Public Budgeting (with special reference to the Italian System), and Public Debt Evolution.
Cost Benefit Analisys, in theory and Practice.
Business Taxation (with special reference to the Italian Tax System and the Italian Business Sector)

The same items shown above, the Italian language Section.

The multiple linear regression model. Panel data: fixed and random effects models.
Introduction to stochastic processes. Stationarity. The autocovariance function. The autocorrelation and partial autocorrelation functions. Autoregressive (AR), Moving Average (MA) and Autoregressive Moving Average (ARMA) models. Nonstationary processes: Random Walk and Autoregressive Integrated Moving Average (ARIMA) processes. Seasonal models. The Box and Jenkins procedure: preliminary analysis, model identification, parameter estimation, model validation. Forecasting using ARIMA models. Trend stationary and difference stationary process. Unit roots tests. Volatility. Conditional heteroscedastic models: ARCH and GARCH models. Asymmetric effects: TGARCH e EGARCH.

Carter Hill, R., Griffiths, W.E., e Lim, G.C., “Principles of econometrics”, 2012, Wiley.
Tsay, R.S., “An introduction to analysis of financial data with R“, 2013, Wiley.

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.

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)

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.

Handouts from teacher.

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.

Handouts from teacher.

The course aims to provide students with the tools to learn about the lines of banking and financial law. In particular, the module dedicated to banking law will deepen: the system of sources of banking law, both European and national; the European banking union, the notion of a bank and financial intermediary; the role of the Bank of Italy; the different types of banks; banking activities, banking products and complex products; banking transparency; contracts with customers, consumer credit, the role of the ABF; then, with regard to financial activities, credit discounting, customer protection and leasing activities are deepened.

With reference, instead, to the part of insurance law, the other module concerns: the regulation of the insurance company, the insurance intermediaries, the insurance contracts, the sources, the insurance and reinsurance companies, the Directive c.d. "solvency II"; supervision of the insurance system, competition law and regulations of foreign companies; distribution of insurance products and various figures of intermediaries; non-life insurance classes; life insurance; forms of risk sharing in the insurance field with particular reinsurance analysis; co-insurance; compulsory insurance.

P. Bontempi, Diritto bancario e finanziario, Giuffré, last edition: from the cap. I to the chap. VIII included.
A. Donati-G. Volpe Putzolu, Manual of insurance law, Milan, Giuffrè Editore, last edition, 2012: part I, from the cap. II to the chap. V (from page 15 to page 47); part I, from the cap. VII to chap. IX (from page 57 to page 68); parts II / III, from the cap. XI to the chap. XXI (from page 77 to page 178); part III, from the chap. XXIII (from page 185 to page 198); part III, from the chap. XXV to the chap. XXVI (from page 205 to page 222).

The course aims to provide students with the tools to learn about the elements of banking and financial law. In particular, the module dedicated to banking law will deepen: the system of sources of banking law, both European and national; the European banking union, the notion of a bank and financial intermediary; the role of the Bank of Italy; the different types of banks; banking activities, banking products and complex products; banking transparency; contracts with customers, consumer credit, the role of the ABF; then, with regard to financial activities, credit discounting, customer protection and leasing activities are deepened.


With reference, instead, to the part of insurance law, the other module concerns: the regulation of the insurance company, the insurance intermediaries, the insurance contracts, the sources, the insurance and reinsurance companies, the Directive c.d. "solvency II"; supervision of the insurance system, competition law and regulations of foreign companies; distribution of insurance products and various figures of intermediaries; non-life insurance classes; life insurance; forms of risk sharing in the insurance field with particular reinsurance analysis; co-insurance; compulsory insurance

P. Bontempi, Banking and finance law, Giuffré, latest edition: from the chap. I to the chap. VIII included.
A. Donati-G. Volpe Putzolu, Manual of insurance law Milan, Giuffrè Editore, eleventh updated edition: part I, from chap. II to the chap. V (from page 15 to page 45); part I, from the cap. VII to chap. IX (from page 51 to page 67); parts II / III, from the cap. XI to the chap. XXI (from page 77 to page 174); part III, from the chap. XXIII (from page 181 to page 195) from the chap. XXVII to the cap. XXIX (from page 223 to page 247).

