THE MULTIPLE LINEAR REGRESSION MODEL. INTERPRETATION AND COMPARISON OF REGRESSION MODELS. HETEROSCHEDASTICITY AND AUTOCORRELATION. ENDOGENITY AND INSTRUMENTAL VARIABLES.

MODELS WITH LIMITED DEPENDENT VARIABLES. BINARY CHOICE MODELS: PROBIT AND LOGIT MODELS. MULTIPLE-CHOICE MODELS: PROBIT AND LOGIT MODELS ORDERED, LOGIT MODEL MULTINOMIAL. MODELS FOR COUNTING DATA. TOBIT MODELS.
Seemingly Unrelated Regression (SUR): ESTIMATION AND TESTING METHODS.
SIMULTANEOUS EQUATIONS Model (SEM).
MODELS FOR PANEL DATA. THE STATIC LINEAR MODEL: FIXED EFFECT MODELS; RANDOM EFFECT MODELS. ESTIMATORS WITHIN AND BETWEEN. HETEROSCHEDASTICITY AND AUTOCORRELATION TESTS. DYNAMIC MODELS FOR PANEL DATA: THE ARELLANO-BOND ESTIMATOR.
MODELS WITH LAGGED VARIABLES: DYNAMIC REGRESSION MODELS, MODELS WITH DISTRIBUTED LAGS (DL, ARDL).

For the course program students can consult the following texts (the first three can be considered alternative among them)
1) Introduzione all'Econometria, J. H. Stock, M. W. Watson, Ed. Pearson
2) Econometrica, J. Johnston, Ed. Franco Angeli
3) Econometria, M. Verbeek, Ed. Zanichelli
4) Lectures on advanced econometrics, L. Pieraccini, Ed. Aracne
5) Introduction to Time Series Analysis and Forecasting, D. C. Montgomery, C. L. Jennings, M. Kulahci, Ed. Wiley

Some of the topics in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For introductory references of statistical inference and algebra of matrices students can consult:
Fondamenti di Inferenza Statistica, L. Pieraccini, Ed. Giappichelli
Matrix Differential Calculus in Statistics and Econometrics, J. R. Magnus, H. Neudecker, Ed. Wiley Series in Probability and Statistics

For the laboratory course with R, students can consult one of the following texts:
Introductory Statistics with R, P. Dalgaard, Ed. Springer
An Introduction to Applied Multivariate Analysis with R, B. Everitt, T. Hothorn, Ed. Springer

EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. ELEMENTS OF PROBABILITY THEORY. RANDOM VARIABLES. PROBABILITY DISTRIBUTIONS. 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. THE APPLICATION OF FINANCIAL EVALUATION MODELS. THE CAPM MODEL AS A FACTORIAL MARKET MODEL. THE ESTIMATE OF BETA. EMPIRICAL CHECK OF CAPM. THE ALFA OF JENSEN. THE MARKET EMPIRICAL LINE. ARMA MODEL FOR THE ANALYSIS OF FINANCIAL DATA. MODELS FOR VOLATILITY: ARCH AND GARCH MODELS. STOCHASTIC MODELS FOR VOLATILITY. MONTECARLO SIMULATION.

MATERIAL PROVIDED BY THE TEACHER

Gli argomenti del corso sono:
1. Obiettivi, contenuti, utilizzi e utilizzatori dell’analisi finanziaria
2. Principali basi-dati economico-finanziarie (nazionali e internazionali): obiettivi, struttura, modelli logici, tecniche di elaborazione.
3. Performance e rischio dell’impresa:
a) Metriche:
 contabili (indici di bilancio)
 value-based (EVA, CFROI, SVA, EM, CVA)
b) Delle metriche saranno analizzati:
 criteri di misurazione
 contenuti informativi e diagnostici
 modelli logici/analitici di collegamento e scomposizione
 termini di confronto per analisi cross-sectional
 coerenza con value creation e con misure di mercato
 distorsioni nei sistemi premianti e di incentivo manageriali
 problematiche applicative e esempi di bias/moral hazard (caso Parmalat)
c) Analisi/comparazione di settori/imprese su dati reali (da basi dati disponibili)
4. Fabbisogno finanziario e sue determinanti. Analisi della dinamica finanziaria e rendiconti finanziari: flussi di capitale circolante netto (varie configurazioni) e di cassa
5. Solvibilità finanziaria, rischio di credito e modelli di rating/scoring
6. Fattibilità finanziaria delle strategie
7. Gestione del capitale circolante: a) gestione del credito/debito di fornitura; b) modelli di gestione delle scorte; c) modelli di gestione della liquidità.

