The teaching program concerns the main aspects (from the economic and institutional point of view) of modern tax systems with reference to the fundamental principles of international taxation and fiscal competition.
The course content can be broken down into several lesson blocks, the duration of which depends on the level of preparation of the students and their familiarity with the basic economics concepts
1st block
Public budgeting and fiscal governance
2nd block
Public debt
3rd block
Tax evasion and tax morale
4th block
The evaluation of public expenditure programs
5th block
Cost benefit analysis
6th block
International capital taxation, international taxation of goods, digital transaction tax. Fundamental characteristics of tax competition and policy problems. The role of supranational organizations: OECD and EU.

John G. Cullis, Philip Jones, (2009) Public Finance and Public Choice: Analytical Perspectives, Oxford University Press
Genschel, P. and Schwarz, P. (2011), "Tax competition: a literature review", Socio- Economic Review, 9, 339-370.
Further material will be provided by the professor

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

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

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.

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

. Bontempi, Diritto bancario e finanziario, Giuffré, ultima edizione: dal cap. I al cap. VIII compreso.
A. Donati-G. Volpe Putzolu, Manuale di diritto delle assicurazioni Milano, Giuffrè Editore, undicesima edizione aggiornata: parte I, dal cap. II al cap. V (da pag. 15 a pag. 45); parte I, dal cap. VII al cap. IX (da pag. 51 a pag. 67); parti II/III, dal cap. XI al cap. XXI (da pag. 77 a pag. 174); parte III, dal cap. XXIII (da pag. 181 a pag. 195) dal cap. XXVII al cap. XXIX (da pag. 223 a pag. 247).

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).

Part I - 30 hours
1. From the regulation on the budget of the civil code to the international accounting principles
- the civil code and the most recent innovations
- national accounting standards
- the process of homologation of international accounting standards and financial reporting
- the new generation accounting directives

2. The approved IAS principles: analysis of the main ones (among which)
2.1. IAS 1 and framework
2.2. IAS 2 inventories
2.3. IAS 11
2.3. IAS 16 fixed assets and plant
2.4. IFRS 16 leases
2.5. IAS 38 intangible assets
2.6. IAS 36 impairment
2.7. IAS 40 real estate investments
2.8. IFRS 9, IAS 39 - IFRS 7 financial instruments
2.9 IFRS 3 business combinations
2.10 IFRS 4 insurance contracts


Part II - 30 hours
1. Concrete applications of the accounting standards examined
2. Practical case: analysis of an IAS - IFRS balance sheet for an industrial sector company
3. The projects currently underway at the IASB: outline of the main new elements
4. The balance between financial accounting and management accounting
5. The accounting models for the preparation of the financial statements

Zanda G, Il bilancio delle società, Lineamenti teorici e modelli di redazione, Giappichelli, 2007
S. Pucci, L’iscrizione nel bilancio delle società quotate delle operazioni di gestione del rischio finanziario, Giappichelli, Torino, 2010


Lecture notes prepared by the teacher already published on the faculty website

Readings chosen from those selected by the teacher and indicated in the classroom
Other support material indicated from time to time in the classroom

It is possible to provide part of the material in English

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.

This course aims, first of all, to provide an overview of the role and the main activities carried out by the banks in the investment banking business. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of the corporate finance transactions. Finally, the course presents the objectives as well as the organization and the behavioral models of bank intermediaries active in the market, also considering the role of regulation and supervision.
1. The segmentation of the banking market
2. The business of corporate & investment banking
3. The structured finance operations: the project finance
4. The leveraged buy-out
5. The securitization
6. The equity capital market services
7. The venture capital activity
8. The listing of companies and the role of financial intermediaries
9. The credit operations: from traditional formulas to complex structures
10. The bank-firm relationship

Fleuriet M. (2018), Investment banking explained: An insider's guide to the industry, second edition, McGraw-Hill Education.

