Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

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.

The first part of the course is intended to illustrate the general system of bankruptcy proceedings in the Italian law.
The second part of the course is dedicated to procedures other than bankruptcy, such as arrangement with creditors, debt restructuring agreements, compulsory administrative liquidation, extraordinary administration of large firms in state of insolvency.

Sandulli D'Attorre Manuale delle procedure concorsuali Giappichelli 2016
M.SANDULLI, G.D'ATTORRE, La nuova mini-riforma della legge fallimentare, Giappichelli, Torino, 2016

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

Planning and managerial control (English version):

- The information system for the managerial decision-making process
- Development of planning and budgeting functions
- The decision-making process
- Strategic planning: definition of strategy, levels of strategy (corporate strategy, business area/unit strategy, business strategy), phases of the strategic process, portfolio analysis, portfolio matrix, critical success factors
- Models of organizational growth and development. Planning topics: external growth and globalization, flexibility, just in time model, outsourcing, total quality management, cost leadership, business process reengineering, benchmarking
- From strategic planning to budgeting. The budget and its elements.
- A systemic approach to control: goals and principles. Operating control, managerial control and strategic control. Effectiveness and efficiency: definitions and indicators.
- Control requirements: methods, accounting systems (financial accounting, cost accounting, standard cost, budget, variance analysis) and organizational structure (responsibility centers). Costing systems: Direct costing - full costing Activity Based Costing.
- Reporting. Performance Evaluation Models (Balanced Scorecard, Performance Prism, Common Assessment Framework)
- Case Study

Garrison, Norreen, Brewer, Managerial Accounting, 16th Edition, McGraw-Hill International Edition (all chapters)

Slides and articles on Moodle

Main topics:
1. Objectives, contents, uses and users of financial analysis

2. Main data-bases in economic and financial area (both national and international): objectives, scope, information structure (i.e. datasets Mediobanca-R&S and BACH-ESD)

3. Performance and risk of non financial companies:
a) financial ratios: definition and classification, economic meaning and diagnostic power, breakdown criteria and mutual relationships, benchmark for cross-sectional analysis, application problems.
b) comparison among firms and industries on available datasets.

4. Financial needs and their determinants. Financial dynamics and cash-flows statements

5. Financial viability, credit risk and cost of debt
a) definitions and measures of financial solvency
b) bonds: typologies, interest rates and pricing, duration and CDS
c) corporate bonds, credit spread and probability of default
d) credit risk and scoring models
e) rating: providers and determinants.

6. Risk and return of equity portfolios and mutual funds
a) performance metrics (TWR vs MWR) and risk measures
b) risk adjusted measures of performance
c) performance attribution
d) the mutual funds industry in Italy: features (basic) and prospectus examples.

BOOKS
1. Berk J. – De Marzo P., Finanza aziendale 1 - Fondamenti, IV Edition, Pearson, 2018, ch. 6
2. Berk J. – De Marzo P. – Morresi O., Venanzi D., Finanza aziendale 2 – Teoria e pratica della finanza moderna, IV Edition, Pearson, 2018, §§ 5.4, 12.5, 12.6, 12.7
3. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, chs. 4-6-7-8
4. Coda V., Brunetti G., Barbato Bergamin M., Indici di bilancio e flussi finanziari, Etas Libri 1974, cap. 3 (download from the course website)
5. Feibel B. J., Investment performance measurement, Frank J. Fabozzi Series, Wiley 2003, chs. 3-4-5-7-9-10-11-12-13-14
6. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, chs. 3 e 5 (Appendix included)

ARTICLES
8. Treynor J.L., Mazuy K.K., 1966, “Can mutual funds outgess the Market?”, Harvard Business Review, 44 (4), pp. 131-136 (download from digital Roma Tre Library)

Other reference materials
Data, cases, slides, seminar materials, notes, etc., down-loadable from the course website (requested passwords are provided by the teacher).
All materials are available on Roma Tre University SBA.

The tax report and its subjects
The statement and the accounting obligations
The contradictory
The questionnaires
The power of self-protection
The investigation
The notice of assessment
Abuse of tax law and tax avoidance
Tax collection and tax credits
Administrative and criminal penalties
The tax process
Real estate taxation
IRPEF and taxation of real estate owned in Italy and abroad
The flat rate on rent
IMU, TASI and TARI
Transnational taxation
Tax residence
The location of incomes
The conventions against double taxation
Credit for taxes paid abroad
The stable organization
Intercompany transfer prices (transfer price)
Foreign subsidiaries and associated companies (CFC rule)
Community taxation
European integration
The fundamental freedoms; the prohibition of restrictions and discrimination
Exceptions to fundamental freedoms
Free competition and state aid
The harmonization of indirect taxes
The approximation of direct taxes
The taxation of the main extraordinary transactions
The transfer and conferment of a company
The sale and transfer of investments
The merger and the division
The transformation
The liquidation

AA.VV., Fondamenti di diritto tributario, Wolters Kluwer, 2020 studiare da pag. 37 a 67; da pag. 217 a 235; da pag. 249 a 264; da pag. 337 a 568 (in particolare capitoli 3, 4 paragrafi 7 e 11, capitolo 6, 7, 8, capitolo 9, 10).

A) Investment decisions
1. decision theory under uncertainty and risk premium measures
2. financial options: theory, pricing models, risk-return
3. contingency theory analysis applied to corporate finance: a) corporate capital in terms of options, betas and debt agency costs; b) risk-credit models à la Merton; c) credit derivatives and credit default swap (CDS)
4. real options: types (growth, scope-down, downsizing, defer-learn, etc.), valuation techniques and examples in evaluation of investment projects and firms
5. mergers and acquisitions: theory, determinants, international empirical evidence, performance

B) Financing decisions
1. key determinants of the capital structure choice
2. international empirical evidence: research strands and main empirical findings
3. international comparisons on real corporate financial structure, worldwide
4. IPOs and main features
5. dividend policy: theories and financing relationships

C) How to measure the cost of capital
1. CAPM
2. impact of indebtedness
3. extension of CAPM in imperfect markets and how to empirically test CAPM
3. beyond CAPM: multi-factor models

D) Ownership models and corporate governance systems
1. types of ownership and CG system
2. cross-country and trend comparative analysis about CG systems in USA, Europe and World and respective empirical evidence
3. the finance of small business.

