Mathematics for Risk Management (2007/2008)

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Course code
4S00248
Name of lecturer
Alessandro Sbuelz
Number of ECTS credits allocated
4
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Location
VERONA
Period
3° Q dal Apr 7, 2008 al Jun 13, 2008.
Course news Seminars related to the course

Lesson timetable

Learning outcomes

This course makes a systematic study of the quantitative techniques that assist the risk management of a given portfolio of financial assets/liabilities. Subtle issues of major practical relevance will be carefully discussed (for instance, the use of different probability measures to value assets/liabilities and to understand the law of motion of such values).

Syllabus

The topics covered include:

• Greek Letters for Risk Management
• Value at Risk
• Estimating Volatilities and Correlations for Risk Management
• Credit Risk

Theory (lectures) will be constantly exemplified by means of exercises (classroom applications).


Texts:

- Lecture notes.
- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition (ISBN: 0-13-149908-4).

Assessment methods and criteria

The final grade will be formed on the basis of performance in the terminal written exam.

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