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

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

The teaching program concerns the main aspects (from the economic and institutional point of view) of modern tax systems with reference to the fundamental principles of international taxation and fiscal competition.
The course content can be broken down into several lesson blocks, the duration of which depends on the level of preparation of the students and their familiarity with the basic economics concepts
1st block
Public budgeting and fiscal governance
2nd block
Public debt
3rd block
Tax evasion and tax morale
4th block
The evaluation of public expenditure programs
5th block
Cost benefit analysis
6th block
International capital taxation, international taxation of goods, digital transaction tax. Fundamental characteristics of tax competition and policy problems. The role of supranational organizations: OECD and EU.

John G. Cullis, Philip Jones, (2009) Public Finance and Public Choice: Analytical Perspectives, Oxford University Press
Genschel, P. and Schwarz, P. (2011), "Tax competition: a literature review", Socio- Economic Review, 9, 339-370.
Further material will be provided by the professor

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

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

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.

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

. Bontempi, Diritto bancario e finanziario, Giuffré, ultima edizione: dal cap. I al cap. VIII compreso.
A. Donati-G. Volpe Putzolu, Manuale di diritto delle assicurazioni Milano, Giuffrè Editore, undicesima edizione aggiornata: parte I, dal cap. II al cap. V (da pag. 15 a pag. 45); parte I, dal cap. VII al cap. IX (da pag. 51 a pag. 67); parti II/III, dal cap. XI al cap. XXI (da pag. 77 a pag. 174); parte III, dal cap. XXIII (da pag. 181 a pag. 195) dal cap. XXVII al cap. XXIX (da pag. 223 a pag. 247).

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).

Part I - 30 hours
1. From the regulation on the budget of the civil code to the international accounting principles
- the civil code and the most recent innovations
- national accounting standards
- the process of homologation of international accounting standards and financial reporting
- the new generation accounting directives

2. The approved IAS principles: analysis of the main ones (among which)
2.1. IAS 1 and framework
2.2. IAS 2 inventories
2.3. IAS 11
2.3. IAS 16 fixed assets and plant
2.4. IFRS 16 leases
2.5. IAS 38 intangible assets
2.6. IAS 36 impairment
2.7. IAS 40 real estate investments
2.8. IFRS 9, IAS 39 - IFRS 7 financial instruments
2.9 IFRS 3 business combinations
2.10 IFRS 4 insurance contracts


Part II - 30 hours
1. Concrete applications of the accounting standards examined
2. Practical case: analysis of an IAS - IFRS balance sheet for an industrial sector company
3. The projects currently underway at the IASB: outline of the main new elements
4. The balance between financial accounting and management accounting
5. The accounting models for the preparation of the financial statements

Zanda G, Il bilancio delle società, Lineamenti teorici e modelli di redazione, Giappichelli, 2007
S. Pucci, L’iscrizione nel bilancio delle società quotate delle operazioni di gestione del rischio finanziario, Giappichelli, Torino, 2010


Lecture notes prepared by the teacher already published on the faculty website

Readings chosen from those selected by the teacher and indicated in the classroom
Other support material indicated from time to time in the classroom

It is possible to provide part of the material in English

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.

This course aims, first of all, to provide an overview of the role and the main activities carried out by the banks in the investment banking business. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of the corporate finance transactions. Finally, the course presents the objectives as well as the organization and the behavioral models of bank intermediaries active in the market, also considering the role of regulation and supervision.
1. The segmentation of the banking market
2. The business of corporate & investment banking
3. The structured finance operations: the project finance
4. The leveraged buy-out
5. The securitization
6. The equity capital market services
7. The venture capital activity
8. The listing of companies and the role of financial intermediaries
9. The credit operations: from traditional formulas to complex structures
10. The bank-firm relationship

Fleuriet M. (2018), Investment banking explained: An insider's guide to the industry, second edition, McGraw-Hill Education.

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

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

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

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

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.