1. Berk J., De Marzo P., 2018, Finanza aziendale 1, IV edizione, Pearson, capp.17 (incluse le Appendici), 18 e §§ 13.1, 13.6, 13.7 (pp.496-497)
2. Berk J., De Marzo P., Morresi O., Venanzi D., 2018, Finanza aziendale 2 –Teoria e pratica della finanza moderna, Pearson, capp. 1-2 (solo §§ 2.1, 2.3, 2.5, 2.6, 2.7)-3-4-6-7-10-13-14 e § 12.8.

In addition, slides, notes, exercises, cases, data and other teaching materials provided from the teacher on the course website (the requested passwords are provided). The program includes the exercises/problems and other materials at the end of textbook chapters or downloadable from both course and textbook websites.

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

Planning and managerial control (English version):

- The information system for the managerial decision-making process
- Development of planning and budgeting functions
- The decision-making process
- Strategic planning: definition of strategy, levels of strategy (corporate strategy, business area/unit strategy, business strategy), phases of the strategic process, portfolio analysis, portfolio matrix, critical success factors
- Models of organizational growth and development. Planning topics: external growth and globalization, flexibility, just in time model, outsourcing, total quality management, cost leadership, business process reengineering, benchmarking
- From strategic planning to budgeting. The budget and its elements.
- A systemic approach to control: goals and principles. Operating control, managerial control and strategic control. Effectiveness and efficiency: definitions and indicators.
- Control requirements: methods, accounting systems (financial accounting, cost accounting, standard cost, budget, variance analysis) and organizational structure (responsibility centers). Costing systems: Direct costing - full costing Activity Based Costing.
- Reporting. Performance Evaluation Models (Balanced Scorecard, Performance Prism, Common Assessment Framework)
- Case Study

Garrison, Norreen, Brewer, Managerial Accounting, 16th Edition, McGraw-Hill International Edition (all chapters)

Slides and articles on Moodle

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

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.

The first part of the course is intended to illustrate the general system of bankruptcy proceedings in the Italian law.
The second part of the course is dedicated to procedures other than bankruptcy, such as arrangement with creditors, debt restructuring agreements, compulsory administrative liquidation, extraordinary administration of large firms in state of insolvency.

Sandulli D'Attorre Manuale delle procedure concorsuali Giappichelli 2016
M.SANDULLI, G.D'ATTORRE, La nuova mini-riforma della legge fallimentare, Giappichelli, Torino, 2016

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

Main topics:
1. Objectives, contents, uses and users of financial analysis

2. Main data-bases in economic and financial area (both national and international): objectives, scope, information structure (i.e. datasets Mediobanca-R&S and BACH-ESD)

3. Performance and risk of non financial companies:
a) financial ratios: definition and classification, economic meaning and diagnostic power, breakdown criteria and mutual relationships, benchmark for cross-sectional analysis, application problems.
b) comparison among firms and industries on available datasets.

4. Financial needs and their determinants. Financial dynamics and cash-flows statements

5. Financial viability, credit risk and cost of debt
a) definitions and measures of financial solvency
b) bonds: typologies, interest rates and pricing, duration and CDS
c) corporate bonds, credit spread and probability of default
d) credit risk and scoring models
e) rating: providers and determinants.

6. Risk and return of equity portfolios and mutual funds
a) performance metrics (TWR vs MWR) and risk measures
b) risk adjusted measures of performance
c) performance attribution
d) the mutual funds industry in Italy: features (basic) and prospectus examples.

BOOKS
1. Berk J. – De Marzo P., Finanza aziendale 1 - Fondamenti, IV Edition, Pearson, 2018, ch. 6
2. Berk J. – De Marzo P. – Morresi O., Venanzi D., Finanza aziendale 2 – Teoria e pratica della finanza moderna, IV Edition, Pearson, 2018, §§ 5.4, 12.5, 12.6, 12.7
3. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, chs. 4-6-7-8
4. Coda V., Brunetti G., Barbato Bergamin M., Indici di bilancio e flussi finanziari, Etas Libri 1974, cap. 3 (download from the course website)
5. Feibel B. J., Investment performance measurement, Frank J. Fabozzi Series, Wiley 2003, chs. 3-4-5-7-9-10-11-12-13-14
6. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, chs. 3 e 5 (Appendix included)

ARTICLES
8. Treynor J.L., Mazuy K.K., 1966, “Can mutual funds outgess the Market?”, Harvard Business Review, 44 (4), pp. 131-136 (download from digital Roma Tre Library)

Other reference materials
Data, cases, slides, seminar materials, notes, etc., down-loadable from the course website (requested passwords are provided by the teacher).
All materials are available on Roma Tre University SBA.