A) LIBRI
1. Berk J. – De Marzo P., Finanza aziendale 2, Pearson-Addison Wesley, 2008, capitolo 7
2. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, capp. 4-6-7-8
3. Horngren C.., Foster G., Datar S.M., Contabilità per la direzione, Isedi 1998, capitolo 21
4. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, capitoli 3 e 5
5. Pavarani E., Tagliavini G., Pianificazione finanziaria, McGraw-Hill 2006, capitoli 5 e 11
6. Venanzi D., Financial performance measures and value creation: the state of the art, Springer 2012 (http://www.springer.com/business+%26+management/finance/book/978-88-470-2450-2)

B) ARTICOLI/DISPENSE
7. Clinton B.D., Chen S., “Do new performance measures measure up?”, Management Accounting, october 1998 (copia cartacea disponibile in biblioteca)
8. Morresi O., I modelli di gestione della liquidità aziendale – dispensa, 2010 (download dal sito web del corso)
9. Sironi A., “I rating interni e i modelli per la gestione del rischio di credito”, in Banca d’Italia, Modelli per la gestione del rischio di credito – I ratings interni, Tematiche istituzionali, Banca d’Italia, 2000 (download dal sito web http://www.bancaditalia.it/pubblicazioni/temist/modelli)

C) MATERIALI APPLICATIVI E DI COMPLETAMENTO
Dati, casi, slides, materiali dei seminari, ecc., resi disponibili dal docente sul sito web del corso (accessibili per gli studenti del corso – frequentanti e no – tramite password; le password di accesso saranno comunicate durante le lezioni. Gli studenti non frequentanti possono richiederle al docente via email).

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.

The international monetary system
Money functions in international transactions. Monetary systems and exchange rates. Exchange rate regimes and monetary unions: from the Gold Standard to the EMU. Costs and benefits of a single currency. The theory of optimal currency areas. Fragility of incomplete monetary unions. Inflation, monetary stability and capital movements.
The institutions of the EMU
The Maastricht Treaty. The European Central Bank. The principle of independence and the governance of the ECB. The European System of Central Banks. The Stability and Growth Pact. Operating procedures of the Eurosystem. Banking supervision and financial stability in the Eurozone.

European monetary policy
Central banks and asymmetric shocks. The ECB's strategy. Intervention instruments: minimum reserve, main and long-term refinancing, fine-tuning, structural operations and open market operations. Transmission mechanisms: interest rates, exchange rates, asset prices and credit conditions. Credit risk and credit crunch regulation: from Basel 1 to Basel 3. Benefits and constraints of a common monetary policy. Monetary policies compared: United States, United Kingdom and European Union.

Tax policies in monetary unions
Tax policies and theory of optimal currency areas. The sustainability of public deficits. Need for fiscal discipline in monetary unions. Effectiveness of the Stability and Growth Pact. National defaults and systems of guarantees in monetary unions. The European Financial Stability Fund. The Fiscal Compact.

The euro, the financial markets and the crisis
Single currency and financial markets. The stability of the financial markets. Currency and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009: from the speculative bubble of the American real estate sector to the economic crisis. The rescue of banks and the sovereign debt crisis. Risks of national default and euro crisis.

DE GRAUWE P., ECONOMIA DELL’UNIONE MONETARIA, IL MULINO, 2010.

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

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/

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 is divided into a single educational module concerning the following topics: (i) with regard to banking law, the sources of banking law, the European Banking Union, the banking activity, the supervisory authorities, the various types of banks, the activities of credit disposal, leasing and customer protection; (ii) with regard to insurance law, the insurance company regulation, insurance intermediaries, as well as the specific types of insurance contracts. The aim of the course is to provide students with the necessary tools to understand the current regulatory developments in the banking and insurance sector.

