|
8011215 -
THEORY OF BANKING
(obiettivi)
The course will discuss some fundamental issues related to financial intermediation in contemporary economic systems. Why do financial intermediaries exist? What is the role they play and what are the consequences of their activities?
Preliminaries: What is a bank and what are her functions: a close look at the balance sheet of bank.
Part I
Introduction to time, uncertainty and liquidity. Asymmetric information problems: adverse selection and moral hazard
Microeconomic foundations for financial intermediation. Why do banks exist. Banks in Arrow-Debreu economies. Banks as pool of funds: Diamond-Dybvig (1983). Banks as delegated monitors: Diamond (1984).
Bank runs as outcomes of a self-fullfilling prophecy. Remedies to economic instability due to bank runs. The economic cycle and its effect on bank runs.
The effects of banks on financial markets: equilibria with credit rationing. Stiglitz-Weiss (1981). The role of collateral as an incentive device.
Part II
Banks can fail: history and institutions. A discussion on the emergence of a financial crisis: the causes, the consequences and policy issues related to a crisis. The trasmission mechanisms from the financial to the real sector: money view and credit view. The main features of the 2007-2009 financial crisis in comparison with past crises’ episodes: the causes, the transmission mechanisms, the consequences. Financial market regulation before and after the crisis of 2007-2009.
|
6
|
SECS-P/01
|
36
|
-
|
-
|
-
|
Attività formative affini ed integrative
|
ENG |
|
8011660 -
FINANCIAL MARKET MODELS
(obiettivi)
L’obiettivo principale del corso e’ quello di fornire una conoscenza di base sui seguenti argomenti: 1) teoria dell’utilità attesa; 2) mercati e strumenti finanziari; 3) portafoglio efficiente e frontiere efficienti; 4) struttura di correlazione tra strumenti finanziari e modelli uni-fattoriali e multi-fattoriali; 5) mercati efficienti e studio degli eventi.
I suddetti argomenti si focalizzano sulla relazione esistente tra i mercati finanziari e i rendimenti delle imprese in questi mercati. Il corso darà una visione completa di come analizzare gli effetti della nuova informazione che colpisce i mercati sui rendimenti delle imprese che ne fanno parte.
Il corso fornira’ agli studenti le seguenti capacità e conoscenze:
Capacità di comprendere le basi teoriche della finanza, basate sulla teoria dei mercati efficienti.
Conoscenza delle competenze per passare dai modelli teorici alla loro applicazione empirica.
Capacità di valutare l’impatto e l’importanza delle ipotesi teoriche di base di ogni modello in relazione alla sua applicabilità emprica.
Capacità di implementare praticamente i modelli studiati utilizzando il pacchetto econometrico STATATM.
Capacità di valutare gli strumenti finanziari a disposizione delle imprese nei mercati finanziari.
-
CICIRETTI ROCCO
( programma)
This is a course on discrete time and continuous time financial models. The topics covered are chosen among those that require a rather intensive use of quantitative modeling tools. In particular, we will focus on mean-variance analysis, optimal portfolio selection, static and dynamic asset-pricing models, return predictability, the term structure of interest rates, and option pricing. While you may have seen these topics in other classes, this course emphasizes a hands-on modeling experience. Students will be required to analyze data and participate in class discussions.
Programming requirements
The emphasis of the course is on understanding how financial models can produce useful answers to economic questions. Therefore, this is not a course in computer programming. Only the use of Matlab is required. On the other hand, those among you who have prior programming experience should feel free to complete assignments in any language of their choice.
 The class slides are your main source for preparing for this course. The two suggested books are (i) Asset Pricing by John Cochrane (2005) and (ii) Empirical Dynamic Asset Pricing by Kenneth Singleton (2006).
|
6
|
SECS-P/02
|
36
|
-
|
-
|
-
|
Attività formative caratterizzanti
|
ENG |
|
8011288 -
FINANCIAL ECONOMETRICS
(obiettivi)
PROGRAMME
1. Introduction
Asset returns. Stylized facts: asymmetry, kurtosis and volatility clustering.
Stochastic processes: stationarity, purely random processes (white noise). Random walks and martingales.
Review of prediction theory. Optimal prediction. Forecasting with nonstationary models: exponential smoothing.
2. Volatility measurement and analysis
Autoregressive Conditional Heteroscedasticity (ARCH): model specification, properties, maximum likelihood estimation, prediction. Extensions: ARCH in mean.
Generalized ARCH models, Integrated GARCH, Exponential GARCH models.
Multivariate GARCH models. VEC and BEKK. Conditional correlation models: CCC, DCC. Factor models: Factor GARCH, O-GARCH 2.4 Realized volatility.
Risk measurement: Value at Risk and expected shortfall.
-
PROIETTI TOMMASO
( programma)
PROGRAMME
1. Introduction
Asset returns. Stylized facts: asymmetry, kurtosis and volatility clustering.
Stochastic processes: stationarity, purely random processes (white noise). Random walks and martingales.
Review of prediction theory. Optimal prediction. Forecasting with nonstationary models: exponential smoothing.
2. Volatility measurement and analysis
Autoregressive Conditional Heteroscedasticity (ARCH): model specification, properties, maximum likelihood estimation, prediction. Extensions: ARCH in mean.
Generalized ARCH models, Integrated GARCH, Exponential GARCH models.
Multivariate GARCH models. VEC and BEKK. Conditional correlation models: CCC, DCC. Factor models: Factor GARCH, O-GARCH 2.4 Realized volatility.
Risk measurement: Value at Risk and expected shortfall.
Textbook references
- Campbell, J., Lo, A. and MacKinlay, A. (1999). The Econometrics of Financial Markets. Princeton University Press: New Jersey.
- Franke, J., Haerdle, W.K. and Hafner, C.M. (2012). Statistics of Financial Markets. An Introduction. Third Edition. Springer.
- McNeil, A.J., Frey, R. and Embrechts, P. (2005). Quantitative Risk Management, Princeton Series in Finance.
- Taylor, S. J. (2005). Asset Price Dynamics, Volatility, and Prediction. Princeton University Press.
- Tsay, R.S. (2010). Analysis of Financial Time Series, Third Edition. Wiley.
Textbook references
- Campbell, J., Lo, A. and MacKinlay, A. (1999). The Econometrics of Financial Markets. Princeton University Press: New Jersey.
- Franke, J., Haerdle, W.K. and Hafner, C.M. (2012). Statistics of Financial Markets. An Introduction. Third Edition. Springer.
- McNeil, A.J., Frey, R. and Embrechts, P. (2005). Quantitative Risk Management, Princeton Series in Finance.
- Taylor, S. J. (2005). Asset Price Dynamics, Volatility, and Prediction. Princeton University Press.
- Tsay, R.S. (2010). Analysis of Financial Time Series, Third Edition. Wiley.
|
6
|
SECS-S/03
|
36
|
-
|
-
|
-
|
Attività formative caratterizzanti
|
ENG |