The tax report and its subjects
The statement and the accounting obligations
The contradictory
The questionnaires
The power of self-protection
The investigation
The notice of assessment
Abuse of tax law and tax avoidance
Tax collection and tax credits
Administrative and criminal penalties
The tax process
Real estate taxation
IRPEF and taxation of real estate owned in Italy and abroad
The flat rate on rent
IMU, TASI and TARI
Transnational taxation
Tax residence
The location of incomes
The conventions against double taxation
Credit for taxes paid abroad
The stable organization
Intercompany transfer prices (transfer price)
Foreign subsidiaries and associated companies (CFC rule)
Community taxation
European integration
The fundamental freedoms; the prohibition of restrictions and discrimination
Exceptions to fundamental freedoms
Free competition and state aid
The harmonization of indirect taxes
The approximation of direct taxes
The taxation of the main extraordinary transactions
The transfer and conferment of a company
The sale and transfer of investments
The merger and the division
The transformation
The liquidation

AA.VV., Fondamenti di diritto tributario, Wolters Kluwer, 2020 studiare da pag. 37 a 67; da pag. 217 a 235; da pag. 249 a 264; da pag. 337 a 568 (in particolare capitoli 3, 4 paragrafi 7 e 11, capitolo 6, 7, 8, capitolo 9, 10).

A) Investment decisions
1. decision theory under uncertainty and risk premium measures
2. financial options: theory, pricing models, risk-return
3. contingency theory analysis applied to corporate finance: a) corporate capital in terms of options, betas and debt agency costs; b) risk-credit models à la Merton; c) credit derivatives and credit default swap (CDS)
4. real options: types (growth, scope-down, downsizing, defer-learn, etc.), valuation techniques and examples in evaluation of investment projects and firms
5. mergers and acquisitions: theory, determinants, international empirical evidence, performance

B) Financing decisions
1. key determinants of the capital structure choice
2. international empirical evidence: research strands and main empirical findings
3. international comparisons on real corporate financial structure, worldwide
4. IPOs and main features
5. dividend policy: theories and financing relationships

C) How to measure the cost of capital
1. CAPM
2. impact of indebtedness
3. extension of CAPM in imperfect markets and how to empirically test CAPM
3. beyond CAPM: multi-factor models

D) Ownership models and corporate governance systems
1. types of ownership and CG system
2. cross-country and trend comparative analysis about CG systems in USA, Europe and World and respective empirical evidence
3. the finance of small business.

1. Berk J., De Marzo P., 2018, Finanza aziendale 1, IV edizione, Pearson, capp.17 (incluse le Appendici), 18 e §§ 13.1, 13.6, 13.7 (pp.496-497)
2. Berk J., De Marzo P., Morresi O., Venanzi D., 2018, Finanza aziendale 2 –Teoria e pratica della finanza moderna, Pearson, capp. 1-2 (solo §§ 2.1, 2.3, 2.5, 2.6, 2.7)-3-4-6-7-10-13-14 e § 12.8.

In addition, slides, notes, exercises, cases, data and other teaching materials provided from the teacher on the course website (the requested passwords are provided). The program includes the exercises/problems and other materials at the end of textbook chapters or downloadable from both course and textbook websites.

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

Planning and managerial control (English version):

- The information system for the managerial decision-making process
- Development of planning and budgeting functions
- The decision-making process
- Strategic planning: definition of strategy, levels of strategy (corporate strategy, business area/unit strategy, business strategy), phases of the strategic process, portfolio analysis, portfolio matrix, critical success factors
- Models of organizational growth and development. Planning topics: external growth and globalization, flexibility, just in time model, outsourcing, total quality management, cost leadership, business process reengineering, benchmarking
- From strategic planning to budgeting. The budget and its elements.
- A systemic approach to control: goals and principles. Operating control, managerial control and strategic control. Effectiveness and efficiency: definitions and indicators.
- Control requirements: methods, accounting systems (financial accounting, cost accounting, standard cost, budget, variance analysis) and organizational structure (responsibility centers). Costing systems: Direct costing - full costing Activity Based Costing.
- Reporting. Performance Evaluation Models (Balanced Scorecard, Performance Prism, Common Assessment Framework)
- Case Study

Garrison, Norreen, Brewer, Managerial Accounting, 16th Edition, McGraw-Hill International Edition (all chapters)

Slides and articles on Moodle

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

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.

The first part of the course is intended to illustrate the general system of bankruptcy proceedings in the Italian law.
The second part of the course is dedicated to procedures other than bankruptcy, such as arrangement with creditors, debt restructuring agreements, compulsory administrative liquidation, extraordinary administration of large firms in state of insolvency.

Sandulli D'Attorre Manuale delle procedure concorsuali Giappichelli 2016
M.SANDULLI, G.D'ATTORRE, La nuova mini-riforma della legge fallimentare, Giappichelli, Torino, 2016

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Main topics:
1. Objectives, contents, uses and users of financial analysis

2. Main data-bases in economic and financial area (both national and international): objectives, scope, information structure (i.e. datasets Mediobanca-R&S and BACH-ESD)

3. Performance and risk of non financial companies:
a) financial ratios: definition and classification, economic meaning and diagnostic power, breakdown criteria and mutual relationships, benchmark for cross-sectional analysis, application problems.
b) comparison among firms and industries on available datasets.

4. Financial needs and their determinants. Financial dynamics and cash-flows statements

5. Financial viability, credit risk and cost of debt
a) definitions and measures of financial solvency
b) bonds: typologies, interest rates and pricing, duration and CDS
c) corporate bonds, credit spread and probability of default
d) credit risk and scoring models
e) rating: providers and determinants.

6. Risk and return of equity portfolios and mutual funds
a) performance metrics (TWR vs MWR) and risk measures
b) risk adjusted measures of performance
c) performance attribution
d) the mutual funds industry in Italy: features (basic) and prospectus examples.

