Teaching - Università Roma Tre

FINANCIAL VALUATION AND RISK MANAGEMENT (objectives)

Code

21210182

Language

ITA

Type of certificate

Profit certificate

Credits

9

Scientific Disciplinary Sector Code

SECS-S/06

Contact Hours

60

Type of Activity

Core compulsory 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 01/03/2023 to 31/05/2023
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Oral exam

Derived from	21210182 FINANCIAL VALUATION AND RISK MANAGEMENT in Finance and business LM-16 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 01/03/2023 to 31/05/2023
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Oral exam