The Course aims to provide an overview of the role and the main activities carried out by the banks in the investment banking business; the influence of the regulation; the organizational and management aspects; the technical characteristics and economic profiles of the corporate finance transactions; the definition, measurement and management of the typical risks.

Forestieri G. (2018), Corporate and Investment Banking, fourth edition, Egea, Milan.

The main contents of the course are the following:

The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.

A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).

MODULE 1
1 A rapid introduction to MATLAB
1.1 MATLAB basics: Preliminary elements; Variable assignment; Workspace; Arithmetic operations; Vectors and matrices; Standard operations of linear algebra; Element-by-element multiplication and division; Colon (:) operator; Predefined function; inline Function; Anonymous Function.
1.2 M-file: Script and Function
1.3 Programming fundamentals: if, else, and elseif scheme; for loops; while loops
1.4 Matlab graphics
1.5 Preliminary exercises on programming
1.6 Exercises on the financial evaluation basics

MODULE 2
2 Preliminary elements on Probability Theory and Statistics
2.1 Random variables
2.2 Probability distributions
2.3 Continuous random variable
2.4 Higher-order moments and synthetic indices of a distribution
2.5 Some probability distributions: Uniform, Normal, Log-normal, Chi-square, Student-t
3 Linear and Non-linear Programming
3.1 Some Matlab built-in functions for optimization problems
3.2 Multi-objective optimization: Determining the efficient frontier
4 Portfolio Optimization
4.1 Portfolio of equities: Prices and returns
4.2 Risk-return analysis: Mean-Variance; Effects of the diversification in an Equally Weighted portfolio; Mean-MAD; Mean-MinMax; VaR; Mean-CVaR; Mean-Gini portfolios
4.3 Bond portfolio immunization

MODULE 3
5 Further elements on Probability Theory and Statistics
5.1 Introduction to the Monte Carlo simulation
5.2 Stochastic processes: Brownian motion; Ito’s Lemma; Geometrical Brownian motion
6 Pricing of derivatives with an underlying security
6.1 Binomial model (CRR): A replicating portfolio of stocks and bonds; Calibration of the model; Multi-period case
6.2 Black-Scholes model: Assumptions of the model; Pricing of a European call; Pricing equation for a call; Implied Volatility
6.3 Option Pricing with Monte Carlo Method: Solution in integral form; Path Dependent Derivatives

F Cesarone (2020), Computational Finance. MATLAB oriented modeling, Routledge-Giappichelli Studies in Business and Management, ISBN 978-0-367-49303-5
https://www.giappichelli.it/computational-finance

Public Budgeting (with special reference to the Italian System), and Public Debt Evolution.
Cost Benefit Analisys, in theory and Practice.
Business Taxation (with special reference to the Italian Tax System and the Italian Business Sector)

The same items shown above, the Italian language Section.

- Public Finance History and the evolution of the economic theory.
- Social (or Public) Goods: economic analysis and general equilibrium effects
- Different Types of Public Revenues
- Tax Design and Tax Incidence
- Italian Tax System as a whole and analisys of the main taxes.

The text books in Italian

The purpose of the course is to provide exhaustive knowledge of financial intermediaries, markets, listed companies and the supervisory agency and, particularly, the following matters: general principles of financial markets law; solicitation to the public; services and investment firms; institutional investors; listed companies’ rules; controls on the securities market.

- R. Costi, Il mercato mobiliare, Torino, Giappichelli, last edition.
- Consob Regulation no. 17221/2010 concerning related parties transactions.
- Borsa Italiana Corporate Governance Code.