BOOKS
1. Berk J. – De Marzo P., Finanza aziendale 1 - Fondamenti, IV Edition, Pearson, 2018, ch. 6
2. Berk J. – De Marzo P. – Morresi O., Venanzi D., Finanza aziendale 2 – Teoria e pratica della finanza moderna, IV Edition, Pearson, 2018, §§ 5.4, 12.5, 12.6, 12.7
3. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, chs. 4-6-7-8
4. Coda V., Brunetti G., Barbato Bergamin M., Indici di bilancio e flussi finanziari, Etas Libri 1974, cap. 3 (download from the course website)
5. Feibel B. J., Investment performance measurement, Frank J. Fabozzi Series, Wiley 2003, chs. 3-4-5-7-9-10-11-12-13-14
6. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, chs. 3 e 5 (Appendix included)

ARTICLES
8. Treynor J.L., Mazuy K.K., 1966, “Can mutual funds outgess the Market?”, Harvard Business Review, 44 (4), pp. 131-136 (download from digital Roma Tre Library)

Other reference materials
Data, cases, slides, seminar materials, notes, etc., down-loadable from the course website (requested passwords are provided by the teacher).
All materials are available on Roma Tre University SBA.

The tax report and its subjects
The statement and the accounting obligations
The contradictory
The questionnaires
The power of self-protection
The investigation
The notice of assessment
Abuse of tax law and tax avoidance
Tax collection and tax credits
Administrative and criminal penalties
The tax process
Real estate taxation
IRPEF and taxation of real estate owned in Italy and abroad
The flat rate on rent
IMU, TASI and TARI
Transnational taxation
Tax residence
The location of incomes
The conventions against double taxation
Credit for taxes paid abroad
The stable organization
Intercompany transfer prices (transfer price)
Foreign subsidiaries and associated companies (CFC rule)
Community taxation
European integration
The fundamental freedoms; the prohibition of restrictions and discrimination
Exceptions to fundamental freedoms
Free competition and state aid
The harmonization of indirect taxes
The approximation of direct taxes
The taxation of the main extraordinary transactions
The transfer and conferment of a company
The sale and transfer of investments
The merger and the division
The transformation
The liquidation

AA.VV., Fondamenti di diritto tributario, Wolters Kluwer, 2020 studiare da pag. 37 a 67; da pag. 217 a 235; da pag. 249 a 264; da pag. 337 a 568 (in particolare capitoli 3, 4 paragrafi 7 e 11, capitolo 6, 7, 8, capitolo 9, 10).

Main topics:
1. Objectives, contents, uses and users of financial analysis

2. Main data-bases in economic and financial area (both national and international): objectives, scope, information structure (i.e. datasets Mediobanca-R&S and BACH-ESD)

3. Performance and risk of non financial companies:
a) financial ratios: definition and classification, economic meaning and diagnostic power, breakdown criteria and mutual relationships, benchmark for cross-sectional analysis, application problems.
b) comparison among firms and industries on available datasets.

4. Financial needs and their determinants. Financial dynamics and cash-flows statements

5. Financial viability, credit risk and cost of debt
a) definitions and measures of financial solvency
b) bonds: typologies, interest rates and pricing, duration and CDS
c) corporate bonds, credit spread and probability of default
d) credit risk and scoring models
e) rating: providers and determinants.

6. Risk and return of equity portfolios and mutual funds
a) performance metrics (TWR vs MWR) and risk measures
b) risk adjusted measures of performance
c) performance attribution
d) the mutual funds industry in Italy: features (basic) and prospectus examples.

BOOKS
1. Berk J. – De Marzo P., Finanza aziendale 1 - Fondamenti, IV Edition, Pearson, 2018, ch. 6
2. Berk J. – De Marzo P. – Morresi O., Venanzi D., Finanza aziendale 2 – Teoria e pratica della finanza moderna, IV Edition, Pearson, 2018, §§ 5.4, 12.5, 12.6, 12.7
3. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, chs. 4-6-7-8
4. Coda V., Brunetti G., Barbato Bergamin M., Indici di bilancio e flussi finanziari, Etas Libri 1974, cap. 3 (download from the course website)
5. Feibel B. J., Investment performance measurement, Frank J. Fabozzi Series, Wiley 2003, chs. 3-4-5-7-9-10-11-12-13-14
6. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, chs. 3 e 5 (Appendix included)

ARTICLES
8. Treynor J.L., Mazuy K.K., 1966, “Can mutual funds outgess the Market?”, Harvard Business Review, 44 (4), pp. 131-136 (download from digital Roma Tre Library)

Other reference materials
Data, cases, slides, seminar materials, notes, etc., down-loadable from the course website (requested passwords are provided by the teacher).
All materials are available on Roma Tre University SBA.

The tax report and its subjects
The statement and the accounting obligations
The contradictory
The questionnaires
The power of self-protection
The investigation
The notice of assessment
Abuse of tax law and tax avoidance
Tax collection and tax credits
Administrative and criminal penalties
The tax process
Real estate taxation
IRPEF and taxation of real estate owned in Italy and abroad
The flat rate on rent
IMU, TASI and TARI
Transnational taxation
Tax residence
The location of incomes
The conventions against double taxation
Credit for taxes paid abroad
The stable organization
Intercompany transfer prices (transfer price)
Foreign subsidiaries and associated companies (CFC rule)
Community taxation
European integration
The fundamental freedoms; the prohibition of restrictions and discrimination
Exceptions to fundamental freedoms
Free competition and state aid
The harmonization of indirect taxes
The approximation of direct taxes
The taxation of the main extraordinary transactions
The transfer and conferment of a company
The sale and transfer of investments
The merger and the division
The transformation
The liquidation

AA.VV., Fondamenti di diritto tributario, Wolters Kluwer, 2020 studiare da pag. 37 a 67; da pag. 217 a 235; da pag. 249 a 264; da pag. 337 a 568 (in particolare capitoli 3, 4 paragrafi 7 e 11, capitolo 6, 7, 8, capitolo 9, 10).

