| Financial valuation and risk management
(objectives)
The course is aimed to provide the students with the fundamental aspects of financial valuation and risk management.
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.
|
|
Code
|
21201733 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
| Module:
(objectives)
The course is aimed to provide the students with the fundamental aspects of financial valuation and risk management.
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.
|
|
Code
|
21201733-3 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
3
|
|
Scientific Disciplinary Sector Code
|
SECS-S/06
|
|
Contact Hours
|
20
|
|
Type of Activity
|
Related or supplementary learning activities
|
|
Teacher
|
CARLEO ALESSANDRA
(syllabus)
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.
(reference books)
Handouts from teacher.
|
|
Dates of beginning and end of teaching activities
|
From 25/02/2019 to 31/05/2019 |
|
Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
Evaluation methods
|
Oral exam
|
|
|
| Module:
(objectives)
The course is aimed to provide the students with the fundamental aspects of financial valuation and risk management.
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.
|
|
Code
|
21201733-1 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
4,5
|
|
Scientific Disciplinary Sector Code
|
SECS-S/06
|
|
Contact Hours
|
30
|
|
Type of Activity
|
Related or supplementary learning activities
|
|
Teacher
|
MOTTURA CARLO DOMENICO
(syllabus)
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.
(reference books)
Handouts from teacher.
|
|
Dates of beginning and end of teaching activities
|
From 25/02/2019 to 31/05/2019 |
|
Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
Evaluation methods
|
Oral exam
|
|
|
| Module:
(objectives)
The course is aimed to provide the students with the fundamental aspects of financial valuation and risk management.
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.
|
|
Code
|
21201733-2 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
1,5
|
|
Scientific Disciplinary Sector Code
|
SECS-S/06
|
|
Contact Hours
|
10
|
|
Type of Activity
|
Related or supplementary learning activities
|
|
Teacher
|
MOTTURA CARLO DOMENICO
(syllabus)
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.
(reference books)
Handouts from teacher.
|
|
Dates of beginning and end of teaching activities
|
From 25/02/2019 to 31/05/2019 |
|
Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
Evaluation methods
|
Oral exam
|
|
|
|
Università Roma Tre