Course Topics
This graduate level course covers the following topics:

An overview of statistics
Data description: scales of measurement, how to describe data graphically for categorical data (pie chart, bar chart) and graphs for quantitative variables (histogram, pie chart and time plot)
How to describe data by summary statistics: measures of central tendency and variability
How to create a box plot
How probability and probability distributions are involved in statistics
How binomial distributions are involved in statistics
The role that normal distributions play in statistics
Simple random sampling and sampling distribution of sample mean, central limit theorem, normal approximation to the binomial
Differentiation between a population and a sample, how to use a statistic to estimate a population parameter, confidence interval and its interpretation, inferences of population proportion, margin of error and sample size computation
Confidence interval for population mean, Sample size needed for estimating the population mean with a specified confidence level and specified width of the interval
Hypothesis testing: in terms of how to set up Null and Alternative hypotheses, understanding Type I and Type II errors, performing a statistical test for the population mean
How to compute power of a test and choosing the sample size for testing population mean
p-value, how to compute it and how to use it
Inferences about μ with σ unknown: the t-distribution and the assumptions required to check in order to use it
How to compare the mean of two populations for independent samples: using pooled variances t-test versus separate variances t-test
How to compare the mean of two populations for paired data
How to compare two population proportions
Using contingency table and the Chi-square test of independence
Understanding concepts related to linear regression models including, least squares method, correlation, inferences about the parameters in the linear regression model

Introductory Statistics for Business and Economics by Thomas H. Wonnacott and Ronald J. Wonnacott
John Wiley & Sons Inc; International 2 Revised ed

Further lecture notes are available at
http://host.uniroma3.it/facolta/economia/economia.asp?contenuto=insegnamento&id=488

Solutions of some exercises with references to theory and exams can be found at website http://host.uniroma3.it/docenti/mortera/statisticaNNO/statisticaNNO.htm

This graduate level course covers the following topics:
An overview of statistics
Data description: scales of measurement, how to describe data graphically for categorical data (pie chart, bar chart) and graphs for quantitative variables (histogram, pie chart)
How to describe data by summary statistics: measures of central tendency, variability and skewness.
How to create a box plot
How probability and probability distributions are involved in statistics
How binomial distributions are involved in statistics
The role that normal distributions play in statistics
Simple random sampling and sampling distribution of sample mean, central limit theorem, normal approximation to the binomial
Differentiation between a population and a sample, how to use a statistic to estimate a population parameter, confidence interval and its interpretation, inferences of population mean and proportion
Confidence interval for population mean, Sample size needed for estimating the population mean with a specified confidence level and specified width of the interval
Hypothesis testing: in terms of how to set up Null and Alternative hypotheses, understanding Type I and Type II errors, performing a statistical test for the population mean
p-value, how to compute it and how to use it
Inferences about μ with σ unknown: the t-distribution and the assumptions required to check in order to use it
How to compare the mean of two populations for independent samples: using pooled variances t-test versus separate variances t-test
How to compare the mean of two populations for paired data
How to compare two population proportions
Using contingency table and the Chi-square test of independence
Understanding concepts related to linear regression models including, least squares method, correlation, inferences about the parameters in the linear regression model

The course the course is taught in Italian so textbooks are in Italian:
- G. Cicchitelli, Statsitica: Principi e Metodi, Pearson Education, 3/Eds
- Sebastiani M. R. (2015) “Esercitazioni di statistica”. Esculapio Editore, 3° edizione.
For English speaking students a textbook is:
Introductory Statistics for Business and Economics by Thomas H. Wonnacott and Ronald J. Wonnacott
John Wiley & Sons Inc; International 2 Revised ed
Notes and handout (in Italian) are available at the web page of the course.

- Public Finance History and the evolution of the economic theory.
- Social (or Public) Goods: economic analysis and general equilibrium effects
- Different Types of Public Revenues
- Tax Design and Tax Incidence
- Italian Tax System as a whole and analisys of the main taxes.

