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Course
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Credits
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Scientific Disciplinary Sector Code
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Contact Hours
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Exercise Hours
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Laboratory Hours
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Personal Study Hours
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Type of Activity
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Language
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21201542 -
CORPORATE AND INVESTMENT BANKING
-
CARATELLI MASSIMO
( syllabus)
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.
( reference books)
Forestieri G. (2011), Corporate and Investment Banking, second edition, Egea, Milan.
|
9
|
SECS-P/11
|
60
|
-
|
-
|
-
|
Core compulsory activities
|
ITA |
|
21201722 -
RISK MANAGEMENT IN BANKING
|
9
|
SECS-P/11
|
60
|
-
|
-
|
-
|
Core compulsory activities
|
ITA |
|
21201733 -
Financial valuation and risk management
|
|
21201733-1 -
VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO
-
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.
|
5
|
SECS-S/06
|
30
|
-
|
-
|
-
|
Core compulsory activities
|
ITA |
|
21201733-2 -
VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO
|
1
|
SECS-S/06
|
10
|
-
|
-
|
-
|
Core compulsory activities
|
ITA |
21201733-3 -
VALUTAZIONE FINANZIARIA E GESTIONE DEL RISCHIO
-
CORRADINI MASSIMILIANO
( syllabus)
THE BINOMIAL MODEL. EVALUATION OF CONTINGENT CLAIMS IN THE DISCRETE TIME. EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. STOCHASTIC PROCESSES. WIENER PROCESS. BROWNIAN MOTION. ITO PROCESS. ITO'S LEMMA. STOCHASTIC MODELS IN CONTINUOUS TIME. BLACK AND SCHOLES MODEL. BLACK AND SCHOLES EQUATION. FEYNMANN-KAC REPRESENTATION. RISK-NEUTRAL MEASURE.
( reference books)
MATERIAL PROVIDED BY THE TEACHER
|
3
|
SECS-S/06
|
20
|
-
|
-
|
-
|
Core compulsory activities
|
ITA |
|
21201473 -
FINAL EXAM
|
| 15
|
|
-
|
-
|
-
|
-
|
Per la prova finale e la lingua straniera (art.10, comma 5, lettera c)
|
| 15
|
|
-
|
-
|
-
|
-
|
Per la prova finale e la lingua straniera (art.10, comma 5, lettera c)
|
|
ITA |
Optional group:
comune Orientamento unico 2 ANNO - UN ESAME A SCELTA TRA: - (show)
 |
|
|
|
|
|
|
|
|
|
21201468 -
HISTORY OF FINANCE
|
|
21201468-1 -
STORIA DELLA FINANZA
-
D'ERRICO RITA MARIA MICHELA
( syllabus)
The role of capital in the industrial revolution– Bank oriented and market oriented systems– The evolution of the relationship between banks and industry in Italy from the period of Italian Unification until the banking legislation of 1936– The IMI and IRI banks and the birth of the ‘State as businessman’– The international gold standard (1870-1914)– Decentralisation and financial instability between the two world wars– The Great Depression of 1929– The Bretton Woods system (1944-1971)– From fluctuating exchange rates to the birth of the European Monetary System– The evolution of public finances– The system of state-controlled companies in Italy from the post-Second World War to privatisations in the 1990s
( reference books)
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014
|
8
|
SECS-P/12
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201468-2 -
STORIA DELLA FINANZA
|
1
|
SECS-P/03
|
10
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201477 -
RISK AND ACCOUNTING
|
9
|
SECS-P/07
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201718 -
ADVANCED CORPORATE FINANCE
(objectives)
IL CORSO SI PROPONE DI COMPLETARE E APPROFONDIRE LE BASI DI TEORIA E PRATICA DELLA CORPORATE FINANCE (SVILUPPATE NEL CORSO DEL TRIENNIO), UTILI PER COMPRENDERE IL FUNZIONAMENTO DEI MERCATI DEI CAPITALI, LE DECISIONI DI INVESTIMENTO E FINANZIAMENTO DELLE IMPRESE INDUSTRIALI E DI SERVIZI, I LORO ASSETTI PROPRIETARI E DI GOVERNANCE, NEL QUADRO DELLE RECIPROCHE INTERRELAZIONI CON IL SISTEMA FINANZIARIO.
