Studying at the University of Verona

Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.

Study Plan

A.A. 2024/2025 A.A. 2023/2024 A.A. 2022/2023 A.A. 2021/2022 A.A. 2020/2021 A.A. 2019/2020 A.A. 2018/2019 A.A. 2017/2018 A.A. 2016/2017 A.A. 2015/2016 A.A. 2014/2015 A.A. 2013/2014 A.A. 2012/2013 A.A. 2011/2012 A.A. 2010/2011 A.A. 2009/2010

This information is intended exclusively for students already enrolled in this course.
If you are a new student interested in enrolling, you can find information about the course of study on the course page:

Laurea magistrale in Banca e finanza - Enrollment from 2025/2026

The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.

CURRICULUM TIPO:

1° Year 

ModulesCreditsTAFSSD
9
B
IUS/04
9
B
SECS-P/05
9
B
SECS-P/11
9
B
SECS-P/11
9
C
SECS-P/11
6
B
SECS-P/01
9
B
SECS-S/06

2° Year   activated in the A.Y. 2018/2019

ModulesCreditsTAFSSD
6
B
SECS-P/11
6
B
SECS-P/09
9
C
SECS-P/11
9
B
SECS-S/03
Stage
6
F
-
Final exam
15
E
-
activated in the A.Y. 2018/2019
ModulesCreditsTAFSSD
6
B
SECS-P/11
6
B
SECS-P/09
9
C
SECS-P/11
9
B
SECS-S/03
Stage
6
F
-
Final exam
15
E
-
Modules Credits TAF SSD
Between the years: 1°- 2°
9
D
-

Legend | Type of training activity (TTA)

TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.

A Basic activities
B Characterizing activities
C Related or complementary activities
D Activities to be chosen by the student
E Final examination
F Other training activities
S Placements in companies, public or private institutions and professional associations

Financial Risk Management  (2017/2018)

Teaching code

4S006189

Teacher

Alessandro Gnoatto

Coordinator

Alessandro Gnoatto

Credits

9

Language

Italian

Scientific Disciplinary Sector (SSD)

SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES

Period

Secondo Semestre Magistrali dal Feb 26, 2018 al May 25, 2018.

Lessons timetable MoodleMoodle Seminars 0

Learning outcomes

The goal of the lecture is to present the theoretical foundations and the models employed by financial institutions to manage different sources of financial risk. A particular focus will be put on numerical methods (Monte Carlo simulations) and their implementation using modern IT-Tools (Java, Eclipse).

Program

Part 0
Introduction: Risk Management – intersection between Mathematics, IT and regulation

Part 1 Monte Carlo Methods
Monte Carlo integration (code)
Generation of randon draws and discretization of stochastic processes (code)
Variance reduction techniques (code)

Part 2 Market Risk
Introduction: IR, Equity, FX, Commodities, Options
Risk Measures: general theory
VaR/ES calculation
1) Historical approach (code)
2) Analytical approach
3) Monte Carlo simulations (code)
Optional: Basel II regulations

Part 3 Credit Risk
Basic risks in a default-free setting: duration and convexity
Structural Models
Rating based models
Optional: Basel II regulations

Part 4 Counterparty Credit Risk Funding and collateral (xVA)
CVA DVA
FVA
Monte Carlo for xVA (code)
Optional: Basel III/Basel IV regulations

Reference texts
Author Title Publishing house Year ISBN Notes
A. F. McNeil, R. Frey, P. Embrechts Quantitative Risk Management:Concepts, Techniques and Tools Princeton University Press 2015
John C. Hull Risk Management e Istituzioni Finanziarie (Edizione 4) LUISS University Press 2015 978-88-6105-223-9

Examination Methods

The final exam consists of
a) a project work to be completed individually or in small groups.
b) a written exam.

Students with disabilities or specific learning disorders (SLD), who intend to request the adaptation of the exam, must follow the instructions given HERE