The text books in Italian

Course Topics
This graduate level course covers the following topics:

An overview of statistics
Data description: scales of measurement, how to describe data graphically for categorical data (pie chart, bar chart) and graphs for quantitative variables (histogram, pie chart and time plot)
How to describe data by summary statistics: measures of central tendency and variability
How to create a box plot
How probability and probability distributions are involved in statistics
How binomial distributions are involved in statistics
The role that normal distributions play in statistics
Simple random sampling and sampling distribution of sample mean, central limit theorem, normal approximation to the binomial
Differentiation between a population and a sample, how to use a statistic to estimate a population parameter, confidence interval and its interpretation, inferences of population proportion, margin of error and sample size computation
Confidence interval for population mean, Sample size needed for estimating the population mean with a specified confidence level and specified width of the interval
Hypothesis testing: in terms of how to set up Null and Alternative hypotheses, understanding Type I and Type II errors, performing a statistical test for the population mean
How to compute power of a test and choosing the sample size for testing population mean
p-value, how to compute it and how to use it
Inferences about μ with σ unknown: the t-distribution and the assumptions required to check in order to use it
How to compare the mean of two populations for independent samples: using pooled variances t-test versus separate variances t-test
How to compare the mean of two populations for paired data
How to compare two population proportions
Using contingency table and the Chi-square test of independence
Understanding concepts related to linear regression models including, least squares method, correlation, inferences about the parameters in the linear regression model

Introductory Statistics for Business and Economics by Thomas H. Wonnacott and Ronald J. Wonnacott
John Wiley & Sons Inc; International 2 Revised ed

Further lecture notes are available at
http://host.uniroma3.it/facolta/economia/economia.asp?contenuto=insegnamento&id=488

Solutions of some exercises with references to theory and exams can be found at website http://host.uniroma3.it/docenti/mortera/statisticaNNO/statisticaNNO.htm

This graduate level course covers the following topics:
An overview of statistics
Data description: scales of measurement, how to describe data graphically for categorical data (pie chart, bar chart) and graphs for quantitative variables (histogram, pie chart)
How to describe data by summary statistics: measures of central tendency, variability and skewness.
How to create a box plot
How probability and probability distributions are involved in statistics
How binomial distributions are involved in statistics
The role that normal distributions play in statistics
Simple random sampling and sampling distribution of sample mean, central limit theorem, normal approximation to the binomial
Differentiation between a population and a sample, how to use a statistic to estimate a population parameter, confidence interval and its interpretation, inferences of population mean and proportion
Confidence interval for population mean, Sample size needed for estimating the population mean with a specified confidence level and specified width of the interval
Hypothesis testing: in terms of how to set up Null and Alternative hypotheses, understanding Type I and Type II errors, performing a statistical test for the population mean
p-value, how to compute it and how to use it
Inferences about μ with σ unknown: the t-distribution and the assumptions required to check in order to use it
How to compare the mean of two populations for independent samples: using pooled variances t-test versus separate variances t-test
How to compare the mean of two populations for paired data
How to compare two population proportions
Using contingency table and the Chi-square test of independence
Understanding concepts related to linear regression models including, least squares method, correlation, inferences about the parameters in the linear regression model

The course the course is taught in Italian so textbooks are in Italian:
- G. Cicchitelli, Statsitica: Principi e Metodi, Pearson Education, 3/Eds
- Sebastiani M. R. (2015) “Esercitazioni di statistica”. Esculapio Editore, 3° edizione.
For English speaking students a textbook is:
Introductory Statistics for Business and Economics by Thomas H. Wonnacott and Ronald J. Wonnacott
John Wiley & Sons Inc; International 2 Revised ed
Notes and handout (in Italian) are available at the web page of the course.

1. Introduction (2 hours)
1.1 Premises for a comparative study
1.2 Forms of fund channelling
1.3 Classification of financial systems
1.4 Changes in today’s financial systems

2. The Historical Development of Financial Systems (2 hours)
2.1 The first stages of financial systems
2.2 Credit vs mutual aid
2.3 Early Financial Systems
2.5 The birth of modern financial systems

3 Market-oriented Systems (8 hours)
3.1 The UK financial system
3.1.1 Banks in the UK
3.1.2 Building societies
3.1.3 Insurance companies
3.1.4 Pension funds
3.1.5 Unit trusts
3.1.6 Investment trusts

3.2 The US financial system
3.2.1 Deposit-taking institutions
3.2.2 The Federal Reserve System
3.2.3 Non-depository institutions


