RISK MEASUREMENT AND BUSINESS PERFORMANCE INSTRUMENTS - 90032

courses
ID:
90032
Dettaglio:
SSD: Mathematics for Economics, Actuarial Studies and Finance Duration: 48 CFU: 6
Located in:
BERGAMO
Url:
BUSINESS ADMINISTRATION, PROFESSIONAL AND MANAGERIAL ACCOUNTING - 90-R/PERCORSO COMUNE Year: 1
Year:
2025

Overview

Date/time interval

Secondo Semestre (16/02/2026 - 29/05/2026)

Syllabus

Course Objectives

Investments and firm valuation require to set the values of some parameters that describe their characteristics and evolution. In an uncertain environment, such parameters are not known exactly.

At the end of the course the student is able to:

  1. Describe the uncertainty of parameters by treating them as random variables;
  2. Translate the uncertainty of the parameters in uncertainty of the value of the firm;
  3. Describe the joint variability of several random variables, and build scenarios of the firms based on the realisations of the parameters;
  4. Represent graphically the different scenarios by using Excel.



Course Prerequisites

Descriptive statistics

Teaching Methods

The course consists of traditional lectures and laboratory sessions where the models introduced during the lectures are implemented.

Assessment Methods

The valuation is based on a project carried out during the course and discussed in the oral exam.


Contents

Discounted cash flow valuation of the firm. Calculation of the cost of financing of the firm. Description of the joint distribution of the input parameters to the algorithms. Calculation of the distribution of the value of the investment through univariate and multivariate simulations. Computation of the financial ratios of a firm in the benchmark scenario and in alternative scenarios selected to compare a sample of firms. Application of the financial ratios to the study of firm default through Altman’s z-score. Computation of the probability of default of a firm by simulating the evolution of the value of its assets.

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RISK MEASUREMENT AND BUSINESS PERFORMANCE INSTRUMENTS