IN PARTICOLARE, NEL CORSO SARANNO TRATTATI I SEGUENTI ARGOMENTI:
TEORIA DELLA SCELTA IN CONDIZIONI DI INCERTEZZA
EFFICIENZA DEI MERCATI DEI CAPITALI E COMPORTAMENTO DEGLI INVESTITORI
IL CAPITAL ASSET PRICING MODEL (CAPM): MODELLI ESTESI E VERIFICA EMPIRICA
OLTRE IL CAPM PER LA STIMA DEL COSTO DEL CAPITALE: MODELLI ALTERNATIVI
OPZIONI FINANZIARIE E APPLICAZIONI ALLA CORPORATE FINANCE
OPZIONI REALI PER LA VALUTAZIONE DI INVESTIMENTI/IMPRESE
MODELLI DI MERCATO PER LA STIMA DEL RISCHIO DI CREDITO E CDS
ECONOMIA E FINANZA DELLE FUSIONI E ACQUISIZIONI
LE DETERMINANTI DELLA STRUTTURA FINANZIARIA DELLE IMPRESE: TEORIE ED EVIDENZA EMPIRICA INTERNAZIONALE
LA STRUTTURA FINANZIARIA DELLE IMPRESE ITALIANE: COMPARAZIONI INTERNAZIONALI
POLITICA DEI DIVIDENDI
MODELLI E STRUMENTI DI CORPORATE GOVERNANCE IN ITALIA, EUROPA E MONDO.
|
|
21201721 -
Competitive Strategies in Financial Services
-
PREVIATI DANIELE ANGELO
( syllabus)
The essential topics are:
- Change and environment-strategy-structure relationship in the financial services industry
- Competitive scenario: the relevance of regulation and ICT
- Porter model applied to the financial services industry
- The business strategies of financial institutions: environment, goals, tools
- The diversification strategies of financial institutions: theoretical profiles
- The diversification strategies of financial institutions: principal characteristics and execution
- Supply side analysis. The relationships between concentration, competition, profitability and efficiency in financial institutions: from the S-C-P paradigm to the New Industrial organization
- Demand side analysis in retail banking: segmentation criteria, financial investment decisions, role of financial literacy, social media use
- Operations efficiency analysis: efficiency indicators, scale and scope economies
- The diversification strategies: strategic alliances, M&A, bancassurance
- The Fintech role on the strategic trends in financial services industry
- The managerial roles for strategic management in banking groups
( reference books)
For non attending students the assesment is based on oral test, based on the book Paolo Mottura, Banche, Egea, 2011, one compulsory reading (Strategia e organizzazione, file at disposal on the website of the course)and one reading in English (Haldane, 2016, file at disposal on the website of the course)
For attending students assessment is based on some chapters of the book Paolo Mottura, Banche, Egea, 2011, and other materials at disposal on the website of the course (slides, readings) at http://disa.uniroma3.it/
|
9
|
SECS-P/11
|
30
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201724 -
BANK MANAGEMENT
|
9
|
SECS-P/11
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201729 -
MATHEMATICAL FINANCE
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
21201735 -
Insurance and Pensione Funds
-
CARLEO ALESSANDRA
( syllabus)
STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion
BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables
LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums
LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit
EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance
---
PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)
( reference books)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
21201736 -
QUANTITATIVE FINANCE AND DERIVATIVES
-
GHENO ANDREA
( syllabus)
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.
( reference books)
Hull, J., Options, Futures, and Other Derivatives
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
|
Optional group:
comune Orientamento unico 2 ANNO - UN ESAME A SCELTA TRA: - (show)
|
|
|
|
|
|
|
|
|
|
21201468 -
HISTORY OF FINANCE
|
|
21201468-1 -
STORIA DELLA FINANZA
-
D'ERRICO RITA MARIA MICHELA
( syllabus)
The role of capital in the industrial revolution– Bank oriented and market oriented systems– The evolution of the relationship between banks and industry in Italy from the period of Italian Unification until the banking legislation of 1936– The IMI and IRI banks and the birth of the ‘State as businessman’– The international gold standard (1870-1914)– Decentralisation and financial instability between the two world wars– The Great Depression of 1929– The Bretton Woods system (1944-1971)– From fluctuating exchange rates to the birth of the European Monetary System– The evolution of public finances– The system of state-controlled companies in Italy from the post-Second World War to privatisations in the 1990s
( reference books)
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014
|
8
|
SECS-P/12
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201468-2 -
STORIA DELLA FINANZA
|
1
|
SECS-P/03
|
10
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201477 -
RISK AND ACCOUNTING
|
9
|
SECS-P/07
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201718 -
ADVANCED CORPORATE FINANCE
(objectives)
IL CORSO SI PROPONE DI COMPLETARE E APPROFONDIRE LE BASI DI TEORIA E PRATICA DELLA CORPORATE FINANCE (SVILUPPATE NEL CORSO DEL TRIENNIO), UTILI PER COMPRENDERE IL FUNZIONAMENTO DEI MERCATI DEI CAPITALI, LE DECISIONI DI INVESTIMENTO E FINANZIAMENTO DELLE IMPRESE INDUSTRIALI E DI SERVIZI, I LORO ASSETTI PROPRIETARI E DI GOVERNANCE, NEL QUADRO DELLE RECIPROCHE INTERRELAZIONI CON IL SISTEMA FINANZIARIO.