4. Bank-oriented Systems (14 hours)
4.1 The German financial system
4.1.1 Banks and other deposit-taking institutions
4.1.2 Non-deposit institutions
4.1.3 The use of bond and equity markets in Germany

4.2 The French financial system
4.2.1 The French banking system
4.2.2 Specialist and non-deposit institutions
4.2.3 Financial markets in France

4.3. The Italian financial system
4.3.1 The development of the Italian financial system
4.3.2 The current position of the Italian financial system 141

4.4. Financial systems in Northern Europe
4.4.1 Banking systems in the Nordic countries
4.4.2 Other financial intermediaries in the Nordic countries
4.4.3 The evolution and integration of financial systems in Scandinavia
4.4.4 Monetary policy strategies in the Nordic countries

4.5. The Eurozone and the Banking Union
4.5. The Japanese financial system

5. Other kinds of financial systems (8 hours)
5.1 China’s banking and financial markets
5.2 The Russian banking and financial system
5.3 Islamic finance
5.4 African financial system: an overview

6. Follow-up issues (26 hours)
6.1. Intertemporal smoothing
6.2. Information and resource allocation
6.3. The Limitations of Markets: The Classical View
6.4. Corporate Governance
6.5. Competition in banking
6.6. Self-financing firms
6.7. Corporate savings
6.8. Bubbles and financial crises
6.9. Liquidity in asset markets and market crashes

Bain K., Howells P., The Economics of Money, Banking and Finance. A European Text, Pearson Education, 2008

Allen F., Gale D, Comparing Financial Systems, MIT Press, 2000.

An Introduction to Econometrics
Review of the simple linear regression model
The Multiple Regression Model
Regression with Time-Series Data: Stationary Variables
Panel Data Models
Examples with economic data
Each topic includes applications to problems and economic data
Exercises in R

Carter Hill, R., Griffiths, W.E., Lim, G.C., Principles of Econometrics, 5th Edition, 2018, Wiley
Kleiber, C., Zeileis, A., Applied Econometrics with R, 2008, Springer. (https://eeecon.uibk.ac.at/ zeileis/teaching/AER/)
https://bookdown.org/ccolonescu/RPoE4/

An Introduction to Econometrics
Review of the simple linear regression model
The Multiple Regression Model
Regression with Time-Series Data: Stationary Variables
Panel Data Models
Examples with economic data
Each topic includes applications to problems and economic data

Carter Hill, R., Griffiths, W.E., Lim, G.C., Principles of Econometrics, 5th Edition, 2018, Wiley
Kleiber, C., Zeileis, A., Applied Econometrics with R, 2008, Springer. (https://eeecon.uibk.ac.at/ zeileis/teaching/AER/)
https://bookdown.org/ccolonescu/RPoE4/

In recent decades, the volume of EU legislation on financial law has increased exponentially. Banks, insurers, pension funds, investment firms and other financial institutions all are increasingly subject to European regulatory rules, as are day to day financial transactions.
Serving as a comprehensive and authoritative introduction to European banking and financial law, the course is organized around the three economic themes that are central to the financial industry:
(i) financial markets;
(ii) financial institutions; and
(iii) financial transactions. It covers not only regulatory law, but also commercial law that is relevant for the most important financial transactions.
A final part is focued on technology innovation's effects.

European Banking and Financial Law
Matthias Haentjens, Pierre de Gioia-Carabellese

The course is divided into three parts, aimed at providing students with the basics needed to understand how financial markets operate, starting first of all from the system of European sources.
The second part, relating to financial markets, is dedicated to the stock market, to an analysis of market abuse hypotheses and to the examination of consumer rights protection instruments.
Finally, the financial institutions are examined in greater depth, focusing both on the organization of banks and supervisors, and on cases of insolvency on the part of banks, to conclude with investment funds.

M. Haentjens, P. De Gioia Carabellese, European Banking and Financial Law, Routledge, 2015, pp. 1-151.

The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.

