Optional group:
comune Orientamento unico 2 ANNO LM-77 - UN ESAME A SCELTA TRA: - (show)
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9
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21201477 -
RISK AND ACCOUNTING
(objectives)
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 company decisions are made and presented.
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9
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SECS-P/07
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60
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ITA |
21201489 -
ECONOMY OF INSURANCE AND WELFARE COMPANIES
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RICCI ORNELLA
( syllabus)
The course aims at providing an in-depth treatment of major insurance and pension funds topics. After a discussion of basic concepts of risk management and insurance, the course focuses on main life and non-life insurance products. The economics of insurance companies is then examined considering both the managerial and the regulatory perspectives. Main topics:
Basic concepts in risk management and insurance
Insurance regulation
Insurance Company Operations
Life Insurance
Property and casualty insurance
( reference books)
George E. Rejda, Michael McNamara (2013) Principles of Risk Management and Insurance (12th Edition) (Pearson Series in Finance)
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9
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SECS-P/11
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60
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-
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Related or supplementary learning activities
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ITA |
20101447 -
Political Economy of Social Welfare
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Derived from
20101447 ECONOMIA POLITICA DELLA PREVIDENZA in SCIENZE DEI SERVIZI GIURIDICI L-14 N0 GINEBRI SERGIO
( syllabus)
THE COURSE IS DIVIDED IN TWO PARTS. THE FIRST PART IS INTRODUCTORY AND RETRACES THE HISTORY OF PUBLIC PENSION SYSTEMS. THE BIRTH AND DEVELOPMENT OF PUBLIC PENSION SYSTEMS HAS BEEN AT THE CENTRE OF SEVERAL THEORETICAL APPROACHES WITHIN THE FIELDS OF POLITICAL SCIENCE, SOCIOLOGY, ECONOMICS. THOSE THEORIES ARE SHORTLY SURVEYED. NEXT, THE MAIN FEATURES OF THE PUBLIC PENSION SYSTEMS ARE PRESENTED AND THE DIFFERENT TYPOLOGIES OF THOSE SYSTEMS ARE DEFINED AND ELABORATED. FINALLY, THE ITALIAN PENSION SYSTEM IS PRESENTED AND THE HISTORY OF THE REFORMS INTRODUCED IN THE LAST TWENTY YEARS IS RETRACED.
The second part of the course is more analytical and theoretical. Namely, some analytical frameworks used to analyse the individual demand of insurance and the social consequences of public supply of pensions are presented. The following issues will be dealt with: individual choices and pension systems, public pension systems and macro-economic risk sharing among generations, the individual return on pension saving in different PAYG systems, political support to pension policies.
OBJ: The focus of the course is on the supply of old age insurance by public sector. First, the economic justifications of public pension systems are presented. Second, the different typologies of pension systems are analysed and their consequences on social welfare are considered. Finally, public pension policies in Italy are retraced and evaluated.
Attendance to lectures is compulsory. Students will be asked to write short essays on the topics presented at lectures.
( reference books)
B. DOUGLAS BERNHEIM, MICHAEL D. WHINSTON, MICROECONOMIA. SECONDA EDIZIONE; MILANO: MCGRAW HILL; 2013. CAPITOLI 9, 10, 20.
NICHOLAS BARR, ECONOMICS OF THE WELFARE STATE; OXFORD: OXFORD UNIVERSITY PRESS; 2012. CAPITOLI 3, 4, 7.
PAOLO BOSI (A CURA DI), CORSO DI SCIENZA DELLE FINANZE. SESTA EDIZIONE; BOLOGNA: IL MULINO; 2012. CAPITOLI 1 E 8.
MAURIZIO FERRERA, VALERIA FARGION, MATTEO JESSOULA, ALLE RADICI DEL WELFARE ALL'ITALIANA. ORIGINI E FUTURO DI UN MODELLO SOCIALE SQUILIBRATO; VENEZIA: MARSILIO EDITORI. CAPITOLI 1, 2, 3, 5.
AN ADDITIONAL READING LIST WILL BE ISSUED DURING LECTURES.
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9
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SECS-P/01
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60
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-
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-
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21201718 -
ADVANCED CORPORATE FINANCE
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21201718-1 -
ADVANCED CORPORATE FINANCE
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Derived from
21201718 ADVANCED CORPORATE FINANCE in SCIENZE ECONOMICHE LM-56 (docente da definire)
( syllabus)
- Capital market efficiency and investor behavior- CAPM in non-perfect markets, empirical evidence and tests- Multifactor models for cost of capital estimation- Financial options - Real options- Credit risk: definition and estimation- Mergers and acquisitions- Initial Public Offering- Capital structure choices- Dividend policy- Corporate governance
( reference books)
1. Berk J., De Marzo P., 2018, Finanza aziendale 1, 4th edition, Pearson, chapters 13 e 172. Berk J., De Marzo P., Morresi, O., Venanzi, D., 2018, Finanza aziendale 2, Pearson, chapters 2-3-4-6-7-10-11-12-133. Trigeorgis L., 1996, Real Options, MIT Press, chapters 4 (excluding §4.6) and 5.