P. Bontempi, Diritto bancario e finanziario, Milano, Giuffré Editore, ultima edizione: dal cap. I al cap. VIII compreso.
A. Donati-G. Volpe Putzolu, Manuale di diritto delle assicurazioni, Milano, Giuffrè Editore, ultima edizione, 2012: parte I, dal cap. II al cap. V (da pag. 15 a pag. 47); parte I, dal cap. VII al cap. IX (da pag. 57 a pag. 68); parti II/III, dal cap. XI al cap. XXI (da pag. 77 a pag. 178); parte III, dal cap. XXIII (da pag. 185 a pag. 198); parte III, dal cap. XXV al cap. XXVI (da pag. 205 a pag. 222).

THE MULTIPLE LINEAR REGRESSION MODEL. INTERPRETATION AND COMPARISON OF REGRESSION MODELS. HETEROSCHEDASTICITY AND AUTOCORRELATION. ENDOGENITY AND INSTRUMENTAL VARIABLES.

MODELS WITH LIMITED DEPENDENT VARIABLES. BINARY CHOICE MODELS: PROBIT AND LOGIT MODELS. MULTIPLE-CHOICE MODELS: PROBIT AND LOGIT MODELS ORDERED, LOGIT MODEL MULTINOMIAL. MODELS FOR COUNTING DATA. TOBIT MODELS.
Seemingly Unrelated Regression (SUR): ESTIMATION AND TESTING METHODS.
SIMULTANEOUS EQUATIONS Model (SEM).
MODELS FOR PANEL DATA. THE STATIC LINEAR MODEL: FIXED EFFECT MODELS; RANDOM EFFECT MODELS. ESTIMATORS WITHIN AND BETWEEN. HETEROSCHEDASTICITY AND AUTOCORRELATION TESTS. DYNAMIC MODELS FOR PANEL DATA: THE ARELLANO-BOND ESTIMATOR.
MODELS WITH LAGGED VARIABLES: DYNAMIC REGRESSION MODELS, MODELS WITH DISTRIBUTED LAGS (DL, ARDL).

For the course program students can consult the following texts (the first three can be considered alternative among them)
1) Introduzione all'Econometria, J. H. Stock, M. W. Watson, Ed. Pearson
2) Econometrica, J. Johnston, Ed. Franco Angeli
3) Econometria, M. Verbeek, Ed. Zanichelli
4) Lectures on advanced econometrics, L. Pieraccini, Ed. Aracne
5) Introduction to Time Series Analysis and Forecasting, D. C. Montgomery, C. L. Jennings, M. Kulahci, Ed. Wiley

Some of the topics in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For introductory references of statistical inference and algebra of matrices students can consult:
Fondamenti di Inferenza Statistica, L. Pieraccini, Ed. Giappichelli
Matrix Differential Calculus in Statistics and Econometrics, J. R. Magnus, H. Neudecker, Ed. Wiley Series in Probability and Statistics

For the laboratory course with R, students can consult one of the following texts:
Introductory Statistics with R, P. Dalgaard, Ed. Springer
An Introduction to Applied Multivariate Analysis with R, B. Everitt, T. Hothorn, Ed. Springer

EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. ELEMENTS OF PROBABILITY THEORY. RANDOM VARIABLES. PROBABILITY DISTRIBUTIONS. 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. THE APPLICATION OF FINANCIAL EVALUATION MODELS. THE CAPM MODEL AS A FACTORIAL MARKET MODEL. THE ESTIMATE OF BETA. EMPIRICAL CHECK OF CAPM. THE ALFA OF JENSEN. THE MARKET EMPIRICAL LINE. ARMA MODEL FOR THE ANALYSIS OF FINANCIAL DATA. MODELS FOR VOLATILITY: ARCH AND GARCH MODELS. STOCHASTIC MODELS FOR VOLATILITY. MONTECARLO SIMULATION.