Hull, J. (2018) Options, futures and other derivatives, Pearson
Gerber, H. (2010) Life Insurance Mathematics, Springer

(Actuarial Sciences)

The Mathematics of Compound Interest
The Future Lifetime of a Life Aged x
Life Insurance
Life Annuities
Net Premiums
Net Premium Reserves

Hans U. Gerber
Life Insurance Mathematics
Springer

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer

The course focuses on the relationship between financial statements and risk management with the aim of putting the students in the condition to evaluate the way that related company decisions are made and presented.
This course moves from the idea that financial statements are a mean to communicate the overall state of heath of the company and provide useful information regarding the measurement of different kinds of risks.
In this view the purpose of the course is to assist students in analysis of the financial information published by the companies in a way to understand the company prospective in the light of existent specific risks and how they are managed
Specific topics covered during the course:
- the investor and the financial statements,
- risk definition,
- the accountant’s mission in risk control,
- risk management,
- business and strategic risks,
- operational risks,
- financial risks,
- credit risks,
- liquidity risks,
- insurance risk and other risks,
- the European jurisdiction about financial statement,
- the European and Italian Jurisdiction about Financial Statements (Civil Code and IAS/IFRS),
- Directive 2013/34/EU,
- Legislative Decree 139/2015,
- the Italian jurisdiction about financial statements (Civil Code and IAS/IFRS),
- the introduction of IAS/IFRS in Italy,
- substance over form,
- fair value,
- presentation of financial statements,
- risks disclosure
- financial instruments: recognition and measurement; fair value option, derecognition of financial assets and financial liabilities, hedge accounting,
- leasing,
- specific issues regarding insurance companies,
- related party disclosure,
- revenue from contracts with customers,
- enterprise risk management,
- internal control,
- control and risk self-assessment,
- selected topics,
- analysis of financial statements of industrial, banking and insurance,
- non-financial information.

Academic materials are available on internet or will be distributed or indicated during the lessons.

1: Introduction. The role and peculiarities of risk management in financial institutions. Risk management failure during the financial crisis.

2: Interest rate risk: the repricing gap model

3: Interest rate risk: the duration gap model and clumping

4: Interest rate risk: internal transfer rates (ITR)

5: Liquidity risk: funding and market risks, short and medium term control models, new liquidity requirements

6: Market risk: Value at Risk models: parametric approach. Estimating volatilities and correlations.

7: Market risk: mapping risk positions in the parametric approaches

8: Market risk: simulation approaches

9: Market risk: backtesting VaR models, VAR Limits and Expected Shortfall

10: Credit risk management. Scoring models for estimating the probability of default

11: Credit risk management. Market-based models for estimating the probability of default

12: Credit risk management. The recovery risk

13. Credit risk management: Portfolio models

14. Credit risk management: Internal rating system management and application (pricing and risk-adjusted performance measures)

15. Operational risk

16. Banking regulation: from Basel I to Basel III

17. Rethinking banking regulation: Basel 4?

1. Main text book
• Joel Bessis, Risk Management in Banking, 4th Edition, John Wiley, 2015 (B)

MODULE 1
1 A rapid introduction to MATLAB
1.1 MATLAB basics: Preliminary elements; Variable assignment; Workspace; Arithmetic operations; Vectors and matrices; Standard operations of linear algebra; Element-by-element multiplication and division; Colon (:) operator; Predefined function; inline Function; Anonymous Function.
1.2 M-file: Script and Function
1.3 Programming fundamentals: if, else, and elseif scheme; for loops; while loops
1.4 Matlab graphics
1.5 Preliminary exercises on programming
1.6 Exercises on the financial evaluation basics

MODULE 2
2 Preliminary elements on Probability Theory and Statistics
2.1 Random variables
2.2 Probability distributions
2.3 Continuous random variable
2.4 Higher-order moments and synthetic indices of a distribution
2.5 Some probability distributions: Uniform, Normal, Log-normal, Chi-square, Student-t
3 Linear and Non-linear Programming
3.1 Some Matlab built-in functions for optimization problems
3.2 Multi-objective optimization: Determining the efficient frontier
4 Portfolio Optimization
4.1 Portfolio of equities: Prices and returns
4.2 Risk-return analysis: Mean-Variance; Effects of the diversification in an Equally Weighted portfolio; Mean-MAD; Mean-MinMax; VaR; Mean-CVaR; Mean-Gini portfolios
4.3 Bond portfolio immunization

