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:
No prerequisites, but a base knowledge of mathematics and statistics is preferable
The teaching takes place through lectures with attention to direct dialogue with the students. Support material will be distributed using the e-learning.
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.
1) Interest rates and fixed income markets.
2) Arbitrage-free valuation of derivatives.
3) Option markets
4) Risk taxonomy
5) Risk management in the Basel regulation
6) Introduction to systemic risk modeling
