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

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
SECS-P/05
9
B
SECS-P/11
6
B
SECS-P/01
9
B
SECS-S/06
9
B
SECS-S/06
9
B
SECS-S/01
9
D
-

2° Year   activated in the A.Y. 2013/2014

ModulesCreditsTAFSSD
9
C
SECS-S/06
9
B
IUS/04
9
C
SECS-S/06
6
B
SECS-S/06
6
B
SECS-P/11
6
F
-
15
E
-
activated in the A.Y. 2013/2014
ModulesCreditsTAFSSD
9
C
SECS-S/06
9
B
IUS/04
9
C
SECS-S/06
6
B
SECS-S/06
6
B
SECS-P/11
6
F
-
15
E
-

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  (2013/2014)

Teaching code

4S02484

Teacher

Coordinator

Credits

9

Language

Italian

Scientific Disciplinary Sector (SSD)

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

Period

primo semestre dal Sep 23, 2013 al Jan 10, 2014.

Location

VERONA

Seminars 0

Learning outcomes

The course focuses on applied mathematical models for measuring and managing market and credit risk. Practical computer sessions are planned.

Program

1. Introduction to financial risk management

2. Market risk
2.1 Volatility and correlation estimation models.
2.2 Value-at-Risk (VaR) technique.
2.3 Estimating the VaR:
- parametric approaches (portfolio-normal, asset-normal, delta-normal, beta-normal).
- non-parametric approaches (historical simulation, bootstrapping, filtered historical simulation, Monte Carlo simulation).
2.4 Stress testing and backtesting.
2.5 Conditional VaR.

3. Credit risk
3.1 Basic variables: default probability, loss given default, expected loss, unexpected loss, transition matrix.
3.2 Regulation (Basel Accord).
3.3 Models for credit risk valuation:
- intensity-based model.
- credit scoring model.
- CreditMetrics.
- Merton-KMV model.

Examination Methods

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