AA.VV, Diritto del governo societario, diretto da M. Irrera, second edition, 2020, Giappichelli, da p. 1 a p. 628

The course content can be broken down into several lesson blocks, the duration of which depends on the level of preparation of the students and their familiarity with the basic economics concepts

I block:
The study of public financial activity and the functions of the State. First and second theorem of welfare economics.
Text: Rosen, Gayer, chapters 1,2,3

Block II:
Public goods and externalities
Text: Rosen, Gayer, chapters 4 and 5

III block:
Introduction to the economy of taxes. The classification and the effects of taxes. Tax Translation and Incidence Theory
Text: Rosen, Gayer, Chapter 14

IV block:
tax efficiency; the tradeoff between equity and efficiency; personal taxes and individual behavior
Text: Rosen, Gayer, chapters 15, 16, 17, 18

V block:
Taxes on corporations, consumption and wealth
Text: Rosen, Gayer, chapter 19 and 21

Rosen, H.S., Gayer T. Public finance. Global edition. McGraw Hill, Last Edition

The course aims, first of all, to provide an overview of the role and the main functions of the financial system. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of financial instruments and markets. Finally, the course presents the objectives as well as the organization and the behavioral models of financial intermediaries, also considering the role of regulation and supervision.
1. Real economy, financial system and financial intermediation
2. Theory of financial intermediation
3. Financial instruments
4. Financial markets
5. Banking
6. Investment services and asset management
7. Insurance
8. Payment systems
9. Risks in financial intermediation
10. Regulation and supervision
11. Monetary policy

Mishkin F.S., Eakins S.G. (2014), Financial Markets and Institutions, eighth edition, Pearson.

The course offers an overview of the roles and main functions of the financial system in a modern economy. The course covers the analysis of financial instruments and markets as well as the objectives, the organization and the management of financial intermediaries. The role of regulation and supervision is covered in the final set of lectures.
1. Real economy, financial system and financial intermediation
2. Theory of financial intermediation
3. Financial instruments
4. Financial markets
5. Banking
6. Investment services and asset management
7. Insurance
8. Payment systems
9. Risks in financial intermediation
10. Regulation and supervision
11. Monetary policy

Mishkin F.S., Eakins S.G. (2018), Financial Markets and Institutions (global edition), first edition, Pearson.

This course aims, first of all, to provide an overview of the role and the main activities carried out by the banks in the investment banking business. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of the corporate finance transactions. Finally, the course presents the objectives as well as the organization and the behavioral models of bank intermediaries active in the market, also considering the role of regulation and supervision.
1. The segmentation of the banking market
2. The business of corporate & investment banking
3. The structured finance operations: the project finance
4. The leveraged buy-out
5. The securitization
6. The equity capital market services
7. The venture capital activity
8. The listing of companies and the role of financial intermediaries
9. The credit operations: from traditional formulas to complex structures
10. The bank-firm relationship

Fleuriet M. (2018), Investment banking explained: An insider's guide to the industry, second edition, McGraw-Hill Education.

1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks.

2. FOUNDATIONS OF FINANCIAL CONTRACTS EVALUATION
2.1 EVALUATION IN CERTAINTY CONDITIONS Financial laws in certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return on a financial transaction. Theory of financial equivalence laws.
2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuations of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts.

David G. Luenberger
Investment Science
Oxford University Press (any edition)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks.

2. FOUNDATIONS OF FINANCIAL CONTRACTS VALUATION

2.1 VALUATION IN CERTAINTY CONDITIONS Financial laws under certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return of a financial transaction. Theory of financial laws.

2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuation of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts.

David G. Luenberger
Investment Science
Oxford University Press (any edition)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

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

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.

AA.VV, Diritto del governo societario, diretto da M. Irrera, second edition, 2020, Giappichelli, da p. 1 a p. 628

The course content can be broken down into several lesson blocks, the duration of which depends on the level of preparation of the students and their familiarity with the basic economics concepts

I block:
The study of public financial activity and the functions of the State. First and second theorem of welfare economics.
Text: Rosen, Gayer, chapters 1,2,3

Block II:
Public goods and externalities
Text: Rosen, Gayer, chapters 4 and 5

III block:
Introduction to the economy of taxes. The classification and the effects of taxes. Tax Translation and Incidence Theory
Text: Rosen, Gayer, Chapter 14

IV block:
tax efficiency; the tradeoff between equity and efficiency; personal taxes and individual behavior
Text: Rosen, Gayer, chapters 15, 16, 17, 18

V block:
Taxes on corporations, consumption and wealth
Text: Rosen, Gayer, chapter 19 and 21

