ASSET PRICING AND RISK ANALYSIS - 162005-ENG

courses
ID:
162005-ENG
Dettaglio:
SSD: Mathematical Methods for Economy, Finance and Actuarial Sciences Duration: 48 CFU: 6
Located in:
BERGAMO
Url:
ECONOMICS AND FINANCE - 162-R-EN/Quantitative Finance and Insurance Year: 1
Year:
2026

Overview

Date/time interval

Secondo Semestre (15/02/2027 - 28/05/2027)

Syllabus

Course Objectives

The course introduces arbitrage-free valuation of derivatives in discrete and continuos time frameworks. Then it presents the main quantitative models for market, credit, and operational risk in the banking and insurance sectors. The models are discussed in relation to the Basel regulatory framework for banking institutions.

Through this module, the students will learn:

  • To apply statistical models and market analysis to financial instruments;
  • To estimate risk measures on market data and to classify them based on mathematical, axiomatic properties;
  • To develop asset pricing techniques in discrete and continuous time frameworks;
  • To use arbitrage-free fair pricing methods and hedging by portfolio replication;
  • The main quantitative frameworks for the analysis and management of credit, market, and operational risk in financial institutions.
  • The role of risk models in the Basel (banking) and Solvency (insurance) regulatory frameworks.

Course Prerequisites

No prerequisites, but a base knowledge of mathematics and statistics is preferable

Teaching Methods

The teaching takes place through lectures with attention to direct dialogue with the students. Support material will be distributed using the e-learning.

Assessment Methods

Oral exam with theoretical questions and exercises. Up to two extra points to the final exams are awarded for an elective assignment, consisting in reviewing and presenting to the class an academic paper related to the contents of the course.

Contents

1) Interest rates and fixed income markets.

  • interest rate models and term structure of interest rates
  • Estimation of the Yield curve: bootstrap and SNS model
  • short-term reference rates

2) Arbitrage-free valuation of derivatives.

  • Definition of arbitrage
  • Pricing of forward contracts
  • Pricing of interest rate derivatives (Forward rate agreements, interest rate swaps)
  • Introduction to stochastic processes

3) Option markets

  • Definitions, bounds, put-call parity
  • Pricing with a binomial model
  • Pricing with continuous-time stochastic processes (Geometrical Brownian motion, Ito’s lemma, Black-Scholes-Merton model)
  • Volatility smiles and advanced models

4) Risk taxonomy

  • Market risk (VaR, CVaR, coherent risk measures)
  • Credit risk (structural, reduced form and portfolio models)
  • Operational risk

5) Risk management in the Basel regulation

  • Regulatory principles: a brief history
  • Market, credit, and operational risk in the Basel regulatory framework
  • Stress testing

6) Introduction to systemic risk modeling


Online Resources

Degrees

Degrees

ECONOMICS AND FINANCE - 162-R-EN 
Master's Degree
2 years
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Main module

ASSET PRICING AND RISK ANALYSIS