The course aims to provide students with basic operational tools to address the major issues of finance and financial markets. While attending this course, students will acquire theoretical and applied knowledge of: the interest rate market, traditional financial instruments (plain vanilla bonds, stocks, mutual funds), main derivative instruments, basic structured products and techniques for measuring and managing financial risks. During the course there will be meetings with financial experts (seminars and / or lectures), as well as the discussion of case studies that will verify the understanding and practical application of knowledge gained, and exercises to prepare for the final.

Part I - Interest rates and credit markets, bonds and other financial products

Structure of the financial markets, regulated and over the counter (OTC) markets. Government bonds and Eurobonds.

Future value and present value of an investment

Fixed coupon and floater coupon bonds

Calculation of yield to maturity and Discount Margin

Calculation of the duration and convexity of a bond

Swaps rates, zero coupon rates, bootstrapping, forward rates

Repo

Credit risk, rating and recovery rate

Credit risk estimated by capital market data

Senior, subordinated and covered bonds

Shares, mutual funds, hedge funds and ETF.

Part II - Derivatives

Interest rate swaps, forward rate agreements, pricing and valuation

Futures on government bonds

Options on interest rates, forex, equities and equity indices. Historical and implied volatility. Greeks. Caps and Floors. Pricing and valuation

Black & Scholes model

Foreign exchange forwards

Swaptions

Credit derivatives (credit default swaps), pricing and valuation. iTraxx indexes

Strategies with derivatives for trading, hedging and financial risk management.

Part III - Structured notes

Reverse floaters, callable, convertible rate, corridor TARN, constant maturity swaps, equity linked, reverse convertible, credit linked.

Part IV - Risk management in financial institutions

Models for measuring and managing risks. Interest rate risk, credit risk, liquidity risk, operational risk, market risk. The Value at Risk

Supervision of financial institutions, capital adequacy, European Banking Union process.

At the end of the semester, students are expected to know the basic elements of the: interest rate markets, credit risk, asset management products, main derivatives instruments on interest rate, foreign exchange, equities, indices and credit, certain types of structured products as well as the basic techniques for measuring and managing financial risks. The attending students will be able to address the major issues of the financial markets, relating in particular to the evaluation of the basic versions of financial instruments and derivatives, the management of financial investments, and the analysis of financial risks.

The teaching material prepared by the lecturer in addition to recommended textbooks (such as for instance slides, lecture notes, exercises, bibliography) and communications from the lecturer specific to the course can be found inside the Moodle platform › blended.uniurb.it

Handouts, exercises, seminars with experts in the financial sector.

Teaching

The course includes lectures with the support of slides, exercises guided by the teacher, group work on economic and financial issues with a final essay to be presented in the classroom, and seminars with financial experts.

Course books

1. Andrea Resti, Andrea Sironi, Rischio e valore nelle banche - Misura, regolamentazione, gestione, Egea, Milano, latest edition (the parts of the text to be studied are communicated by the lecturer)

2. John C. Hull, Options, Futures, and Other Derivatives, Pearson, latest edition (extra reading material)

3. Other teaching material provided by the lecturer.

Assessment

For attending students, the final assessment will be the result of two factors:

1.  a group work project, consisting of an essay, to be presented in the classroom (30%);

2. individual final  - oral examination (70%).

The lecturer--in agreement with the students--proposes the topic of the group project. At the beginning of the course, different groups are formed and each group will prepare an essay, later to be presented and discussed in the classroom according to a timetable established in the early days of the course. The written paper, to be delivered to the lecturer, at the latest, the day before the presentation, must have a length of about 5,000 words and should be preceded by a short summary (abstract). The scores obtained with the essay and the presentation are valid up to the winter examination session of the following year.

The individual oral final test concerns the topics covered during the course, on handouts and content of the texts indicated by the lecturer.

Disability and Specific Learning Disorders (SLD)

Students who have registered their disability certification or SLD certification with the Inclusion and Right to Study Office can request to use conceptual maps (for keywords) during exams.

To this end, it is necessary to send the maps, two weeks before the exam date, to the course instructor, who will verify their compliance with the university guidelines and may request modifications.

Course books

See above

Assessment

The examination consists in a written preliminary test, those who pass gain access to the oral test. The written test involves exercises and open questions on the content of the material, as well as study texts indicated by the lecturer.  The written exam lasts 75 minutes; use of a scientific calculator is recommended.  Students should procure their own calculator.

The oral test concerns the topics covered during the course, in handouts and in the texts recommended by the lecturer.

A conversation with the lecturer is recommended to define the details of the preparation to the tests.

Disability and Specific Learning Disorders (SLD)

Students who have registered their disability certification or SLD certification with the Inclusion and Right to Study Office can request to use conceptual maps (for keywords) during exams.

To this end, it is necessary to send the maps, two weeks before the exam date, to the course instructor, who will verify their compliance with the university guidelines and may request modifications.