MATERIAL PROVIDED BY THE TEACHER

Gli argomenti del corso sono:
1. Obiettivi, contenuti, utilizzi e utilizzatori dell’analisi finanziaria
2. Principali basi-dati economico-finanziarie (nazionali e internazionali): obiettivi, struttura, modelli logici, tecniche di elaborazione.
3. Performance e rischio dell’impresa:
a) Metriche:
 contabili (indici di bilancio)
 value-based (EVA, CFROI, SVA, EM, CVA)
b) Delle metriche saranno analizzati:
 criteri di misurazione
 contenuti informativi e diagnostici
 modelli logici/analitici di collegamento e scomposizione
 termini di confronto per analisi cross-sectional
 coerenza con value creation e con misure di mercato
 distorsioni nei sistemi premianti e di incentivo manageriali
 problematiche applicative e esempi di bias/moral hazard (caso Parmalat)
c) Analisi/comparazione di settori/imprese su dati reali (da basi dati disponibili)
4. Fabbisogno finanziario e sue determinanti. Analisi della dinamica finanziaria e rendiconti finanziari: flussi di capitale circolante netto (varie configurazioni) e di cassa
5. Solvibilità finanziaria, rischio di credito e modelli di rating/scoring
6. Fattibilità finanziaria delle strategie
7. Gestione del capitale circolante: a) gestione del credito/debito di fornitura; b) modelli di gestione delle scorte; c) modelli di gestione della liquidità.

A) LIBRI
1. Berk J. – De Marzo P., Finanza aziendale 2, Pearson-Addison Wesley, 2008, capitolo 7
2. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, capp. 4-6-7-8
3. Horngren C.., Foster G., Datar S.M., Contabilità per la direzione, Isedi 1998, capitolo 21
4. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, capitoli 3 e 5
5. Pavarani E., Tagliavini G., Pianificazione finanziaria, McGraw-Hill 2006, capitoli 5 e 11
6. Venanzi D., Financial performance measures and value creation: the state of the art, Springer 2012 (http://www.springer.com/business+%26+management/finance/book/978-88-470-2450-2)

B) ARTICOLI/DISPENSE
7. Clinton B.D., Chen S., “Do new performance measures measure up?”, Management Accounting, october 1998 (copia cartacea disponibile in biblioteca)
8. Morresi O., I modelli di gestione della liquidità aziendale – dispensa, 2010 (download dal sito web del corso)
9. Sironi A., “I rating interni e i modelli per la gestione del rischio di credito”, in Banca d’Italia, Modelli per la gestione del rischio di credito – I ratings interni, Tematiche istituzionali, Banca d’Italia, 2000 (download dal sito web http://www.bancaditalia.it/pubblicazioni/temist/modelli)

C) MATERIALI APPLICATIVI E DI COMPLETAMENTO
Dati, casi, slides, materiali dei seminari, ecc., resi disponibili dal docente sul sito web del corso (accessibili per gli studenti del corso – frequentanti e no – tramite password; le password di accesso saranno comunicate durante le lezioni. Gli studenti non frequentanti possono richiederle al docente via email).

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.

The international monetary system
Money functions in international transactions. Monetary systems and exchange rates. Exchange rate regimes and monetary unions: from the Gold Standard to the EMU. Costs and benefits of a single currency. The theory of optimal currency areas. Fragility of incomplete monetary unions. Inflation, monetary stability and capital movements.
The institutions of the EMU
The Maastricht Treaty. The European Central Bank. The principle of independence and the governance of the ECB. The European System of Central Banks. The Stability and Growth Pact. Operating procedures of the Eurosystem. Banking supervision and financial stability in the Eurozone.

European monetary policy
Central banks and asymmetric shocks. The ECB's strategy. Intervention instruments: minimum reserve, main and long-term refinancing, fine-tuning, structural operations and open market operations. Transmission mechanisms: interest rates, exchange rates, asset prices and credit conditions. Credit risk and credit crunch regulation: from Basel 1 to Basel 3. Benefits and constraints of a common monetary policy. Monetary policies compared: United States, United Kingdom and European Union.

