OVERVIEW

The course introduces financial engineering tools and financial and business risk management.

AIMS AND CONTENT

LEARNING OUTCOMES

The aim of the course is to provide the theoretical and methodological tools necessary for the understanding, analysis and management of risk, defined either in terms of operational, credit and liquidity risk for financial intermediaries and companies, both public and private, either in terms of market risk for investors.

AIMS AND LEARNING OUTCOMES

The Financial Engineering and Risk Management course aims to provide students with techniques and tools for understanding financial issues, for extracting information from financial data, for analyzing financial investment choices in securities portfolios and for managing financial and business risk.
At the end of the course the student will be able to:

• analyze time series of financial data, in order to verify the main statistical properties and obtain information
• build and manage a portfolio through the classical theory of finance
• acquire skills on some derivative instruments
• manage financial and business risk

PREREQUISITES

Basic knowledge of software programming is assumed.

TEACHING METHODS

Teaching will be mainly conducted through lectures and exercises. Students who have valid certifications for Specific Learning Disorders (SLD), for disabilities or other educational needs are invited to contact the teacher and the contact person for disabilities of the Polytechnic School, Prof. Federico Scarpa (federico.scarpa@unige.it), at the beginning of the course to agree on any teaching methods that, in compliance with the objectives of the course, take into account individual learning methods. Working students are invited to contact the teacher at the beginning of the course to agree on any teaching methods and material for individual study.

SYLLABUS/CONTENT

The following topics are covered within the Financial Engineering and Risk Management course:

• The statistics of financial markets
• Financial portfolios and returns with the inclusion of "sustainable" assets
• Strategic asset allocation with and without "sustainable" stocks
• Derivatives – Futures and options
• Operational, financial and business Risk Management

RECOMMENDED READING/BIBLIOGRAPHY

Riccardo Cesari Introduzione alla Finanza Matematica, McGraw-Hill

John C. Hull, Risk Management and Financial Institutions Pearson

John C. Hull,Options, Futures, and Other Derivatives Pearson

TEACHERS AND EXAM BOARD

LESSONS

LESSONS START

https://corsi.unige.it/en/corsi/8734/studenti-orario

Class schedule

The timetable for this course is available here: Portale EasyAcademy

EXAMS

EXAM DESCRIPTION

Learning assessment takes place through a written test, an oral test and a project to be carried out in groups. Only students who have received a sufficient evaluation of the written test are admitted to the oral exam. The tests consist of questions related to the topics constituting the course programme. 

ASSESSMENT METHODS

The written test will evaluate the ability to apply approaches, methods and tools in the context of financial engineering and risk management.
The oral exam will evaluate the ability to understand the theories underlying the approaches, methods and tools applicable in the context of financial engineering and risk management as well as the student's ability to think critically.

The project will evaluate not only the ability to apply approaches, methods and tools with empirical data but also  the ability of team working.

FURTHER INFORMATION

Students who have valid certification of physical or learning disabilities on file with the University and who wish to discuss possible accommodations or other circumstances regarding lectures, coursework and exams, should speak both with the instructor and with Professor Federico Scarpa (federico.scarpa@unige.it ), the School's disability liaison.