A) Investment decisions
1. decision theory under uncertainty and risk premium measures
2. financial options: theory, pricing models, risk-return
3. contingency theory analysis applied to corporate finance: a) corporate capital in terms of options, betas and debt agency costs; b) risk-credit models à la Merton; c) credit derivatives and credit default swap (CDS)
4. real options: types (growth, scope-down, downsizing, defer-learn, etc.), valuation techniques and examples in evaluation of investment projects and firms
5. mergers and acquisitions: theory, determinants, international empirical evidence, performance

B) Financing decisions
1. key determinants of the capital structure choice
2. international empirical evidence: research strands and main empirical findings
3. international comparisons on real corporate financial structure, worldwide
4. IPOs and main features
5. dividend policy: theories and financing relationships

C) How to measure the cost of capital
1. CAPM
2. impact of indebtedness
3. extension of CAPM in imperfect markets and how to empirically test CAPM
3. beyond CAPM: multi-factor models

D) Ownership models and corporate governance systems
1. types of ownership and CG system
2. cross-country and trend comparative analysis about CG systems in USA, Europe and World and respective empirical evidence
3. the finance of small business.

1. Berk J., De Marzo P., 2018, Finanza aziendale 1, IV edizione, Pearson, capp.17 (incluse le Appendici), 18 e §§ 13.1, 13.6, 13.7 (pp.496-497)
2. Berk J., De Marzo P., Morresi O., Venanzi D., 2018, Finanza aziendale 2 –Teoria e pratica della finanza moderna, Pearson, capp. 1-2 (solo §§ 2.1, 2.3, 2.5, 2.6, 2.7)-3-4-6-7-10-13-14 e § 12.8.

In addition, slides, notes, exercises, cases, data and other teaching materials provided from the teacher on the course website (the requested passwords are provided). The program includes the exercises/problems and other materials at the end of textbook chapters or downloadable from both course and textbook websites.

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

Planning and managerial control (English version):

- The information system for the managerial decision-making process
- Development of planning and budgeting functions
- The decision-making process
- Strategic planning: definition of strategy, levels of strategy (corporate strategy, business area/unit strategy, business strategy), phases of the strategic process, portfolio analysis, portfolio matrix, critical success factors
- Models of organizational growth and development. Planning topics: external growth and globalization, flexibility, just in time model, outsourcing, total quality management, cost leadership, business process reengineering, benchmarking
- From strategic planning to budgeting. The budget and its elements.
- A systemic approach to control: goals and principles. Operating control, managerial control and strategic control. Effectiveness and efficiency: definitions and indicators.
- Control requirements: methods, accounting systems (financial accounting, cost accounting, standard cost, budget, variance analysis) and organizational structure (responsibility centers). Costing systems: Direct costing - full costing Activity Based Costing.
- Reporting. Performance Evaluation Models (Balanced Scorecard, Performance Prism, Common Assessment Framework)
- Case Study

Garrison, Norreen, Brewer, Managerial Accounting, 16th Edition, McGraw-Hill International Edition (all chapters)

Slides and articles on Moodle

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

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.

The first part of the course is intended to illustrate the general system of bankruptcy proceedings in the Italian law.
The second part of the course is dedicated to procedures other than bankruptcy, such as arrangement with creditors, debt restructuring agreements, compulsory administrative liquidation, extraordinary administration of large firms in state of insolvency.

Sandulli D'Attorre Manuale delle procedure concorsuali Giappichelli 2016
M.SANDULLI, G.D'ATTORRE, La nuova mini-riforma della legge fallimentare, Giappichelli, Torino, 2016

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

1- Introduction to the public sector entities
2- Public sector accounting systems and the peculiarities of the public sector
3- Methods, theories and issues in public sector accounting research
4- Public entities organisation and governance
5- Efficiency and effectiveness
6- The reform of public sector management
7- Strategy and performance
8- Strategic outsourcing
9- Public sector auditing

Course books:

Sections: 1, 4, 5 and 9- Paoloni, M., & Grandis F.G. (2007). La dimensione aziendale delle amministrazioni pubbliche. Giappichelli (Chapters: 2, 4, 10, 11)
Sections: 6, 7 e 8 - Cepiku, D. (2018). Strategia e performance nelle amministrazioni pubbliche. Egea (Chapters: 2,4, 6)


D.lgs. 150/2009 s.m.i.

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Main topics:
1. Objectives, contents, uses and users of financial analysis

2. Main data-bases in economic and financial area (both national and international): objectives, scope, information structure (i.e. datasets Mediobanca-R&S and BACH-ESD)

3. Performance and risk of non financial companies:
a) financial ratios: definition and classification, economic meaning and diagnostic power, breakdown criteria and mutual relationships, benchmark for cross-sectional analysis, application problems.
b) comparison among firms and industries on available datasets.

4. Financial needs and their determinants. Financial dynamics and cash-flows statements

5. Financial viability, credit risk and cost of debt
a) definitions and measures of financial solvency
b) bonds: typologies, interest rates and pricing, duration and CDS
c) corporate bonds, credit spread and probability of default
d) credit risk and scoring models
e) rating: providers and determinants.

6. Risk and return of equity portfolios and mutual funds
a) performance metrics (TWR vs MWR) and risk measures
b) risk adjusted measures of performance
c) performance attribution
d) the mutual funds industry in Italy: features (basic) and prospectus examples.

BOOKS
1. Berk J. – De Marzo P., Finanza aziendale 1 - Fondamenti, IV Edition, Pearson, 2018, ch. 6
2. Berk J. – De Marzo P. – Morresi O., Venanzi D., Finanza aziendale 2 – Teoria e pratica della finanza moderna, IV Edition, Pearson, 2018, §§ 5.4, 12.5, 12.6, 12.7
3. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, chs. 4-6-7-8
4. Coda V., Brunetti G., Barbato Bergamin M., Indici di bilancio e flussi finanziari, Etas Libri 1974, cap. 3 (download from the course website)
5. Feibel B. J., Investment performance measurement, Frank J. Fabozzi Series, Wiley 2003, chs. 3-4-5-7-9-10-11-12-13-14
6. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, chs. 3 e 5 (Appendix included)

ARTICLES
8. Treynor J.L., Mazuy K.K., 1966, “Can mutual funds outgess the Market?”, Harvard Business Review, 44 (4), pp. 131-136 (download from digital Roma Tre Library)

Other reference materials
Data, cases, slides, seminar materials, notes, etc., down-loadable from the course website (requested passwords are provided by the teacher).
All materials are available on Roma Tre University SBA.