MODULE 3
5 Further elements on Probability Theory and Statistics
5.1 Introduction to the Monte Carlo simulation
5.2 Stochastic processes: Brownian motion; Ito’s Lemma; Geometrical Brownian motion
6 Pricing of derivatives with an underlying security
6.1 Binomial model (CRR): A replicating portfolio of stocks and bonds; Calibration of the model; Multi-period case
6.2 Black-Scholes model: Assumptions of the model; Pricing of a European call; Pricing equation for a call; Implied Volatility
6.3 Option Pricing with Monte Carlo Method: Solution in integral form; Path Dependent Derivatives

F Cesarone (2020), Computational Finance. MATLAB oriented modeling, Routledge-Giappichelli Studies in Business and Management, ISBN 978-0-367-49303-5
https://www.giappichelli.it/computational-finance

An Introduction to Econometrics
Review of the simple linear regression model
The Multiple Regression Model
Regression with Time-Series Data: Stationary Variables
Panel Data Models
Examples with economic data
Each topic includes applications to problems and economic data
Exercises in R

Carter Hill, R., Griffiths, W.E., Lim, G.C., Principles of Econometrics, 5th Edition, 2018, Wiley
Kleiber, C., Zeileis, A., Applied Econometrics with R, 2008, Springer. (https://eeecon.uibk.ac.at/ zeileis/teaching/AER/)
https://bookdown.org/ccolonescu/RPoE4/

An Introduction to Econometrics
Review of the simple linear regression model
The Multiple Regression Model
Regression with Time-Series Data: Stationary Variables
Panel Data Models
Examples with economic data
Each topic includes applications to problems and economic data

Carter Hill, R., Griffiths, W.E., Lim, G.C., Principles of Econometrics, 5th Edition, 2018, Wiley
Kleiber, C., Zeileis, A., Applied Econometrics with R, 2008, Springer. (https://eeecon.uibk.ac.at/ zeileis/teaching/AER/)
https://bookdown.org/ccolonescu/RPoE4/

The course focuses on the relationship between financial statements and risk management with the aim of putting the students in the condition to evaluate the way that related company decisions are made and presented.
This course moves from the idea that financial statements are a mean to communicate the overall state of heath of the company and provide useful information regarding the measurement of different kinds of risks.
In this view the purpose of the course is to assist students in analysis of the financial information published by the companies in a way to understand the company prospective in the light of existent specific risks and how they are managed
Specific topics covered during the course:
- the investor and the financial statements,
- risk definition,
- the accountant’s mission in risk control,
- risk management,
- business and strategic risks,
- operational risks,
- financial risks,
- credit risks,
- liquidity risks,
- insurance risk and other risks,
- the European jurisdiction about financial statement,
- the European and Italian Jurisdiction about Financial Statements (Civil Code and IAS/IFRS),
- Directive 2013/34/EU,
- Legislative Decree 139/2015,
- the Italian jurisdiction about financial statements (Civil Code and IAS/IFRS),
- the introduction of IAS/IFRS in Italy,
- substance over form,
- fair value,
- presentation of financial statements,
- risks disclosure
- financial instruments: recognition and measurement; fair value option, derecognition of financial assets and financial liabilities, hedge accounting,
- leasing,
- specific issues regarding insurance companies,
- related party disclosure,
- revenue from contracts with customers,
- enterprise risk management,
- internal control,
- control and risk self-assessment,
- selected topics,
- analysis of financial statements of industrial, banking and insurance,
- non-financial information.

Academic materials are available on internet or will be distributed or indicated during the lessons.

Public Budgeting (with special reference to the Italian System), and Public Debt Evolution.
Cost Benefit Analisys, in theory and Practice.
Business Taxation (with special reference to the Italian Tax System and the Italian Business Sector)

The same items shown above, the Italian language Section.

Public Budgeting (with special reference to the Italian System), and Public Debt Evolution.
Cost Benefit Analisys, in theory and Practice.
Business Taxation (with special reference to the Italian Tax System and the Italian Business Sector)

The same items shown above, the Italian language Section.

