ECTS - University of Pisa
Scheda programma d'esame
METHODS FOR ASSESSMENT AND RISK MANAGEMENT
EMANUELE VANNUCCI
Academic year2016/17
CourseBANKING FINANCE FINANCIAL MARKETS
Code387PP
Credits6
PeriodSemester 1
LanguageItalian

ModulesAreaTypeHoursTeacher(s)
METODI PER LA VALUTAZIONE E GESTIONE DEL RISCHIOSECS-S/06LEZIONI42
EMANUELE VANNUCCI unimap
Programma non disponibile nella lingua selezionata
Learning outcomes
Knowledge
The students who complete the course successfully will be able to demonstrate a solid knowledge of the main issues related to defining and measuring market risk and to analyze the main static and dynamic hedging strategies.
Assessment criteria of knowledge
In the written exam the student must demonstrate his/her ability to put into practice the main topics presented during the course. In the oral exam the student must be able to demonstrate his/her knowledge of the course material and to be able to discuss the main course contents using propriety of expression.

Methods:

  • Final oral exam
  • Final written exam
Teaching methods

Delivery: face to face

Learning activities:

  • attending lectures
  • individual study

Attendance: Advised

Teaching methods:

  • Lectures
Syllabus
- Traditional approach and axiomatic approach to the measurement of financial risk. - Measures of downside risk: VAR, TCE and the Expected Shortfall. - Measurement of risk through sensitivity indices. - Techniques for mapping. - General principles of static and dynamic hedge. - The use of forwards, futures and options in the management of market risk.
Bibliography
F.Orsi: "Misurazione del rischio di mercato" - Edizioni Plus 2009- Pisa F.Orsi.: “Strategie di copertura da rischio finanziario” – Edizioni Plus 2006- Pisa Recommended reading includes the following works: J.Hull: "Risk management e istituzioni finanziarie" – Pearson 2008 J.Hull: "Opzioni, futures e altri derivati" -VII edizione – Pearson 2009 P. Jorion: Financial Risk Manager Handbook, 5th Edition- Wiley 2009
Updated: 14/11/2016 17:27