Rosen, H.S., Gayer T. Public finance. Global edition. McGraw Hill, Last Edition

The course aims, first of all, to provide an overview of the role and the main functions of the financial system. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of financial instruments and markets. Finally, the course presents the objectives as well as the organization and the behavioral models of financial intermediaries, also considering the role of regulation and supervision.
1. Real economy, financial system and financial intermediation
2. Theory of financial intermediation
3. Financial instruments
4. Financial markets
5. Banking
6. Investment services and asset management
7. Insurance
8. Payment systems
9. Risks in financial intermediation
10. Regulation and supervision
11. Monetary policy

Mishkin F.S., Eakins S.G. (2014), Financial Markets and Institutions, eighth edition, Pearson.

The course offers an overview of the roles and main functions of the financial system in a modern economy. The course covers the analysis of financial instruments and markets as well as the objectives, the organization and the management of financial intermediaries. The role of regulation and supervision is covered in the final set of lectures.
1. Real economy, financial system and financial intermediation
2. Theory of financial intermediation
3. Financial instruments
4. Financial markets
5. Banking
6. Investment services and asset management
7. Insurance
8. Payment systems
9. Risks in financial intermediation
10. Regulation and supervision
11. Monetary policy

Mishkin F.S., Eakins S.G. (2018), Financial Markets and Institutions (global edition), first edition, Pearson.

This course aims, first of all, to provide an overview of the role and the main activities carried out by the banks in the investment banking business. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of the corporate finance transactions. Finally, the course presents the objectives as well as the organization and the behavioral models of bank intermediaries active in the market, also considering the role of regulation and supervision.
1. The segmentation of the banking market
2. The business of corporate & investment banking
3. The structured finance operations: the project finance
4. The leveraged buy-out
5. The securitization
6. The equity capital market services
7. The venture capital activity
8. The listing of companies and the role of financial intermediaries
9. The credit operations: from traditional formulas to complex structures
10. The bank-firm relationship

Fleuriet M. (2018), Investment banking explained: An insider's guide to the industry, second edition, McGraw-Hill Education.

1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks.

2. FOUNDATIONS OF FINANCIAL CONTRACTS EVALUATION
2.1 EVALUATION IN CERTAINTY CONDITIONS Financial laws in certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return on a financial transaction. Theory of financial equivalence laws.
2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuations of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts.

David G. Luenberger
Investment Science
Oxford University Press (any edition)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks.

2. FOUNDATIONS OF FINANCIAL CONTRACTS VALUATION

2.1 VALUATION IN CERTAINTY CONDITIONS Financial laws under certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return of a financial transaction. Theory of financial laws.

2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuation of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts.

David G. Luenberger
Investment Science
Oxford University Press (any edition)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

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.

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.

(Actuarial Sciences)

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

(ACTUARIAL SCIENCES)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer

Hans U. Gerber
Life Insurance Mathematics
Springer

FINANCIAL SCIENCES
Wiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options

FINANCIAL SCIENCES
Hull, J. (2018) Options, futures and other derivatives, Pearson

Specific topics covered during the course:

INTRODUCTION
The stakeholders and the company’s disclosure (financial statements and sustainability information)
Governance and Risk Disclosure

TYPES OF RISKS, GOVERNANCE & RISK, RISK MANAGEMENT
Risk definition,
Governance & risk: the new code of Governance
The basic processes of Risk Management
Approaches, methods and techniques used to manage risk
The different kinds of risk
Strategic risks, operational risks, financial risks, credit risks, liquidity risks
Financial and Non-financial risks
Insurance risk and other risks,

RISKS ANALYSIS BY SUSTAINABILITY INORMATION
CSR and sustainaibility disclosure
environmental, social and governance (ESG) and climate change-related information
Non-financial statement: scope, content and publication, European Commission Action Plan
Non-financial key performance indicators and main standards
Specific topics: ITC, cyber security, compliance risks
Management and communication of an event risk: the Covid case

RISKS ANALYSIS BY FINANCIAL INFORMATION
The Italian jurisdiction about financial statements (Civil Code and IAS/IFRS),
structure of the Italian accounting systems, substance over form, fair value,
risks disclosure in financial statements: risks reports
Financial risks communication by financial instruments accounting
definition of financial instruments
recognition and measurement of financial instrument
expected loss model
derecognition of financial assets and financial liabilities,
Specific issues: securitization, repurchase agreements and securities lending transactions
derivatives and hedge accounting
Selected topics regarding insurance companies (layouts, measurement criteria, technical provisions, mathematical provisions, risks report)
Risk communication by lease accounting

Slides and links to other sources will be available on the website.