- Public Finance History and the evolution of the economic theory.
- Social (or Public) Goods: economic analysis and general equilibrium effects
- Different Types of Public Revenues
- Tax Design and Tax Incidence
- Italian Tax System as a whole and analisys of the main taxes.

The text books in Italian

Course Topics
This graduate level course covers the following topics:

An overview of statistics
Data description: scales of measurement, how to describe data graphically for categorical data (pie chart, bar chart) and graphs for quantitative variables (histogram, pie chart and time plot)
How to describe data by summary statistics: measures of central tendency and variability
How to create a box plot
How probability and probability distributions are involved in statistics
How binomial distributions are involved in statistics
The role that normal distributions play in statistics
Simple random sampling and sampling distribution of sample mean, central limit theorem, normal approximation to the binomial
Differentiation between a population and a sample, how to use a statistic to estimate a population parameter, confidence interval and its interpretation, inferences of population proportion, margin of error and sample size computation
Confidence interval for population mean, Sample size needed for estimating the population mean with a specified confidence level and specified width of the interval
Hypothesis testing: in terms of how to set up Null and Alternative hypotheses, understanding Type I and Type II errors, performing a statistical test for the population mean
How to compute power of a test and choosing the sample size for testing population mean
p-value, how to compute it and how to use it
Inferences about μ with σ unknown: the t-distribution and the assumptions required to check in order to use it
How to compare the mean of two populations for independent samples: using pooled variances t-test versus separate variances t-test
How to compare the mean of two populations for paired data
How to compare two population proportions
Using contingency table and the Chi-square test of independence
Understanding concepts related to linear regression models including, least squares method, correlation, inferences about the parameters in the linear regression model

Introductory Statistics for Business and Economics by Thomas H. Wonnacott and Ronald J. Wonnacott
John Wiley & Sons Inc; International 2 Revised ed

Further lecture notes are available at
http://host.uniroma3.it/facolta/economia/economia.asp?contenuto=insegnamento&id=488

Solutions of some exercises with references to theory and exams can be found at website http://host.uniroma3.it/docenti/mortera/statisticaNNO/statisticaNNO.htm

This graduate level course covers the following topics:
An overview of statistics
Data description: scales of measurement, how to describe data graphically for categorical data (pie chart, bar chart) and graphs for quantitative variables (histogram, pie chart)
How to describe data by summary statistics: measures of central tendency, variability and skewness.
How to create a box plot
How probability and probability distributions are involved in statistics
How binomial distributions are involved in statistics
The role that normal distributions play in statistics
Simple random sampling and sampling distribution of sample mean, central limit theorem, normal approximation to the binomial
Differentiation between a population and a sample, how to use a statistic to estimate a population parameter, confidence interval and its interpretation, inferences of population mean and proportion
Confidence interval for population mean, Sample size needed for estimating the population mean with a specified confidence level and specified width of the interval
Hypothesis testing: in terms of how to set up Null and Alternative hypotheses, understanding Type I and Type II errors, performing a statistical test for the population mean
p-value, how to compute it and how to use it
Inferences about μ with σ unknown: the t-distribution and the assumptions required to check in order to use it
How to compare the mean of two populations for independent samples: using pooled variances t-test versus separate variances t-test
How to compare the mean of two populations for paired data
How to compare two population proportions
Using contingency table and the Chi-square test of independence
Understanding concepts related to linear regression models including, least squares method, correlation, inferences about the parameters in the linear regression model

The course the course is taught in Italian so textbooks are in Italian:
- G. Cicchitelli, Statsitica: Principi e Metodi, Pearson Education, 3/Eds
- Sebastiani M. R. (2015) “Esercitazioni di statistica”. Esculapio Editore, 3° edizione.
For English speaking students a textbook is:
Introductory Statistics for Business and Economics by Thomas H. Wonnacott and Ronald J. Wonnacott
John Wiley & Sons Inc; International 2 Revised ed
Notes and handout (in Italian) are available at the web page of the course.