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Risk Management (SFI)

Descrizione

The course aims at providing the main tools for measuring and managing financial risks. We begin by defining the various types of financial risks and stress the need for their management through the analysis of losses and defaults of financial institutions in the recent past. We next turn to the computation of Value-at-Risk measures for portfolios of equity, bond, and option positions. We discuss the estimation of the main inputs surrounding the calculation of VaR, and elaborate on models for time-varying volatility and correlations. We cover both local-valuation models based on derivatives, as well as full-valuation models such as historical simulation and Monte Carlo methods. We also discuss alternative metrics to VaR and Extreme Value Theory. Finally, we examine models for liquidity and operational risk management.

Course Material
Lecture notes will be made available on the course website. This can be reached at http://www.icorsi.ch/. After the login, follow Courses>USI>Corsi Master Eco>Risk Management 2017. Additional readings and exercises will eventually be posted as well. You are responsible for all material and announcements there posted.
The textbook for the course is
John C. Hull, Risk Management and Financial Institutions (4th Edition), Wiley, ISBN: 978-1-118-95594-9 Other relevant references are
[1] A. De Servigny and O. Renault, Measuring and Managing Credit Risk, Mc Graw-Hill
[2] P. Jorion, Value at Risk, McGraw-Hill, 2006.
[3] J. Hull, Options Futures, and Other Derivatives, Prentice Hall, 2008.
[4] A. Resti and A. Sironi, Risk Management and Shareholders’ Value in Banking, John Wiley & Sons, 2007
[5] M. Crouhy, D. Galai, R. Mark, Risk Management, McGraw-Hill, New York, 2000.
[8] P. Christoffersen, Elements of Financial Risk Management (2nd Edition), Academic Press, 2011.

Persone

 

Plazzi A.

Docente titolare del corso

Yilmaz U.

Assistente

Informazioni aggiuntive

Semestre
Primaverile
Anno accademico
2017-2018
ECTS
6
Offerta formativa
Master of Science in Economics in Banking and Finance, Corso di base, Conoscenze di base, 1° anno

Master of Science in Economics in Finance, Corso di base, 1° anno

Master of Science in Financial Technology and Computing, Corso di base, Corso, 1° anno