The tax report and its subjects
The statement and the accounting obligations
The contradictory
The questionnaires
The power of self-protection
The investigation
The notice of assessment
Abuse of tax law and tax avoidance
Tax collection and tax credits
Administrative and criminal penalties
The tax process
Real estate taxation
IRPEF and taxation of real estate owned in Italy and abroad
The flat rate on rent
IMU, TASI and TARI
Transnational taxation
Tax residence
The location of incomes
The conventions against double taxation
Credit for taxes paid abroad
The stable organization
Intercompany transfer prices (transfer price)
Foreign subsidiaries and associated companies (CFC rule)
Community taxation
European integration
The fundamental freedoms; the prohibition of restrictions and discrimination
Exceptions to fundamental freedoms
Free competition and state aid
The harmonization of indirect taxes
The approximation of direct taxes
The taxation of the main extraordinary transactions
The transfer and conferment of a company
The sale and transfer of investments
The merger and the division
The transformation
The liquidation

AA.VV., Fondamenti di diritto tributario, Wolters Kluwer, 2020 studiare da pag. 37 a 67; da pag. 217 a 235; da pag. 249 a 264; da pag. 337 a 568 (in particolare capitoli 3, 4 paragrafi 7 e 11, capitolo 6, 7, 8, capitolo 9, 10).

Main topics:
1. Objectives, contents, uses and users of financial analysis

2. Main data-bases in economic and financial area (both national and international): objectives, scope, information structure (i.e. datasets Mediobanca-R&S and BACH-ESD)

3. Performance and risk of non financial companies:
a) financial ratios: definition and classification, economic meaning and diagnostic power, breakdown criteria and mutual relationships, benchmark for cross-sectional analysis, application problems.
b) comparison among firms and industries on available datasets.

4. Financial needs and their determinants. Financial dynamics and cash-flows statements

5. Financial viability, credit risk and cost of debt
a) definitions and measures of financial solvency
b) bonds: typologies, interest rates and pricing, duration and CDS
c) corporate bonds, credit spread and probability of default
d) credit risk and scoring models
e) rating: providers and determinants.

6. Risk and return of equity portfolios and mutual funds
a) performance metrics (TWR vs MWR) and risk measures
b) risk adjusted measures of performance
c) performance attribution
d) the mutual funds industry in Italy: features (basic) and prospectus examples.

BOOKS
1. Berk J. – De Marzo P., Finanza aziendale 1 - Fondamenti, IV Edition, Pearson, 2018, ch. 6
2. Berk J. – De Marzo P. – Morresi O., Venanzi D., Finanza aziendale 2 – Teoria e pratica della finanza moderna, IV Edition, Pearson, 2018, §§ 5.4, 12.5, 12.6, 12.7
3. Brunetti G., Coda V., Favotto F., Analisi, previsioni, simulazioni economico-finanziarie d’impresa, Etas Libri 1990, chs. 4-6-7-8
4. Coda V., Brunetti G., Barbato Bergamin M., Indici di bilancio e flussi finanziari, Etas Libri 1974, cap. 3 (download from the course website)
5. Feibel B. J., Investment performance measurement, Frank J. Fabozzi Series, Wiley 2003, chs. 3-4-5-7-9-10-11-12-13-14
6. Pavarani E., L’equilibrio finanziario, McGraw-Hill 2006, chs. 3 e 5 (Appendix included)

ARTICLES
8. Treynor J.L., Mazuy K.K., 1966, “Can mutual funds outgess the Market?”, Harvard Business Review, 44 (4), pp. 131-136 (download from digital Roma Tre Library)

Other reference materials
Data, cases, slides, seminar materials, notes, etc., down-loadable from the course website (requested passwords are provided by the teacher).
All materials are available on Roma Tre University SBA.

The tax report and its subjects
The statement and the accounting obligations
The contradictory
The questionnaires
The power of self-protection
The investigation
The notice of assessment
Abuse of tax law and tax avoidance
Tax collection and tax credits
Administrative and criminal penalties
The tax process
Real estate taxation
IRPEF and taxation of real estate owned in Italy and abroad
The flat rate on rent
IMU, TASI and TARI
Transnational taxation
Tax residence
The location of incomes
The conventions against double taxation
Credit for taxes paid abroad
The stable organization
Intercompany transfer prices (transfer price)
Foreign subsidiaries and associated companies (CFC rule)
Community taxation
European integration
The fundamental freedoms; the prohibition of restrictions and discrimination
Exceptions to fundamental freedoms
Free competition and state aid
The harmonization of indirect taxes
The approximation of direct taxes
The taxation of the main extraordinary transactions
The transfer and conferment of a company
The sale and transfer of investments
The merger and the division
The transformation
The liquidation

AA.VV., Fondamenti di diritto tributario, Wolters Kluwer, 2020 studiare da pag. 37 a 67; da pag. 217 a 235; da pag. 249 a 264; da pag. 337 a 568 (in particolare capitoli 3, 4 paragrafi 7 e 11, capitolo 6, 7, 8, capitolo 9, 10).