Tax policies in monetary unions
Tax policies and theory of optimal currency areas. The sustainability of public deficits. Need for fiscal discipline in monetary unions. Effectiveness of the Stability and Growth Pact. National defaults and systems of guarantees in monetary unions. The European Financial Stability Fund. The Fiscal Compact.

The euro, the financial markets and the crisis
Single currency and financial markets. The stability of the financial markets. Currency and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009: from the speculative bubble of the American real estate sector to the economic crisis. The rescue of banks and the sovereign debt crisis. Risks of national default and euro crisis.

DE GRAUWE P., ECONOMIA DELL’UNIONE MONETARIA, IL MULINO, 2010.

THE MULTIPLE LINEAR REGRESSION MODEL. INTERPRETATION AND COMPARISON OF REGRESSION MODELS. HETEROSCHEDASTICITY AND AUTOCORRELATION. ENDOGENITY AND INSTRUMENTAL VARIABLES.

MODELS WITH LIMITED DEPENDENT VARIABLES. BINARY CHOICE MODELS: PROBIT AND LOGIT MODELS. MULTIPLE-CHOICE MODELS: PROBIT AND LOGIT MODELS ORDERED, LOGIT MODEL MULTINOMIAL. MODELS FOR COUNTING DATA. TOBIT MODELS.
Seemingly Unrelated Regression (SUR): ESTIMATION AND TESTING METHODS.
SIMULTANEOUS EQUATIONS Model (SEM).
MODELS FOR PANEL DATA. THE STATIC LINEAR MODEL: FIXED EFFECT MODELS; RANDOM EFFECT MODELS. ESTIMATORS WITHIN AND BETWEEN. HETEROSCHEDASTICITY AND AUTOCORRELATION TESTS. DYNAMIC MODELS FOR PANEL DATA: THE ARELLANO-BOND ESTIMATOR.
MODELS WITH LAGGED VARIABLES: DYNAMIC REGRESSION MODELS, MODELS WITH DISTRIBUTED LAGS (DL, ARDL).

For the course program students can consult the following texts (the first three can be considered alternative among them)
1) Introduzione all'Econometria, J. H. Stock, M. W. Watson, Ed. Pearson
2) Econometrica, J. Johnston, Ed. Franco Angeli
3) Econometria, M. Verbeek, Ed. Zanichelli
4) Lectures on advanced econometrics, L. Pieraccini, Ed. Aracne
5) Introduction to Time Series Analysis and Forecasting, D. C. Montgomery, C. L. Jennings, M. Kulahci, Ed. Wiley

Some of the topics in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For introductory references of statistical inference and algebra of matrices students can consult:
Fondamenti di Inferenza Statistica, L. Pieraccini, Ed. Giappichelli
Matrix Differential Calculus in Statistics and Econometrics, J. R. Magnus, H. Neudecker, Ed. Wiley Series in Probability and Statistics

For the laboratory course with R, students can consult one of the following texts:
Introductory Statistics with R, P. Dalgaard, Ed. Springer
An Introduction to Applied Multivariate Analysis with R, B. Everitt, T. Hothorn, Ed. Springer

EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. ELEMENTS OF PROBABILITY THEORY. RANDOM VARIABLES. PROBABILITY DISTRIBUTIONS. 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. THE APPLICATION OF FINANCIAL EVALUATION MODELS. THE CAPM MODEL AS A FACTORIAL MARKET MODEL. THE ESTIMATE OF BETA. EMPIRICAL CHECK OF CAPM. THE ALFA OF JENSEN. THE MARKET EMPIRICAL LINE. ARMA MODEL FOR THE ANALYSIS OF FINANCIAL DATA. MODELS FOR VOLATILITY: ARCH AND GARCH MODELS. STOCHASTIC MODELS FOR VOLATILITY. MONTECARLO SIMULATION.

