More specifically,
- financial valuation methods and models
- principles and strategies for semi-deterministic and stochastic financial immunization
- risk measures for the maximum potential loss, also in the context of banking and insurance regulation and supervision, are discussed.
Curriculum
Fruizione: 21210182 VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO in Finanza e impresa LM-16 MOTTURA CARLO DOMENICO
Programme
1 – FINANCIAL VALUATION METHODS AND MODELSThe 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
Handouts from teacher.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.Fruizione: 21210182 VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO in Finanza e impresa LM-16 MOTTURA CARLO DOMENICO
Programme
1 – FINANCIAL VALUATION METHODS AND MODELSThe 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
Handouts from teacher.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.Fruizione: 21210182 VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO in Finanza e impresa LM-16 MOTTURA CARLO DOMENICO
Programme
1 – FINANCIAL VALUATION METHODS AND MODELSThe 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
Handouts from teacher.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.Fruizione: 21210182 VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO in Finanza e impresa LM-16 MOTTURA CARLO DOMENICO
Programme
1 – FINANCIAL VALUATION METHODS AND MODELSThe 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
Handouts from teacher.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.