A) Investment decisions
1. decision theory under uncertainty and risk premium measures
2. financial options: theory, pricing models, risk-return
3. contingency theory analysis applied to corporate finance: a) corporate capital in terms of options, betas and debt agency costs; b) risk-credit models à la Merton; c) credit derivatives and credit default swap (CDS)
4. real options: types (growth, scope-down, downsizing, defer-learn, etc.), valuation techniques and examples in evaluation of investment projects and firms
5. mergers and acquisitions: theory, determinants, international empirical evidence, performance

B) Financing decisions
1. key determinants of the capital structure choice
2. international empirical evidence: research strands and main empirical findings
3. international comparisons on real corporate financial structure, worldwide
4. IPOs and main features
5. dividend policy: theories and financing relationships

C) How to measure the cost of capital
1. CAPM
2. impact of indebtedness
3. extension of CAPM in imperfect markets and how to empirically test CAPM
3. beyond CAPM: multi-factor models

D) Ownership models and corporate governance systems
1. types of ownership and CG system
2. cross-country and trend comparative analysis about CG systems in USA, Europe and World and respective empirical evidence
3. the finance of small business.

1. Berk J., De Marzo P., 2018, Finanza aziendale 1, IV edizione, Pearson, capp.17 (incluse le Appendici), 18 e §§ 13.1, 13.6, 13.7 (pp.496-497)
2. Berk J., De Marzo P., Morresi O., Venanzi D., 2018, Finanza aziendale 2 –Teoria e pratica della finanza moderna, Pearson, capp. 1-2 (solo §§ 2.1, 2.3, 2.5, 2.6, 2.7)-3-4-6-7-10-13-14 e § 12.8.

In addition, slides, notes, exercises, cases, data and other teaching materials provided from the teacher on the course website (the requested passwords are provided). The program includes the exercises/problems and other materials at the end of textbook chapters or downloadable from both course and textbook websites.

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

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

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017

Planning and managerial control (English version):

- The information system for the managerial decision-making process
- Development of planning and budgeting functions
- The decision-making process
- Strategic planning: definition of strategy, levels of strategy (corporate strategy, business area/unit strategy, business strategy), phases of the strategic process, portfolio analysis, portfolio matrix, critical success factors
- Models of organizational growth and development. Planning topics: external growth and globalization, flexibility, just in time model, outsourcing, total quality management, cost leadership, business process reengineering, benchmarking
- From strategic planning to budgeting. The budget and its elements.
- A systemic approach to control: goals and principles. Operating control, managerial control and strategic control. Effectiveness and efficiency: definitions and indicators.
- Control requirements: methods, accounting systems (financial accounting, cost accounting, standard cost, budget, variance analysis) and organizational structure (responsibility centers). Costing systems: Direct costing - full costing Activity Based Costing.
- Reporting. Performance Evaluation Models (Balanced Scorecard, Performance Prism, Common Assessment Framework)
- Case Study

Garrison, Norreen, Brewer, Managerial Accounting, 16th Edition, McGraw-Hill International Edition (all chapters)

Slides and articles on Moodle

The course consists of lectures, discussion of business cases and exercises and includes external testimonies too. Attendance to the course and active participation are strongly recommended. The program is divided into the following topics:

1) Principles of Innovation Management e Digital Entrepreneurship:The role of this module is to introduce the students to the digital entrepreneurial world where businesses exploit modern technologies in order to gain a strategic advantage over their competitors when entering the market. By distinguishing among the different types of business this module delineates the series of steps that an entrepreneur should understand and follow to successfully establish a digital-driven business and outlines the risks and challenges to be aware of along the entrepreneurial journey with a focus on digital-based products and services and with an international outlook. The module also features digital start-up success stories that leveraged the dynamics of digital technologies and achieved great growth rates as well as high revenues.

2) Market-driven management:The module proposes a comprehensive analysis of customer-centric product and Market-driven management in the context of strategic and operational marketing processes, exploring issues related to changes in the market environment: innovations enabled by digital technologies, the urgency of environmental issues, new pandemic challenges, ethical issues and changes in consumer values and behaviour, while maintaining an international focus and perspective.

3) Product development: this module explores challenges and implications that corporate management will face in attempting to adapt to new product development approaches in accordance with the lean thinking perspective. The module introduces the concept of product from the marketing perspective, how companies come about new product, product development options, and the various strategies available to a company to manage new and existing products

4) Business Model:this module introduces the role of Business Model in product development, how business models enable companies to translate product’s value into revenue, understanding customers segments, pricing and distribution.

5) Ideation: this module introduces the ideation techniques used to generate new ideas in an opportunity space, considering political, economical, social, technological, legal and environmental dynamics (PESTLE analysis). It is also aimed to illustrate the idea definition techniques required to make an idea Customer-Oriented, by defining clients, users, goal, problem, value proposition and user experience (Product Canvas).

6) Go-to-market:this module describes the go-to-market process, made by the definition of the touchpoints to be used, the building of the artifacts required (baits), the launch and the tracking of the results.

7)Prototyping:this module describes the process of construction of a prototype which is aimed to simulate the user experience of the final product.

- Best, R. Market-based management, Pearson (Ult. Ed.)
- Slides and supporting material provided by lecturers.

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

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)

The aim of the course is to contribute to the enrichment of knowledge on the subject of government of the different types of institutions (companies, governments, institutions that make up the “private social”), analyzing in particular the relationship between social responsibility and external information which takes account of sociality.
The perspective of analysis is the business administration one.
The learning objectives are:

• understand the relationship between social responsibility and formalized external information;
• grasp the importance of the social budget as a result of an accounting process that benefits for the purposes of government, including by means of effective communication with the reference environmental context;
• know how to use social budget models to interpret the concrete achievements;
• become aware of the critical issues that characterize the construction of the social report.

The course lasts 60 hours of lessons, distributed in 30 meetings, and in case of successful examination confers no. 9 Credits (C.F.U.).