MATERIAL PROVIDED BY THE TEACHER

Gli argomenti del corso sono:
1. Obiettivi, contenuti, utilizzi e utilizzatori dell’analisi finanziaria
2. Principali basi-dati economico-finanziarie (nazionali e internazionali): obiettivi, struttura, modelli logici, tecniche di elaborazione.
3. Performance e rischio dell’impresa:
a) Metriche:
 contabili (indici di bilancio)
 value-based (EVA, CFROI, SVA, EM, CVA)
b) Delle metriche saranno analizzati:
 criteri di misurazione
 contenuti informativi e diagnostici
 modelli logici/analitici di collegamento e scomposizione
 termini di confronto per analisi cross-sectional
 coerenza con value creation e con misure di mercato
 distorsioni nei sistemi premianti e di incentivo manageriali
 problematiche applicative e esempi di bias/moral hazard (caso Parmalat)
c) Analisi/comparazione di settori/imprese su dati reali (da basi dati disponibili)
4. Fabbisogno finanziario e sue determinanti. Analisi della dinamica finanziaria e rendiconti finanziari: flussi di capitale circolante netto (varie configurazioni) e di cassa
5. Solvibilità finanziaria, rischio di credito e modelli di rating/scoring
6. Fattibilità finanziaria delle strategie
7. Gestione del capitale circolante: a) gestione del credito/debito di fornitura; b) modelli di gestione delle scorte; c) modelli di gestione della liquidità.

A) LIBRI
1. Berk J. – De Marzo P., Finanza aziendale 2, Pearson-Addison Wesley, 2008, capitolo 7
2. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, capp. 4-6-7-8
3. Horngren C.., Foster G., Datar S.M., Contabilità per la direzione, Isedi 1998, capitolo 21
4. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, capitoli 3 e 5
5. Pavarani E., Tagliavini G., Pianificazione finanziaria, McGraw-Hill 2006, capitoli 5 e 11
6. Venanzi D., Financial performance measures and value creation: the state of the art, Springer 2012 (http://www.springer.com/business+%26+management/finance/book/978-88-470-2450-2)

B) ARTICOLI/DISPENSE
7. Clinton B.D., Chen S., “Do new performance measures measure up?”, Management Accounting, october 1998 (copia cartacea disponibile in biblioteca)
8. Morresi O., I modelli di gestione della liquidità aziendale – dispensa, 2010 (download dal sito web del corso)
9. Sironi A., “I rating interni e i modelli per la gestione del rischio di credito”, in Banca d’Italia, Modelli per la gestione del rischio di credito – I ratings interni, Tematiche istituzionali, Banca d’Italia, 2000 (download dal sito web http://www.bancaditalia.it/pubblicazioni/temist/modelli)

C) MATERIALI APPLICATIVI E DI COMPLETAMENTO
Dati, casi, slides, materiali dei seminari, ecc., resi disponibili dal docente sul sito web del corso (accessibili per gli studenti del corso – frequentanti e no – tramite password; le password di accesso saranno comunicate durante le lezioni. Gli studenti non frequentanti possono richiederle al docente via email).

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

MATERIAL PROVIDED BY THE 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.

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.

The international monetary system
Money functions in international transactions. Monetary systems and exchange rates. Exchange rate regimes and monetary unions: from the Gold Standard to the EMU. Costs and benefits of a single currency. The theory of optimal currency areas. Fragility of incomplete monetary unions. Inflation, monetary stability and capital movements.
The institutions of the EMU
The Maastricht Treaty. The European Central Bank. The principle of independence and the governance of the ECB. The European System of Central Banks. The Stability and Growth Pact. Operating procedures of the Eurosystem. Banking supervision and financial stability in the Eurozone.

European monetary policy
Central banks and asymmetric shocks. The ECB's strategy. Intervention instruments: minimum reserve, main and long-term refinancing, fine-tuning, structural operations and open market operations. Transmission mechanisms: interest rates, exchange rates, asset prices and credit conditions. Credit risk and credit crunch regulation: from Basel 1 to Basel 3. Benefits and constraints of a common monetary policy. Monetary policies compared: United States, United Kingdom and European Union.

Tax policies in monetary unions
Tax policies and theory of optimal currency areas. The sustainability of public deficits. Need for fiscal discipline in monetary unions. Effectiveness of the Stability and Growth Pact. National defaults and systems of guarantees in monetary unions. The European Financial Stability Fund. The Fiscal Compact.

