Corso di laurea: Finance and Banking - Finanza e Banca
A.A. 2014/2015
Conoscenza e capacità di comprensione
Il programma formativo mira a fornire conoscenze avanzate in campo finanziario sia dal punto di vista teorico che ed empirico che estendono e rafforzano le conoscenze acquisite nel primo ciclo.
Esso fornisce l'accesso ad uno spettro di insegnamenti che sviluppano la conoscenza e la capacità di comprensione dello studente ad un livello elevato; consentendo di elaborare ed applicare idee originali spesso in un contesto di ricerca.
Tali conoscenze e capacità forniscono gli strumenti specifici per la collocazione professionale in ambito finanziario e per la crescita personale.
La verifica della conoscenza e della capacità di comprensione viene effettuata tramite prove intermedie (casi di studio) in aggiunta alle prove d'esame e alla prova finale.Capacità di applicare conoscenza e comprensione
Il piano degli studi è fondato sull'integrazione della teoria con la pratica ciò consentirà al laureato di applicare in maniera innovativa le conoscenze acquisite e gli strumenti a disposizione sviluppando la capacità di sintesi necessaria per operare in un contesto interdisciplinare tipico in un contesto di ricerca.
Le conoscenze teoriche trovano applicazione nei vari ambiti decisionali di competenza e di quantificazione del rischio finanziario.
La capacità degli studenti nell'applicare le loro conoscenze sono oggetto continuo di valutazione mediante la predisposizione di progetti specifici nell'ambito di ciascun insegnamento e mediante l'analisi di casi di studio.Autonomia di giudizio
L'offerta formativa mira a fornire una visione globale e coerente dei diversi aspetti concernenti la valutazione e la gestione del rischio che possono orientare le decisioni e la soluzione dei problemi in contesti finanziari caratterizzati da informazioni spesso limitate e da una sempre più rapida evoluzione.
L'autonomia di giudizio si esplica mediante l'integrazione delle informazioni a priori con l'esperienza maturata empiricamente a supporto del processo decisionale.
L'autonomia di giudizio si acquisisce mediante l'integrazione delle attività formative previste dal corso con l'esperienza maturata attraverso l'analisi di casi di studio.
La valutazione della discussione dei casi studio costituirà momento particolare dell'autonomia di giudizio acquisita dallo studente.
La dissertazione finale è specificatamente mirata a valutare la capacità di sintesi e l'autonomia di giudizio maturate dallo studente, il quale dovrà svolgere una ricerca che elabora o applica idee originali.Abilità comunicative
Il laureato sarà in grado di utilizzare la lingua inglese accanto alla sua madre lingua.
Inoltre, dovrà essere in possesso di adeguate conoscenze e abilità per l'utilizzo degli strumenti informatici necessari nell'ambito specifico della propria competenza.
La struttura del percorso formativo permetterà allo studente di comunicare in modo chiaro, a interlocutori specialistici e non, il contesto teorico di riferimento, e sintetizzare le evidenze empiriche concernenti il problema decisionale sorto in ambito finanziario.
Le capacità comunicative sono valutate non solamente nell'ambito di ciascun insegnamento mediante le verifiche intermedie e la prova d'esame, ma anche in sede di discussione della prova finale.Capacità di apprendimento
Il percorso formativo consente al laureto di sviluppare capacità di apprendimento che sono necessarie per intraprendere studi successivi o per operare in piena autonomia.
Le capacità di apprendimento vengono valutate sistematicamente durante il precorso formativo.Requisiti di ammissione
Per essere ammesso al corso lo studente deve essere in possesso della laurea di primo livello conseguita presso un'università italiana nelle classi L-8, L-18, L-16, L-30, L-31, L-33, L-35, L41, o di titolo equipollente conseguito all'estero, in aree tematiche quali l'economia, la finanza, economia aziendale, ingegneria, matematica, fisica, statistica.
E' richiesta la conoscenza ottima della lingua inglese, scritta e parlata ed è preferibile che lo studente sia in possesso di una preparazione di buon livello nelle discipline quantitative: matematica, statistica ed econometria.
la verifica della personale preparazione viene valutata tramite l'esame dei curricula dei candidati, di una lettera di motivazione e di una lettere di presentazione da parte di un docente del percorso di primo livello ed una eventuale intervista diretta.Prova finale
La prova finale è costituita dalla compilazione, sotto la supervisione di un docente relatore, di una dissertazione in lingua inglese su uno specifico argomento, discussa in lingua inglese.