INTRODUCTION

SOCIAL RESPONSABILITY

in the enterprise
in public administration
in no profit private organizations
Analysis of relations between the going concern profiles for a responsible judgment on government

THE SOCIAL REPORTING PROCESS

Phases
valences
The tools offered by the market
The “internal” instruments

THE SOCIAL BALANCE SHEET

The Social Balance Sheet:
In the profit enterprise,
in cooperatives,
in public administration,
in no profit organizations.

Social balance sheet models
The systematic social reports

Case studies
Public intervention in Italy in the field of social balance: the non-financial statement

BIBLIOGRAPHY
L. Hinna, Come gestire la responsabilità sociale dell’impresa, Il Sole 24 Ore, Milano, 2005.
F. Manni, Responsabilità sociale, Economicità, Bilancio sociale - Un percorso di analisi economico-aziendale, Aracne, Roma, 2020.

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.

The first part of the course is intended to illustrate the general system of bankruptcy proceedings in the Italian law.
The second part of the course is dedicated to procedures other than bankruptcy, such as arrangement with creditors, debt restructuring agreements, compulsory administrative liquidation, extraordinary administration of large firms in state of insolvency.

Sandulli D'Attorre Manuale delle procedure concorsuali Giappichelli 2016
M.SANDULLI, G.D'ATTORRE, La nuova mini-riforma della legge fallimentare, Giappichelli, Torino, 2016

Introduction to Linear Programming
Solving Linear Programming Problems: The Simplex Method
Duality Theory and Sensitivity Analysis
Other Algorithms for Linear Programming
The Transportation and Assignment Problems
Network Optimization Models
Project Management with PERT/CPM
Integer Programming
Nonlinear Programming
Inventory Theory

Hillier F.S., Lieberman G.j., “Introduction to operations research” 8th edition MC graw hill 2004. CHAPTER 1, CHAPTER 3, CHAPTER 4, CHAPTER 6, CHAPTER 7, CHAPTER 8, CHAPTER 9, CHAPTER 10, CHAPTER 12,CHAPTER 13,CHAPTER 19 (Only :19.1, 19.2, 19.3, 19.4)
Teacher notes on-line

Some hints of statistical inference and linear algebra
The multiple linear regression model. Interpretation and comparison of regression models. Least squares and maximum likelihood estimators. Heteroschedasticity and autocorrelation, multicollinearity, non-deterministic exogenous variables and instrumental variables method, incorrect model specification, stability of the regression function and use of dichotomous variables.
Panel data models: fixed effect models and random effect models. Within and between estimators. Heteroschedasticity and autocorrelation tests. Dynamic models for panel data: Arellano-Bond estimator.
Models with lagged variables: dynamic regression models, distributed lag models.
Introduction to time series analysis: stochastic processes, stationarity and autocovariance function, moving average and integrated autoregressive processes (AR, MA, ARMA, ARIMA), the Box and Jenkins procedure.

Students can refer to the following texts (the first three can be considered alternative to each other)
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 discussed in the course can also be found in
Introductory Econometrics for Finance, C. Brooks, Cambridge University Press

For background references to statistical inference and linear algebra students can refer:
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 applications with R, students can refer to 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

Planning and managerial control (English version):

- The information system for the managerial decision-making process
- Development of planning and budgeting functions
- The decision-making process
- Strategic planning: definition of strategy, levels of strategy (corporate strategy, business area/unit strategy, business strategy), phases of the strategic process, portfolio analysis, portfolio matrix, critical success factors
- Models of organizational growth and development. Planning topics: external growth and globalization, flexibility, just in time model, outsourcing, total quality management, cost leadership, business process reengineering, benchmarking
- From strategic planning to budgeting. The budget and its elements.
- A systemic approach to control: goals and principles. Operating control, managerial control and strategic control. Effectiveness and efficiency: definitions and indicators.
- Control requirements: methods, accounting systems (financial accounting, cost accounting, standard cost, budget, variance analysis) and organizational structure (responsibility centers). Costing systems: Direct costing - full costing Activity Based Costing.
- Reporting. Performance Evaluation Models (Balanced Scorecard, Performance Prism, Common Assessment Framework)
- Case Study

Garrison, Norreen, Brewer, Managerial Accounting, 16th Edition, McGraw-Hill International Edition (all chapters)

Slides and articles on Moodle

Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III

A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)

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 attending students the texts are:

• D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
• Articles and other materials put on Moodle

For non attending students the assesment is based on oral test, based on the book D. Previati, Strategie competitive nei Servizi Finanziari, McGraw Hill, 2022
and the following articles (you can find them on Moodle):

• Banca d’Italia, Indagine Fintech nel sistema finanziario italiano, novembre 2021
• Di Antonio M., I processi di valutazione strategica nelle banche, 2022
• Fratini Passi L., Open banking: sfide nel mercato globale e prospettive per l’innovazione finanziaria, 2022
• Lucchini S., Il futuro delle banche, 2022
• Masera R., Nuovi rischi e regolazione delle criptovalute, 2022


• Suggested reading, not compulsory: V. Boscia, C. Schena, V. Stefanelli (a cura di), Digital Banking e Fin Tech, Bancaria Editrice, 2020
https://www.bancariaeditrice.it/digital-banking-e-fintech

First part – Valuing a business
Definition of business value.
Business value and strategic value.
The relative approach to valuation (market prices and multiples).
The valuation techniques based on the firm's fundamentals.
The income methods:
- valuing the expected income (economic income or cash flow);
- valuing the discount rate;
- valuing the firm expected life and the terminal value.
Examples on the income methods.
The book value methods.
Valuation of intangible assets.
Firm value and equity value.
The application of “EVA model” to business valuation.
Second part: case studies
Valuing a bank.
The valuation of a distressed business.
Valuing a group of companies.
The valuation of human capital.
The valuation of brands.
Meetings with managers and business valuation experts