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5
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SECS-P/09
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30
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Related or supplementary learning activities
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ITA |
21201718-2 -
ADVANCED CORPORATE FINANCE
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Derived from
21201718 ADVANCED CORPORATE FINANCE in SCIENZE ECONOMICHE LM-56 (docente da definire)
( syllabus)
- Capital market efficiency and investor behavior- CAPM in non-perfect markets, empirical evidence and tests- Multifactor models for cost of capital estimation- Financial options - Real options- Credit risk: definition and estimation- Mergers and acquisitions- Initial Public Offering- Capital structure choices- Dividend policy- Corporate governance
( reference books)
1. Berk J., De Marzo P., 2018, Finanza aziendale 1, 4th edition, Pearson, chapters 13 e 172. Berk J., De Marzo P., Morresi, O., Venanzi, D., 2018, Finanza aziendale 2, Pearson, chapters 2-3-4-6-7-10-11-12-133. Trigeorgis L., 1996, Real Options, MIT Press, chapters 4 (excluding §4.6) and 5.
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4
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SECS-P/09
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30
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ITA |
21201721 -
Competitive Strategies in Financial Services
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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/
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9
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SECS-P/11
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60
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ITA |
21201724 -
BANK MANAGEMENT
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RADIC NEMANJA
( syllabus)
Introduction to the module. What is special about banks? What do banks do?
Adverse selection and moral hazard in financial markets. Theories of financial intermediation.
Universal banking and the bank assurance. Universal banking vs. specialist banking. International banking.
Comparative banking systems and issues: EU, US, UK, and Japanese banking system. Banking in emerging economies.
Banks’ financial statement and financial ratio analysis.
Central banking and bank regulation (1). Theory of central banking. Bank regulation and supervision.
Central banking and bank regulation (2): The Basel Accords. Laissez-faire banking and its limitations.
Theoretical models of financial intermediation.
Consolidation in banking.
Competitive issues in banking: market structure and performance SCP paradigm.
The bank production process and its productivity and efficiency.
International Bank Lending and Country Risk.
Workshops on banking data related resources.
( reference books)
• Casu, B., Girardone, C., Molyneux, P., (2015), Introduction to Banking (2nd Ed.), Pearson
• Heffernan, S., (2005), Modern Banking, John Wiley & Sons
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9
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SECS-P/11
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60
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ENG |
21201729 -
MATHEMATICAL FINANCE
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MASTROENI LORETTA CLARA LETIZIA
( syllabus)
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models
-Arbitrage and hedging techniques
-The Greeks
-Value at Risk and its generalizations
-Volatility smiles
-Insurance derivatives
-Risk management in energy markets
-Atmospheric derivatives
-Swaps
-Interest rate derivatives (standard models, short-term rate models, advanced models)
-Real Options
-Exotic Options
-Credit derivatives
( reference books)
HULL Opzioni , Futures e altri derivati. Ediz. Mylab. 2018
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9
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SECS-S/06
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60
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ITA |
21201735 -
Insurance and Pensione Funds
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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
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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
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9
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SECS-S/06
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60
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ITA |
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21201736 -
QUANTITATIVE FINANCE AND DERIVATIVES
(objectives)
The course has the objective of providing foundations for the valuation of derivatives and for the analysis of quantitative finance problems.
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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
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9
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SECS-S/06
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60
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ITA |
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21210019 -
STORIA DELLA FINANZA
(objectives)
This course is designed to illustrate the formation and evolution of monetary and financial systems in industrialised economies by using a comparative approach looking at an extended period covering the principle events between the eighteenth and twentieth centuries.
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D'ERRICO RITA MARIA MICHELA
( syllabus)
The themes that will be studied during the course will be based around the following thematic nuclei: the establishment and the development of central banks; the development of public finance and the rise of the stock exchange markets; the role of the banks in the process of industrialisation. In this context, the cases of England, Germany, France, United Staes, Italy will be examined in a comparative approach. A special focus will be on the understanding of the Italian case study and to the evolution of the relationship between banks and industry from the period of Italian Unification. In this context, particular attention is devoted to the events leading to the emergence of the Bank of Italy as a unique central bank institution. Another central theme is the advent and the transformation of the role of the universal banks from the end of the nineteenth century until the birth of the “entrepreneurial State”, as a result of the foundation of the Istituto per la Ricostruzione Industriale (IRI); the emergence of public companies and the more recent series of privatisations in 1990s.
Another central topic of the course is the evolution of the international monetary system between the 19th and 20th centuries. The issues dealt within this context are: the gold standard (1870 – 1914) the gold excgange standard and the decentralization and financial instability in the interwars years; the Crisis of the ‘29 and the Great depression of the 1930’s; the Bretton Woods system (1944-1971); the period of floating exchange rates, following the end of the Bretton Woods system; the growth of theinflation and the growth in public spending; the birth of the European Monetary System, and the origin of the Economic and Monetary Union.
( reference books)
Exam texts for foreign students:
L. NEAL, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015,
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008
V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014
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TRAVAGLINI CARLO MARIA
( 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)
L. NEAL, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015,
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008
V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014
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9
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SECS-P/12
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60
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ITA |
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Università Roma Tre