La dissertazione finale è specificatamente mirata a valutare la capacità di sintesi e l'autonomia di giudizio maturate dallo studente, il quale dovrà svolgere una ricerca che elabora o applica idee originali.
Lo studente ottiene 24 dei 120 crediti previsti per il completamento del corso mediante la dissertazione finale e sceglie il relatore nel corso del primo semestre del secondo anno.Sbocchi occupazionali e professionali previsti per i laureati
Il Corso di Laurea in Finance and Banking consente di svolgere autonomamente compiti ed attività professionali che consentono di accedere ai ruoli professionali tipici delle posizioni di elevato profilo manageriale, a livello nazionale ed internazionale, presso banche, società di gestione del risparmio, fondi pensione, imprese di assicurazione, mercati regolamentati, autorità di vigilanza e autorità amministrative indipendenti, nonché nei ruoli manageriali dell'area finanza delle imprese industriali e commerciali.Il Corso di Studio in breve
Il Corso di Laurea Finance and Banking è articolato su due anni, con un piano degli studi suddiviso in quattro semestri di insegnamenti ed una dissertazione finale.
Lo studente ottiene 24 dei 120 crediti previsti per il completamento del corso mediante la dissertazione finale.
Gli insegnamenti comprendono: Introduzione al software statistico, Gestione del rischio e creazione di valore nell'attività bancaria, Asset Management, Legislazione finanziaria, Statistica, Matematica e Probabilità, Gestione del rischio finanziario, Econometria, Analisi delle serie temporali, Corporate Finance, Asset pricing, Gestione di titoli derivati e due corsi opzionali.
Il corso si propone come obiettivo formativo la preparazione di laureati che rivestono ruoli professionali richiedenti un'elevata cultura economica e competenze quantitative per individuare ed affrontare problemi specifici in ambito finanziario, e pertanto copre la misurazione, l'analisi e la gestione del rischio nelle sue diverse accezioni, di mercato, finanziario, di credito e di gestione; il C.d.L.
si propone inoltre di formare specialisti nella gestione di portafoglio e nella quantificazione del rischio finanziario relativo a prodotti finanziari innovativi e complessi.
Infine, esso mira anche a fornire una forte esposizione al calcolo stocastico, alla modellistica econometrica, all'analisi statistica delle serie temporali ed all'analisi dei dati finanziari finanziari
Lo studente espliciterà le proprie scelte al momento della presentazione,
tramite il sistema informativo di ateneo, del piano di completamento o del piano di studio individuale,
secondo quanto stabilito dal regolamento didattico del corso di studio.
Primo anno
Primo semestre
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Insegnamento
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CFU
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SSD
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Ore Lezione
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Ore Eserc.
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Ore Lab
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Ore Studio
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Attività
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Lingua
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8011190 -
MATHEMATICS
(obiettivi)
Linear Algebra Systems of linear equations. Matrix Algebra. Algebra of square matrices. Transpose and its properties. Determinant. Groups, fields, vector spaces. Linear independence and basis. Dimension of vector spaces. Linear transformations. Kernels. Scalar products. Cauchy-Schwartz inequality. Eigenvalues, eigenvectors and the characteristic polynomial of a square matrix. Basic properties of eigenspaces. Symmetric, skew-symmetric and orthog- onal matrices. Positive definite matrices. Projection operators. Cholesky decomposition. Diagonalizable matrices. The spectral theorem. Calculus Series. Power series. The complex numbers. Complex power series and complex exponential. The Euler formula. Differentiability for functions of several variables: examples and counterexamples. The gradient. The Jacobian matrix. The chain rule for differentials. Mixed partial derivative. The Schwartz (Young) theorem. Integration in n dimension. The Fubini theorem. The change of variable formula. Integration using polar coordinates. Differentiation under the integral sign. Introduction to differential equations. The Cauchy problem. The L2 scalar product on R2, on C[0,1] and for random variables. Optimization The Taylor polynomial in n-dimensions. The Hessian matrix. Unconstrained optimization: necessary and sufficient conditions for maxima and minima. Constrained optimization. Lagrangian function and Lagrange multiplier. Introduction to Kuhn-Tucker. Probability Elements of a probability space. Algebras of events and information about random experiments. Introduction to combinatorial calculus. Finite probability spaces, probability measures, introduction to Kolmogorov theory. Conditional probability, total probability formula, Bayes formula. Independent events. Random variables and their properties. Probability distribution, distribution function and densities function of a random variable. Expectation and variance of a random variable and their properties. Expectation and variance for the main kinds of random variables. Covariance and scale-invariance of the correlation coefficient. Random vectors and their properties. Probability distribution, distribution functions and densities functions of a random vector. Independent random variables, covariance and correlation. Conditional expectation of a random variable and its properties. Conditional expectation as best estimator. Geometric approach to the conditional expectation. Sequences of random variables. Convergence in probability and in law. The (weak) law of large numbers. The characteristic function. Central limit theorem. Multivariate Gaussian distribution. Conditional expectation for the bivariate gaussian.
