The course is based on the basic knowledge of descriptive statistics,
financial maths, financial economics
The aim of this class is to develop both an ability to make portfolio selection decisions based
on an analysis of security characteristics and an appreciation of the wider role of
risk management in finance. Candidates will develop an understanding of the decision making process governing the selection of risky assets by investors.
On completing this course applicants will be able to:
a) describe advanced methods of calculating the efficient frontier;
b) explain the role of the index and multivariate models in simplifying portfolio selection;
c) calculate the efficient frontier for a portfolio of securities and derivatives;
d) measuring risks which characterize the financial investment process
The financial investments and risk management profile of the course is to find out the financial risk management process. Measuring, controlling and managing steps will be analysed for the following investments and risks:
• credit risk and credit derivatives;
• interest, exchange and funding liquidity risk and the asset liability management process (ALM);
• market risk and liquidity, valuating the estimation of the value-at-risk (VAR) and alternative solutions (e.g. expected shortfall or CVAR);
• operational, and principal advanced models (AMA) implemented within financial intermediaries.
• reputational and compliance risks, in order to evacuate the new banking function.
Andrea Sironi, Andrea Resti, Risk Management and Shareholders' Value in Banking, Wiley.
Students will be asked to discuss case studies
The teacher will provide other compulsory readings
The course is based on a mix of lectures, speeches from external guest
speakers and case studies. The mix enables students to apply concepts
to real-life financial investments situations and risk management applications.
A first mid term exam will be organized
At the end of the exam a second exam will cover the second part of the course
The course design is based on the assumption that each of you is a learner, as well as a resource for your classmates and that each of us has a responsibility to contribute to the group’s learning. This means that if you miss a class or do not prepare for class everyone misses your contribution, especially those you work with during group work.
In your own interest and for that of your colleagues, please observe the following courtesy rules:
1. Arrive in class on time; do not leave early.
2. Keep your mobiles and laptops off; do not use wireless network emailing in class.
3. Participate fully in class.
4. Do not free-ride on your colleagues!
5. Hand in assignments on time. Late submissions will be heavily penalized.