Specific topics covered during the course:
INTRODUCTION
- the stakeholders and the main company’s communication (financial statements and non financial information,
KINDS OF RISKS AND RISK MANAGEMENT (PAOLA?)
- risk definition,
The different kinds of risk
- business and strategic risks,
- operational risks,
- financial risks,
- credit risks,
- liquidity risks,
Non-financial risks
- insurance risk and other risks,
- Approaches, methods and techniques used to manage risk,
- Governance and Risk Management
- The Basic processes of Risk Management
- The risk management system: 1) risk identification and classification, 2) risk assessment and evaluation 3) monitoring and controlling activities
- internal control,
ERM (Enterprise Risk Management) and COSO model
CRSA (Control and Risk Self Assessment)

RISKS ANALYSIS BY NON-FINANCIAL INORMATION
CSR and sustainaibility
environmental, social and governance (ESG) information
Non-financial statement: scope, content and publication European Commission Action Plan
Non-financial key performance indicators and main standards
European Commission Action Plan
Specific topics: ITC, cyber security and climate-related information
Risk information: a study case

RISKS ANALYSIS BY FINANCIAL INFORMATION
- the Italian jurisdiction about financial statements (Civil Code and IAS/IFRS),
- Structure of the Italian accounting systems,
- substance over form,
- fair value,
- presentation of financial statements,
risks disclosure in financial statements: risks reports
- financial risks communication by financial instruments accounting
- definition of financial instruments
recognition and measurement of financial instrument
expected loss model
derecognition of financial assets and financial liabilities,
Specific issues: securitization, repurchase agreements and securities lending transactions
- derivatives and hedge accounting
- specific issues regarding insurance companies,
- management and communication of an event risk: the Covid case
- selected topics regarding insurance companies (layouts, measurement criteria, technical provisions, mathematical provisions, risks report)
Risk communication by lease accounting
analysis of financial statements of industrial, banking and insurance.

Academic materials are available on Professors’ web page. Other material 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

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.

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

(Actuarial Sciences)

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

(ACTUARIAL SCIENCES)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer

Hans U. Gerber
Life Insurance Mathematics
Springer

Specific topics covered during the course:

INTRODUCTION
The stakeholders and the company’s disclosure (financial statements and sustainability information)
Governance and Risk Disclosure

TYPES OF RISKS, GOVERNANCE & RISK, RISK MANAGEMENT
Risk definition,
Governance & risk: the new code of Governance
The basic processes of Risk Management
Approaches, methods and techniques used to manage risk
The different kinds of risk
Strategic risks, operational risks, financial risks, credit risks, liquidity risks
Financial and Non-financial risks
Insurance risk and other risks,

RISKS ANALYSIS BY SUSTAINABILITY INORMATION
CSR and sustainaibility disclosure
environmental, social and governance (ESG) and climate change-related information
Non-financial statement: scope, content and publication, European Commission Action Plan
Non-financial key performance indicators and main standards
Specific topics: ITC, cyber security, compliance risks
Management and communication of an event risk: the Covid case

RISKS ANALYSIS BY FINANCIAL INFORMATION
The Italian jurisdiction about financial statements (Civil Code and IAS/IFRS),
structure of the Italian accounting systems, substance over form, fair value,
risks disclosure in financial statements: risks reports
Financial risks communication by financial instruments accounting
definition of financial instruments
recognition and measurement of financial instrument
expected loss model
derecognition of financial assets and financial liabilities,
Specific issues: securitization, repurchase agreements and securities lending transactions
derivatives and hedge accounting
Selected topics regarding insurance companies (layouts, measurement criteria, technical provisions, mathematical provisions, risks report)
Risk communication by lease accounting

Slides and links to other sources will be available on the website.