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M-2338 -
LINEAR ALGEBRA AND PROBABILITY
(obiettivi)
Linear Algebra Systems of linear equations. Matrix Algebra. Algebra of square matrices. Transpose and its properties. Determinant. Groups, fields, vector spaces. Linear independence and basis. Dimension of vector spaces. Linear transformations. Kernels. Scalar products. Cauchy-Schwartz inequality. Eigenvalues, eigenvectors and the characteristic polynomial of a square matrix. Basic properties of eigenspaces. Symmetric, skew-symmetric and orthog- onal matrices. Positive definite matrices. Projection operators. Cholesky decomposition. Diagonalizable matrices. The spectral theorem
Probability Elements of a probability space. Algebras of events and information about random experiments. Introduction to combinatorial calculus. Finite probability spaces, probability measures, introduction to Kolmogorov theory. Conditional probability, total probability formula, Bayes formula. Independent events. Random variables and their properties. Probability distribution, distribution function and densities function of a random variable. Expectation and variance of a random variable and their properties. Expectation and variance for the main kinds of random variables. Covariance and scale-invariance of the correlation coefficient. Random vectors and their properties. Probability distribution, distribution functions and densities functions of a random vector. Independent random variables, covariance and correlation. Conditional expectation of a random variable and its properties. Conditional expectation as best estimator. Geometric approach to the conditional expectation. Sequences of random variables. Convergence in probability and in law. The (weak) law of large numbers. The characteristic function. Central limit theorem. Multivariate Gaussian distribution. Conditional expectation for the bivariate gaussian.
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6
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MAT/06
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36
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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M-2337 -
CALCULUS AND OPTIMIZATION
(obiettivi)
Calculus Series. Power series. The complex numbers. Complex power series and complex exponential. The Euler formula. Differentiability for functions of several variables: examples and counterexamples. The gradient. The Jacobian matrix. The chain rule for differentials. Mixed partial derivative. The Schwartz (Young) theorem. Integration in n dimension. The Fubini theorem. The change of variable formula. Integration using polar coordinates. Differentiation under the integral sign. Introduction to differential equations. The Cauchy problem. The L2 scalar product on R2, on C[0,1] and for random variables. Optimization The Taylor polynomial in n-dimensions. The Hessian matrix. Unconstrained optimization: necessary and sufficient conditions for maxima and minima. Constrained optimization. Lagrangian function and Lagrange multiplier. Introduction to Kuhn-Tucker.
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6
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SECS-S/06
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36
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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8010848 -
STATISTICS
(obiettivi)
This is a course about making inference using functions of observed data; this includes sampling, point and interval estimation of parameters and testing of statistical hypotheses. Traditional methods of evaluating estimators (unbiasedness, efficiency, consistency, etc.) and tests (size, power, etc.) are considered in detail along with methods of finding them.
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6
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SECS-S/01
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36
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-
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-
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-
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Attività formative affini ed integrative
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ENG |
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8011181 -
DERIVATIVES
(obiettivi)
The aim of the course is to provide knowledge of all the main contract types of derivatives (forward, future, options, etc.) and skills on pricing, contract evaluation and application. Within the application of derivatives a special concern will be attributed to the hedging strategies, rather than trading and arbitrage. Different hypothesis about the underlying asset will be done, including interest rates, currencies, stock prices and commodities. The structure and the functioning of derivative markets is part of the program too. In the last part of the course an analysis of the Exotic options and the structured products will be done.