The euro, the financial markets and the crisis
Single currency and financial markets. The stability of the financial markets. Currency and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009: from the speculative bubble of the American real estate sector to the economic crisis. The rescue of banks and the sovereign debt crisis. Risks of national default and euro crisis.

DE GRAUWE P., ECONOMIA DELL’UNIONE MONETARIA, IL MULINO, 2010.

THE MULTIPLE LINEAR REGRESSION MODEL. INTERPRETATION AND COMPARISON OF REGRESSION MODELS. HETEROSCHEDASTICITY AND AUTOCORRELATION. ENDOGENITY AND INSTRUMENTAL VARIABLES.

MODELS WITH LIMITED DEPENDENT VARIABLES. BINARY CHOICE MODELS: PROBIT AND LOGIT MODELS. MULTIPLE-CHOICE MODELS: PROBIT AND LOGIT MODELS ORDERED, LOGIT MODEL MULTINOMIAL. MODELS FOR COUNTING DATA. TOBIT MODELS.
Seemingly Unrelated Regression (SUR): ESTIMATION AND TESTING METHODS.
SIMULTANEOUS EQUATIONS Model (SEM).
MODELS FOR PANEL DATA. THE STATIC LINEAR MODEL: FIXED EFFECT MODELS; RANDOM EFFECT MODELS. ESTIMATORS WITHIN AND BETWEEN. HETEROSCHEDASTICITY AND AUTOCORRELATION TESTS. DYNAMIC MODELS FOR PANEL DATA: THE ARELLANO-BOND ESTIMATOR.
MODELS WITH LAGGED VARIABLES: DYNAMIC REGRESSION MODELS, MODELS WITH DISTRIBUTED LAGS (DL, ARDL).

For the course program students can consult the following texts (the first three can be considered alternative among them)
1) Introduzione all'Econometria, J. H. Stock, M. W. Watson, Ed. Pearson
2) Econometrica, J. Johnston, Ed. Franco Angeli
3) Econometria, M. Verbeek, Ed. Zanichelli
4) Lectures on advanced econometrics, L. Pieraccini, Ed. Aracne
5) Introduction to Time Series Analysis and Forecasting, D. C. Montgomery, C. L. Jennings, M. Kulahci, Ed. Wiley

Some of the topics in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For introductory references of statistical inference and algebra of matrices students can consult:
Fondamenti di Inferenza Statistica, L. Pieraccini, Ed. Giappichelli
Matrix Differential Calculus in Statistics and Econometrics, J. R. Magnus, H. Neudecker, Ed. Wiley Series in Probability and Statistics

For the laboratory course with R, students can consult one of the following texts:
Introductory Statistics with R, P. Dalgaard, Ed. Springer
An Introduction to Applied Multivariate Analysis with R, B. Everitt, T. Hothorn, Ed. Springer

EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. ELEMENTS OF PROBABILITY THEORY. RANDOM VARIABLES. PROBABILITY DISTRIBUTIONS. 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. THE APPLICATION OF FINANCIAL EVALUATION MODELS. THE CAPM MODEL AS A FACTORIAL MARKET MODEL. THE ESTIMATE OF BETA. EMPIRICAL CHECK OF CAPM. THE ALFA OF JENSEN. THE MARKET EMPIRICAL LINE. ARMA MODEL FOR THE ANALYSIS OF FINANCIAL DATA. MODELS FOR VOLATILITY: ARCH AND GARCH MODELS. STOCHASTIC MODELS FOR VOLATILITY. MONTECARLO SIMULATION.

