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
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 2025/2026The 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.
1° Year
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2° Year activated in the A.Y. 2024/2025
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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.
Financial Risk Management (2023/2024)
Teaching code
4S006189
Teacher
Coordinator
Credits
9
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Period
Secondo semestre (lauree magistrali) dal Feb 26, 2024 al May 24, 2024.
Courses Single
Authorized
Learning objectives
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).
Prerequisites and basic notions
The course does not have any strict prerequisite. However, for an adequate understanding of the material covered, it is useful to possess a good knowledge of the basic concepts from mathematical analysis (limits, derivatives, integrals) and statistics (random variables, probability distributions, estimators, hypothesis tests). In addition, students are expected to be familiar with some programming language (Matlab, Python, Visual Basic, Turbo Pascal).
Program
The course consists of the following modules:
1) Definition and examples of financial risk
2) Examples of risk measures: volatility, value at risk, expected shortfall
3) Numerical techniques to compute risk measures
4) Market risk
5) Credit risk
6) Counterparty risk (if time permits)
Bibliography
Didactic methods
The prototypical lecture is based on the slides prepared by the lecturer and shared with the students, which constitute the main learning tool for the final examination. During the course the students will often be invited to participate in class in the form of open dialogues, typically triggered by concrete questions on the lecture topics. The goal is twofold. On the one side, to unfold and deepen the link with the previous courses. On the other side, to exercise critical thinking about the topic and its conceptual tools, highlighting their merits and limitations.
Learning assessment procedures
The exam consists of a written test at the end of the course, which features theory questions, numerical exercises, and simple programming exercises. All the necessary information about the exam will be provided in due time during the course.
Evaluation criteria
Students are expected to show that they have acquired a solid knowledge of the fundamental concepts and quantitative and computational techniques developed in the course and, partly, that they are able to apply them to new problem settings.
Criteria for the composition of the final grade
The grade is based entirely on the final exam. For those students who attended the course in the year 2022-2023 and delivered the corresponding project work, the final grade will take into account the project work with a weight of 30% as specified in the course's syllabus.
Exam language
Italiano