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6
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SECS-P/11
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36
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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8011293 -
STATISTICAL COMPUTING
(obiettivi)
The course aims at providing an introduction to programming using Matlab, through examples and applications to economic and financial data analyses. Programme Matlab environment: variables and constants, operators and simple calculations, formulas and functions. Matrices and operations with matrices. Relations and Booleans. Working with data: reading and writing, file handling, preprocessing data, summarizing data, visualizing data. MatLab graphic functions. Programming in Matlab: algorithms and structures, control flow (conditional control, loop control, vectorization, preallocation), MatLab scripts and functions. Applications and examples: Introduction to numerical methods and simulation and symbolic calculus.
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3
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24
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-
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Ulteriori attività formative (art.10, comma 5, lettera d)
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ENG |
Secondo semestre
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Insegnamento
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CFU
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SSD
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Ore Lezione
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Ore Eserc.
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Ore Lab
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Ore Studio
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Attività
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Lingua
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8011267 -
TIME SERIES AND ECONOMETRICS
(obiettivi)
Univariate Time Series Univariate time series analysis: Basic concepts. Stationarity, autocorrelation, Linear indeterministic processes. Nonstationary time series analysis: ARIMA models. Seasonal models. Unit root tests. The Beveridge-Nelson decomposition. Forecasting and the evaluation of forecasts. Univariate analysis of financial time series: Volatility and conditional heteroscedasticity. GARCH and IGARCH models. Multivariate Time Series Stationary and Ergodic Multivariate Time Series. Multivariate Wold Representation. Vector Autoregression (VAR) Models. Identification and Estimation of VAR models. Forecasting. Structural VAR Models. Impulse Response Functions. Forecast Error Variance Decompositions. Shocks Identification Using the Choleski Factorization. The Cointegrated VAR. Maximum Likelihood Inference on the Cointegrated VAR. The Common Trends Representation.
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9
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SECS-P/05
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54
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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8011215 -
THEORY OF BANKING
(obiettivi)
The course will discuss some fundamental issues related to the existence of financial intermediaries, more generally, in contemporary economic systems. It will discuss the role they play as intermediaries in financial markets and the consequences of their activities. It will be divided into two parts.
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6
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SECS-P/01
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36
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-
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-
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-
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Attività formative affini ed integrative
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ENG |
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8010850 -
THEORY OF FINANCE
(obiettivi)
This is a MSc course in Applied finance for financial markets. The course will cover the following main areas: Expected Utility Theory and Economic Theory of Choice; Financial Markets and Financial Securities; Efficient Portfolios and Efficient Frontier; Correlation Structure of Securities and CAPM; Efficient Markets and Event Study Approach. All areas above focus on the impact of market’s returns on firm’s value as represented by its stock price. The course will give a full view on the applied financial econometrics to analyze the effect of changing in the information set can impact the daily (cumulative) abnormal return.
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6
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SECS-P/01
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36
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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8011288 -
FINANCIAL ECONOMETRICS
(obiettivi)
Models of changing volatility: ARCH, GARCH and stochastic volatility models. Estimation and testing. Temporal and contemporaneous aggregation. Multivariate specifications. Long memory in volatility models. Applications to financial data.
MIDAS - MIxed DAta Sampling. Introduction. Forecasting with mixed (and high) frequency data. ii) Forecasting accuracy. Introduction: schemes, number of observations, why out of sample, measures of accuracy. Comparing small number of models, nested models, non-nested models. Comparing large number of models. Applications: Business Cycle, Exchange Rates, Interest rates. iii) Econometrics with option prices.
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6
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SECS-S/03
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36
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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8011428 -
CORPORATE FINANCE
(obiettivi)
The course provides the context within which financial solutions should be developed for a firm. It assumes the basics of corporate strategy and finance have been covered elsewhere, students will be expected to understand the strategic and practical investment issues and decisions that arise from it. At the end of the course, the students will be able to Evaluate corporate finance role in the firm; Assign the correct value to present and forecasted cash flows; Use standard investment selection criteria; Assign the proper value to investment opportunities; Implement capital budgeing approaches; Compute the cost of capital of the firm.