IN PARTICOLARE, NEL CORSO SARANNO TRATTATI I SEGUENTI ARGOMENTI:
TEORIA DELLA SCELTA IN CONDIZIONI DI INCERTEZZA
EFFICIENZA DEI MERCATI DEI CAPITALI E COMPORTAMENTO DEGLI INVESTITORI
IL CAPITAL ASSET PRICING MODEL (CAPM): MODELLI ESTESI E VERIFICA EMPIRICA
OLTRE IL CAPM PER LA STIMA DEL COSTO DEL CAPITALE: MODELLI ALTERNATIVI
OPZIONI FINANZIARIE E APPLICAZIONI ALLA CORPORATE FINANCE
OPZIONI REALI PER LA VALUTAZIONE DI INVESTIMENTI/IMPRESE
MODELLI DI MERCATO PER LA STIMA DEL RISCHIO DI CREDITO E CDS
ECONOMIA E FINANZA DELLE FUSIONI E ACQUISIZIONI
LE DETERMINANTI DELLA STRUTTURA FINANZIARIA DELLE IMPRESE: TEORIE ED EVIDENZA EMPIRICA INTERNAZIONALE
LA STRUTTURA FINANZIARIA DELLE IMPRESE ITALIANE: COMPARAZIONI INTERNAZIONALI
POLITICA DEI DIVIDENDI
MODELLI E STRUMENTI DI CORPORATE GOVERNANCE IN ITALIA, EUROPA E MONDO.
|
|
21201721 -
Competitive Strategies in Financial Services
-
PREVIATI DANIELE ANGELO
( syllabus)
The essential topics are:
- Change and environment-strategy-structure relationship in the financial services industry
- Competitive scenario: the relevance of regulation and ICT
- Porter model applied to the financial services industry
- The business strategies of financial institutions: environment, goals, tools
- The diversification strategies of financial institutions: theoretical profiles
- The diversification strategies of financial institutions: principal characteristics and execution
- Supply side analysis. The relationships between concentration, competition, profitability and efficiency in financial institutions: from the S-C-P paradigm to the New Industrial organization
- Demand side analysis in retail banking: segmentation criteria, financial investment decisions, role of financial literacy, social media use
- Operations efficiency analysis: efficiency indicators, scale and scope economies
- The diversification strategies: strategic alliances, M&A, bancassurance
- The Fintech role on the strategic trends in financial services industry
- The managerial roles for strategic management in banking groups
( reference books)
For non attending students the assesment is based on oral test, based on the book Paolo Mottura, Banche, Egea, 2011, one compulsory reading (Strategia e organizzazione, file at disposal on the website of the course)and one reading in English (Haldane, 2016, file at disposal on the website of the course)
For attending students assessment is based on some chapters of the book Paolo Mottura, Banche, Egea, 2011, and other materials at disposal on the website of the course (slides, readings) at http://disa.uniroma3.it/
|
9
|
SECS-P/11
|
30
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201724 -
BANK MANAGEMENT
|
9
|
SECS-P/11
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
21201729 -
MATHEMATICAL FINANCE
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
21201735 -
Insurance and Pensione Funds
-
CARLEO ALESSANDRA
( syllabus)
STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion
BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables
LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums
LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit
EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance
---
PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)
( reference books)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
21201736 -
QUANTITATIVE FINANCE AND DERIVATIVES
-
GHENO ANDREA
( syllabus)
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.
( reference books)
Hull, J., Options, Futures, and Other Derivatives
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Related or supplementary learning activities
|
ITA |
|
Università Roma Tre