Risk Management
Code
2225
Academic unit
null
Department
null
Credits
3,5
Teacher in charge
Daniele Bianchi
Teaching language
English
Objectives
This course is designed to provide students with a relatively sophisticated set of tools to measure and manage risks in financial markets, with a particular focus on market risk. The course is structured to help students to understand key features of asset returns and build tractable statistical models which allows to capture those features.
Prerequisites
N/A
Subject matter
The tentative course unit content is as follow (this might be subject to changes):
Week 1.
Lecture 1: What is risk and why should we care;
Lecture 2: Stylized facts of financial returns;
Week 2.
Lecture 3: Volatility Modeling;
Lecture 4: Correlation Modeling;
Week 3.
Lecture 5: Modeling the Conditional Distribution of Assets Returns
Lecture 6: Value-at-Risk (Part 1, Stocks)
Week 4.
Lecture 7: Value-at-Risk (Part 2, Bonds);
Lecture 8: Value-at-Risk (Part 3, Derivatives);
Week 5.
Lecture 9: Conditional Value-at-Risk;
Lecture 10: Simulation-Based Methods;
Week 6.
Lecture 11: Back-Testing and Stress Testing;
Lecture 12: Operational risk management.
Bibliography
Core books:
Elements of Financial Risk Management (2nd Edition), Peter F. Christoffersen (2011).Value-at-Risk: The New Benchmark for Managing Financial Risk (3rd edition), Philippe Jorion, (2007).
Further readings:
Quantitative Risk Management: Concepts, Techniques and Tools, Alexander J. McNeil, Paul Embrechts, and Rudiger Frey, (2005).Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk (2nd Edition), by Steve L. Allen, (2013).
Resources
Slides, notes, data and computer codes will be provided before the lectures.
Teaching method
Lecture-style instruction; the lectures are expected to be highly interactive and the active participation of the students is highly recommended. Slides, notes, data and computer codes will be provided by the lecturer.
Evaluation method
The Final Exam is mandatory and must cover the entire span of the course. Its weight in the final grade can be between 30 to 70%. The remainder of the evaluation can consist of class participation, midterm exams, in class tests, etc. Overall, written in class assessment (final exam, midterm) must have a weight of at least 50%.
Group work: weight 30% (it will be a small research project for a group of 5/6 students).
Final exam: weight 70% (part of the exam will be multiple-choice and part open questions).