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6
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SECS-P/11
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36
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
Secondo anno
Primo semestre
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Insegnamento
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CFU
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SSD
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Ore Lezione
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Ore Eserc.
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Ore Lab
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Ore Studio
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Attività
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Lingua
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8011564 -
LEGAL THEORY AND ETHICS OF BUSINESS
(obiettivi)
Legal Studies of Business holds that markets are legally constructed and as such occupy an essentially hybrid place between public law and private law. At the same time, all market economies exhibit dynamics that frequently put business persons in direct ethical tension with commitments enshrined in law or driven by benefits. In response to financial and economical crisis, this course is to prepare students for the legal and ethical questions they may be forced to answer in the decades to come. It is not only to make law a priority in business but a matter of giving voice to ethical values. The course is intended to provide with an understanding of legal context in which all business firms must operate, contract principle, liability as well as the ethical issues. Instruction will also focus on how to identify important legal and ethical issues and the handling of such issues within a business organization. Classes will typically consist of lectures, supplemented by case studies. Guest speakers will join to critique presentations of cases in which they are involved
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6
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IUS/05
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36
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-
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-
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Attività formative caratterizzanti
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ENG |
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8011175 -
ASSET MANAGEMENT
(obiettivi)
The focus of this course is to give the students a practical analysis in the management of investment portfolios. The course aims to provide students with an understanding of Asset allocation strategy; Market timing strategy; Performance valuation of mutual funds; Risk management techniques in asset management. Programme Introduction to portfolio construction. Global asset allocation: selecting and estimating input. Global asset allocation: building a MV efficient frontier. Limitations of MV Efficient frontier. Managing estimation errors with euristic models. Managing estimation errors with bayesian models. From strategic asset allocation to tactical asset allocation. The determinants of portfolio performance. Risk indicators: standard deviation, downside risk and tracking error volatility. Risk adjusted measures: from Sharpe Ratio to Selection Sharpe Ratio.
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9
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SECS-P/11
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54
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-
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-
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-
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Attività formative caratterizzanti
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ENG |
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8011203 -
ASSET PRICING
(obiettivi)
This course is a follow-up of the courses "Theory of Finance" and "Derivatives". It illustrates the basics of dynamic asset pricing models, focusing on the arbitrage approach. It treats the most important and used models for contingent claim pricing and hedging in discrete and continuous time, like the Black-Scholes model and beyond. It also provides an introduction to interest rate and credit risk models.
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9
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SECS-S/06
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54
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-
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-
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Attività formative caratterizzanti
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ENG |
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- -
OPTIONAL COURSES
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6
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36
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Attività formative a scelta dello studente (art.10, comma 5, lettera a)
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ENG |
Secondo semestre
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Insegnamento
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CFU
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SSD
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Ore Lezione
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Ore Eserc.
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Ore Lab
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Ore Studio
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Attività
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Lingua
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- -
OPTIONAL COURSES
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6
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36
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-
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-
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-
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Attività formative a scelta dello studente (art.10, comma 5, lettera a)
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ENG |
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8011304 -
FINAL EXAM
(obiettivi)
In order to obtain the Master of Science degree, students are required to present and discuss their written thesis in front of the Examination Board. The dissertation work is worth 24 credit points, according to the MSc program structure.
In order to be admitted to the graduation session, students must earn 96 credit points -at least- provided for the exams listed in the program structure and must not have any pending financial obligations to the University of Rome "Tor Vergata". The dissertation is evaluated on contents, presentation and discussion. The evaluation is expressed out of 110. The minimum grade to obtain the final degree is 66/110. The Board can unanimously award honours ("cum laude") as a special distinction.
In order to reduce plagiarism we will check each dissertation with Turitin that reports an originality index. Students will have the opportunity to run the check informally, as in a draft form, before officially presenting the Turnitin results to their supervisor. Students are in charge of presenting directly their supervisor the results.
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24
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-
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-
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Per la prova finale e la lingua straniera (art.10, comma 5, lettera c)
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ENG |
Insegnamenti extracurriculari:
(nascondi)
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8011301 -
MACROECONOMICS
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Erogato in altro semestre o anno
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8011212 -
MONETARY ECONOMICS
(obiettivi)
The aim of the course is to introduce the students to the theory of money both as a store of value and a medium of exchange. Two workhorse models of money will be discussed: i) the overlapping generations (OLG) model where money is a store of value and ii) the search and matching model (aka Kiyotaki/Wright model) where money is a medium of exchange.
