Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.

Programme

1 – Financial valuation methods and models
The value and risk categories. Financial valuation methods. Discounted certainty equivalent approach. Discounted certainty equivalent models. On the choice between risky alternatives. Expected utility hypothesis. Option pricing theory. Risk-adjusted discounting method. Risk-adjusted discounting models. Mixed methods.

2 – Risk management: criteria and rules
Formal scheme. Sources and forms of risk. Market risk and credit risk. Stochastic models for market risk: (a brief review of) equity and currency risk, interest rate risk. Interest rate risk management and control. Semi-deterministic financial immunization theory. Stochastic financial immunization theory and hedging logic. Risk measures for the maximum potential loss (VAR, Risk Capital). Banking and insurance regulation and supervision, and risk culture: Basilea 2 and Solvency 2.

Core Documentation

Teaching material provided by the lecturer.

Main material

Exposure Draft from the “Conceptual Framework dei Principi Italiani di Valutazione” (PIV) (see http://www.fondazioneoiv.it/)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) - (part I and paragraphs 13.3 e 13.4)

Castellani G., De Felice M., Moriconi F. (2006) Manuale di finanza, vol. III (Il Mulino) - (paragraphs 5, 6, 7 e 8)

Castellani G., De Felice M., Moriconi F., Mottura C. (1993) Un corso sul controllo del rischio di tasso di interesse (Il Mulino)

Further material

Comitato di Basilea per la Vigilanza bancaria (2004) Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali (see www.bis.org)

IIA Insurer Solvency (2004) A Global Framework for Insurer Solvency Assessment (see www. actuaries.org)

Castellani G., De Felice M., Moriconi F. (2005) Manuale di finanza, vol. II (Il Mulino) (paragraph C.5)

Type of delivery of the course

The course is organized on the basis of lectures.

Type of evaluation

The overall assessment is determined by means of a final oral exam.