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

The teaching program concerns the main aspects (from the economic and institutional point of view) of modern tax systems with reference to the fundamental principles of international taxation and fiscal competition.
The course content can be broken down into several lesson blocks, the duration of which depends on the level of preparation of the students and their familiarity with the basic economics concepts
1st block
Public budgeting and fiscal governance
2nd block
Public debt
3rd block
Tax evasion and tax morale
4th block
The evaluation of public expenditure programs
5th block
Cost benefit analysis
6th block
International capital taxation, international taxation of goods, digital transaction tax. Fundamental characteristics of tax competition and policy problems. The role of supranational organizations: OECD and EU.

John G. Cullis, Philip Jones, (2009) Public Finance and Public Choice: Analytical Perspectives, Oxford University Press
Genschel, P. and Schwarz, P. (2011), "Tax competition: a literature review", Socio- Economic Review, 9, 339-370.
Further material will be provided by the professor

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

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

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.

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

. Bontempi, Diritto bancario e finanziario, Giuffré, ultima edizione: dal cap. I al cap. VIII compreso.
A. Donati-G. Volpe Putzolu, Manuale di diritto delle assicurazioni Milano, Giuffrè Editore, undicesima edizione aggiornata: parte I, dal cap. II al cap. V (da pag. 15 a pag. 45); parte I, dal cap. VII al cap. IX (da pag. 51 a pag. 67); parti II/III, dal cap. XI al cap. XXI (da pag. 77 a pag. 174); parte III, dal cap. XXIII (da pag. 181 a pag. 195) dal cap. XXVII al cap. XXIX (da pag. 223 a pag. 247).

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).

Part I - 30 hours
1. From the regulation on the budget of the civil code to the international accounting principles
- the civil code and the most recent innovations
- national accounting standards
- the process of homologation of international accounting standards and financial reporting
- the new generation accounting directives

2. The approved IAS principles: analysis of the main ones (among which)
2.1. IAS 1 and framework
2.2. IAS 2 inventories
2.3. IAS 11
2.3. IAS 16 fixed assets and plant
2.4. IFRS 16 leases
2.5. IAS 38 intangible assets
2.6. IAS 36 impairment
2.7. IAS 40 real estate investments
2.8. IFRS 9, IAS 39 - IFRS 7 financial instruments
2.9 IFRS 3 business combinations
2.10 IFRS 4 insurance contracts


Part II - 30 hours
1. Concrete applications of the accounting standards examined
2. Practical case: analysis of an IAS - IFRS balance sheet for an industrial sector company
3. The projects currently underway at the IASB: outline of the main new elements
4. The balance between financial accounting and management accounting
5. The accounting models for the preparation of the financial statements

Zanda G, Il bilancio delle società, Lineamenti teorici e modelli di redazione, Giappichelli, 2007
S. Pucci, L’iscrizione nel bilancio delle società quotate delle operazioni di gestione del rischio finanziario, Giappichelli, Torino, 2010


Lecture notes prepared by the teacher already published on the faculty website

Readings chosen from those selected by the teacher and indicated in the classroom
Other support material indicated from time to time in the classroom

It is possible to provide part of the material in English

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.

This course aims, first of all, to provide an overview of the role and the main activities carried out by the banks in the investment banking business. The central part of the course is dedicated to an analysis of the technical characteristics and of the economic and management profiles of the corporate finance transactions. Finally, the course presents the objectives as well as the organization and the behavioral models of bank intermediaries active in the market, also considering the role of regulation and supervision.
1. The segmentation of the banking market
2. The business of corporate & investment banking
3. The structured finance operations: the project finance
4. The leveraged buy-out
5. The securitization
6. The equity capital market services
7. The venture capital activity
8. The listing of companies and the role of financial intermediaries
9. The credit operations: from traditional formulas to complex structures
10. The bank-firm relationship

Fleuriet M. (2018), Investment banking explained: An insider's guide to the industry, second edition, McGraw-Hill Education.

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)