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6
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SECS-P/01
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36
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-
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-
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-
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ENG |
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8011313 -
CREDIT RISK MODELS
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Erogato in altro semestre o anno
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8011427 -
FAMILY BUSINESS
(obiettivi)
The course explores and analyzes family business continuity challenges and best management practices. The focus of this course is on pragmatic, action-oriented, management, governance, finance, and family/business leadership skills. Attention is devoted to evaluating family firms and their growth options to provide a roadmap for analyzing how family ownership, control, and management affect performances and how more value can be created and ensured through generations. The course is divided into 3 different sections. Original features, peculiarities and governance of family firms. Managerial dynamics and family firms’ financial evaluation. Family office services. The course addresses the governance and the finance of established family businesses. It examines succession, values, life cycles, marketing strategies, conflict resolution, communications, legal, and financial aspects, estate planning, management, philanthropy and other topics that uniquely touch family business governance and finance. It will convey the characteristics that differentiate family businesses from other businesses. One of the features which make this course unique and particularly modern is a whole section (number 3) dedicated to the mysterious and fascinating world of the family office. This is the little-known but key professional practice of advising entire families-in-business, frequently large, diversified and with wide ramifications, about the complete spectrum of activities necessary to ensure that wealth is created, preserved , transmitted and spread across the enlarged family community. These services range from asset allocation to risk management, to education, efficient tax structuring, corporate finance and corporate governance, intra- and inter- generational transmission, phylantropy, etc. Given the enormous amount of wealth and power concerned, this phenomenon is getting increasingly importance and starts to attract some focus, particularly by the best graduate students and professional talents.
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6
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SECS-P/10
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36
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-
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-
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-
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ENG |
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8011462 -
INVESTMENT BANKING
(obiettivi)
The course examines the main functions of the investment banking activity. Based on relevant cases study the course focuses on the main topics in investment banking such as: Corporate Valuation Debt and equity offerings Merchant banking Merger and acquisition Credit and financing Objective of the course is to provide students with the theoretical and conceptual tools used in investment banking. Therefore it is appropriate for students who are pursuing a career in investment banking or in the investment banking division of a financial firm. The course is also suitable for students who wish to broaden their understanding of corporate finance concepts and techniques.
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6
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SECS-P/11
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36
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-
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-
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-
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ENG |
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8011194 -
MACROECONOMETRICS
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Erogato in altro semestre o anno
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Insegnamenti extracurriculari:
(nascondi)
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8011301 -
MACROECONOMICS
(obiettivi)
Introduction to Dynamic Macroeconomics The dynamics of aggregate supply and demand. Rational expectations and the Lucas Critique. Solving rational expectations models. The central bank and monetary policy rules. Microfoundations of incomplete nominal adjustment. Consumption and Investment Stochastic implications of the Permanent Income Hypothesis. The overlapping generations model with money. Fixed Capital Investment. Inventory investment. Credit Rationing.
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6
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SECS-P/01
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36
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-
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-
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-
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ENG |
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8011212 -
MONETARY ECONOMICS
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Erogato in altro semestre o anno
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8011313 -
CREDIT RISK MODELS
(obiettivi)
Poisson processes. Credit risk modelling: structural approach (endogenous default). Credit risk modeling: reduced form approach (exogenous default). Applications to bond evaluation.
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6
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SECS-S/06
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36
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-
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-
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-
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ENG |
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8011427 -
FAMILY BUSINESS
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Erogato in altro semestre o anno
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8011462 -
INVESTMENT BANKING
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Erogato in altro semestre o anno
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8011194 -
MACROECONOMETRICS
(obiettivi)
The primary purpose of this course is to illustrate the microeconomic theory examining the behaviour of the most important sets of economic agents – the individual (household) and the firm. The material covered in this course is important in its own right, as a description and explanation of economic agents acting in rational manner , but also as the foundation for macroeconomics and for the many specialist subjects within economics. The course consists of a combination of lectures and revision classes. The majority of the formal material will be presented in the lectures: the revision classes are mainly devoted to technical exercises and as such are a crucial ingredient of learning to do microeconomics yourself.
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6
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SECS-S/03
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36
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-
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-
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-
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ENG |