MATERIAL PROVIDED BY THE TEACHER

Gli argomenti del corso sono:
1. Obiettivi, contenuti, utilizzi e utilizzatori dell’analisi finanziaria
2. Principali basi-dati economico-finanziarie (nazionali e internazionali): obiettivi, struttura, modelli logici, tecniche di elaborazione.
3. Performance e rischio dell’impresa:
a) Metriche:
 contabili (indici di bilancio)
 value-based (EVA, CFROI, SVA, EM, CVA)
b) Delle metriche saranno analizzati:
 criteri di misurazione
 contenuti informativi e diagnostici
 modelli logici/analitici di collegamento e scomposizione
 termini di confronto per analisi cross-sectional
 coerenza con value creation e con misure di mercato
 distorsioni nei sistemi premianti e di incentivo manageriali
 problematiche applicative e esempi di bias/moral hazard (caso Parmalat)
c) Analisi/comparazione di settori/imprese su dati reali (da basi dati disponibili)
4. Fabbisogno finanziario e sue determinanti. Analisi della dinamica finanziaria e rendiconti finanziari: flussi di capitale circolante netto (varie configurazioni) e di cassa
5. Solvibilità finanziaria, rischio di credito e modelli di rating/scoring
6. Fattibilità finanziaria delle strategie
7. Gestione del capitale circolante: a) gestione del credito/debito di fornitura; b) modelli di gestione delle scorte; c) modelli di gestione della liquidità.

A) LIBRI
1. Berk J. – De Marzo P., Finanza aziendale 2, Pearson-Addison Wesley, 2008, capitolo 7
2. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, capp. 4-6-7-8
3. Horngren C.., Foster G., Datar S.M., Contabilità per la direzione, Isedi 1998, capitolo 21
4. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, capitoli 3 e 5
5. Pavarani E., Tagliavini G., Pianificazione finanziaria, McGraw-Hill 2006, capitoli 5 e 11
6. Venanzi D., Financial performance measures and value creation: the state of the art, Springer 2012 (http://www.springer.com/business+%26+management/finance/book/978-88-470-2450-2)

B) ARTICOLI/DISPENSE
7. Clinton B.D., Chen S., “Do new performance measures measure up?”, Management Accounting, october 1998 (copia cartacea disponibile in biblioteca)
8. Morresi O., I modelli di gestione della liquidità aziendale – dispensa, 2010 (download dal sito web del corso)
9. Sironi A., “I rating interni e i modelli per la gestione del rischio di credito”, in Banca d’Italia, Modelli per la gestione del rischio di credito – I ratings interni, Tematiche istituzionali, Banca d’Italia, 2000 (download dal sito web http://www.bancaditalia.it/pubblicazioni/temist/modelli)

C) MATERIALI APPLICATIVI E DI COMPLETAMENTO
Dati, casi, slides, materiali dei seminari, ecc., resi disponibili dal docente sul sito web del corso (accessibili per gli studenti del corso – frequentanti e no – tramite password; le password di accesso saranno comunicate durante le lezioni. Gli studenti non frequentanti possono richiederle al docente via email).

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

MATERIAL PROVIDED BY THE 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.

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.

The international monetary system
Money functions in international transactions. Monetary systems and exchange rates. Exchange rate regimes and monetary unions: from the Gold Standard to the EMU. Costs and benefits of a single currency. The theory of optimal currency areas. Fragility of incomplete monetary unions. Inflation, monetary stability and capital movements.
The institutions of the EMU
The Maastricht Treaty. The European Central Bank. The principle of independence and the governance of the ECB. The European System of Central Banks. The Stability and Growth Pact. Operating procedures of the Eurosystem. Banking supervision and financial stability in the Eurozone.

European monetary policy
Central banks and asymmetric shocks. The ECB's strategy. Intervention instruments: minimum reserve, main and long-term refinancing, fine-tuning, structural operations and open market operations. Transmission mechanisms: interest rates, exchange rates, asset prices and credit conditions. Credit risk and credit crunch regulation: from Basel 1 to Basel 3. Benefits and constraints of a common monetary policy. Monetary policies compared: United States, United Kingdom and European Union.

Tax policies in monetary unions
Tax policies and theory of optimal currency areas. The sustainability of public deficits. Need for fiscal discipline in monetary unions. Effectiveness of the Stability and Growth Pact. National defaults and systems of guarantees in monetary unions. The European Financial Stability Fund. The Fiscal Compact.

The euro, the financial markets and the crisis
Single currency and financial markets. The stability of the financial markets. Currency and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009: from the speculative bubble of the American real estate sector to the economic crisis. The rescue of banks and the sovereign debt crisis. Risks of national default and euro crisis.

DE GRAUWE P., ECONOMIA DELL’UNIONE MONETARIA, IL MULINO, 2010.