be supported by case studies and hands-on examples. In particular, we will show in a devoted computer session how to price interest rate derivatives with Monte Carlo in a multi-curve setting that accounts for the CVA/DVA contributions.
  • Exotic Derivatives - Instructors: Marina Marena, Andrea Roncoroni
    This course introduces to the fast-growing financial markets of exoticderivatives. We mainly focus on energy markets (electricity, gas, and oil), of which we analyze both economic and financial issues. Quantitative models and contractual structures are presented in a self-contained way. Following a learning-by-doing approach, we highlight the use of derivatives for hedging purposes through concrete examples.
  • Market and Counterparty Risk: Management and Measurement - Instructors: Marco Bianchetti, Rita Gnutti, Pietro Virgili
    The course aims to teach how pricing/risk theory and formal regulatory requirements are turned into practice in banks for actual pricing and risk management purposes. The program covers pricing and risk management of derivatives and securities, model risk management, prudent valuation, market and counterparty risk management of portfolios of financial instruments. Each area is illustrated with practical examples and case studies.
  • Market Microstructure - Instructor: Barbara Rindi
    The objective of these lectures is to describe and discuss the fundamental models of market microstructure. The course will start with an overview of the organizational structure of financial markets around the world. This will be followed by a presentation on the most popular microeconomic models with asymmetric information. The demonstrations will enable students to understand and apply various techniques of microeconomic analysis which can be deployed in the context of financial markets for evaluating regulatory actions on different market designs and for estimating transaction costs. The course will end with an introduction to the use of high frequency datasets.
  • Operational and Reputational Risk: Management and Measurement - Instructor: Giampaolo Gabbi
    The course deals with the metrics to measure and manage the operationla and reputational risks within the banking and financial business. The subject is discussed according to existing regulations in the main European countries. Some best practices and experiences are presented by experts.                                     
  • Portfolio Performance Evaluation - Instructor: Paolo Cucurachi
    The objective of the course is to deal with measures aimed at evaluating (ex post) and choosing (ex ante) asset managers. The widespread use of rating methodologies (i.e Morningstar), based on ex-post risk adjusted measures, to select managers is not consistent with the results of several analyses on performance persistence and with risk budget models. Starting from the traditional Sharpe Ratio, the course will present the major performance measures and multimanager optimization tools.
  • Selected Topics in the Trading and Modelling of Volatility and other Risks: - Instructor: Fabio Trojani
    The course is an introduction to recent advances in the model-free trading of volatility and other risks, such as skewness risk, using suitable option portfolios. We will provide a systematic theory for replicating suitable payoffs that are interpretable as realized volatility or realized skewness and we will infer their prices in a model-free way from corresponding option portfolios in arbitrage-free markets. While these results provide the foundations to, e.g., well-known volatility and skew indices used in the practice – such as the CBOE VIX and SKEW indices – they offer more generally a powerful unifying methodology for defining tradable notions of implied volatility and for trading various nonlinear risks, including volatility and skewness, in a model-independent way. Therefore, they also deliver a powerful approach for measuring in real time the market price of these risks, for developing models predicting future changes in the prices or the level of these risk, or for predicting future returns of other assets, such as market index returns, using observable information on the price of volatility or skewness. During the period of the course, an online data-warehouse and computational platform will be made available to interested students who would like to obtain access to relevant option market data for testing empirically some of the theoretical ideas developed in the course. 
  • Term Structure Modeling - Instructors: Anna Maria Gambaro, Massimo Morini
    The course covers the foundations of modelling for pricing interest rate derivatives. First the main interest rate derivatives and their quotations are introduced. Then the course presents the main short rate models with their advantages and limitations and describes the HJM framework. The last generation of term structure models, the Libor and Swap Market Models are analyzed in depth, with case studies and examples on pricing, calibration, volatility and correlation modelling.
  • Topics in Quantitative Finance - Instructor: Marcello Minenna
    The course is aimed to offer advanced tools and techniques for understanding and implementing financial analytics. The first section describes models for Pricing and Hedging options in a context that goes beyond the Black-Scholes-Merton paradigm, i.e. with stochastic volatility, interest rate and jumps. The risk management of derivatives and more in general of structured products is implemented through Greeks analysis and the correlated market conduct of the intermediaries is analysed. The second section illustrates the use of Fourier Transform in finance with application to derivative pricing and hedging. The implementation of Discrete and Fast Fourier transform is also analysed. Numerical methods based on the Newton-Cotes and Gauss quadrature schemes are developed. The third section illustrates the use of stochastic limit theory and multi-dimensional diffusion processes in order to analyse financial time series. An application of this approach, used to detect and quantify abnormal returns in financial markets, will be shown.

 

Last modified 19/04/2019 - 11:30:51