THIRD TERM

Accounting, Risk Evaluation and Financial Analysis for Banks - Instructor: Stefano Zorzoli

The course discusses the peculiarities of financial statements and financial reporting of banks and financial institutions. The analysis focuses on the effects of International Financial Reporting Standards (IAS/IFRS) endorsement on accounting and risk evaluation by banks and deals with some related aspects, such as the analysis of bank profitability by financial ratios.

Corporate Financial Risk Management - Instructor: Cesare Conti

Corporate Financial Risk Management (CFRM) is the process of managing financial price risks (interest rates risk, currency risk...) in non financial corporations. Which is a very strategic and common issue in both multinationals and small/medium sized companies. Within corporations, both board members and top management (CEO, CFO, Treasurers…) are deeply involved into the process of CFRM. Other practitioners are frequently involved as well, such as auditors, investment bankers and independent financial risk advisors. The course considers all their different perspectives and, even though will provide a robust theory, will be based mainly on cases and applications concerning the design and the implementation of hedging strategies.

Derivatives Credit Risk: Management and Measurement  - Instructor: Dimitrios Karyampas

The module aims to introduce the new reality for banking and financial institutions in the aftermath of the 2008 crisis. Highly debated topics such as counterparty credit risk modeling, pricing of counterparty risk (CVA/DVA), cost of funding and collateral management will be examined in depth. The theory will be supported by case studies and hands-on examples. In particular, we will show in a devoted computer session how to price interest rate derivatives with Monte Carlo in a multi-curve setting that accounts for the CVA/DVA contributions.

Exotic Derivatives - Instructors: Marina Marena, Andrea Roncoroni

This course introduces to the fast-growing financial markets of exotic derivatives. We mainly focus on energy markets (electricity, gas, and oil), of which we analyze both economic and financial issues. Quantitative models and contractual structures are presented in a self-contained way. Following a learning-by-doing approach, we highlight the use of derivatives for hedging purposes through concrete examples.

Machine Learning in Finance - Instructors: Francesco Corielli, Cristiana Corno

The course presents a short introduction to the use of machine learning and more in general big data procedures in the field of Finance. A characteristic of the course is to stress the comparison between classical data analysis methods from Statistics and analogous big data (computer science) methods. An anthology of examples shall be introduced with the use of Keras in the Colab environment. 

Market, Counterparty and Model Risk Management - Instructors: Marco Bianchetti, Rita Gnutti, Pietro Virgili

The course aims to teach how pricing/risk theory and formal regulatory requirements are turned into practice in banks for actual pricing and risk management purposes. The program covers pricing and risk management of derivatives and securities, model risk management, prudent valuation, market and counterparty risk management of portfolios of financial instruments. Each area is illustrated with practical examples and case studies.

Market Microstructure - Instructor: Barbara Rindi

The objective of these lectures is to describe and discuss the fundamental models of market microstructure. The course will start with an overview of the organizational structure of financial markets around the world. This will be followed by a presentation on the most popular microeconomic models with asymmetric information. The demonstrations will enable students to understand and apply various techniques of microeconomic analysis which can be deployed in the context of financial markets for evaluating regulatory actions on different market designs and for estimating transaction costs. The course will end with an introduction to the use of high frequency datasets.

Operational and Reputational Risk: Management and Measurement - Instructor: Giampaolo Gabbi

The course deals with the metrics to measure and manage the operational and reputational risks within the banking and financial business. The subject is discussed according to existing regulations in the main European countries. Some best practices and experiences are presented by experts.                                     

Portfolio Performance Evaluation - Instructor: Paolo Cucurachi

The objective of the course is to deal with measures aimed at evaluating (ex post) and choosing (ex ante) asset managers. The widespread use of rating methodologies (i.e Morningstar), based on ex-post risk adjusted measures, to select managers is not consistent with the results of several analyses on performance persistence and with risk budget models. Starting from the traditional Sharpe Ratio, the course will present the major performance measures and multimanager optimization tools.

Structured Products - Instructor: Dimitrios Karyampas 

The course aims to examine in depth structured products, as stand-alone investments as well as in a portfolio context. Students attending the course will gain a thorough understanding of the various categories of structured products, such as Capital protection, yield enhancement, participation, leverage products and products with additional credit risk. Structured products are financial assets, which consist of various elemental components, combined to generate a specific risk-return profile to meet an investor's risk appetite. Those components typically consist of (i) a bond (credit component) and (ii) an option (provided by the \hedge counterparty"). During the course we assess how structured products are being priced, manufactured, settled in investor's securities custody accounts via traditional banking and clearing rails. Last but not least, we examine such products across the following lenses: investor, issuer, hedge counterparty and distributor. 

Term Structure Modeling - Instructors: Anna Maria Gambaro, Massimo Morini

The course covers the foundations of modelling for pricing interest rate derivatives. First the main interest rate derivatives and their quotations are introduced. Then the course presents the main short rate models with their advantages and limitations and describes the HJM framework. The last generation of term structure models, the Libor and Swap Market Models are analyzed in depth, with case studies and examples on pricing, calibration, volatility and correlation modelling.

The Practice of FX Markets - Instructor: Stefano Cimino, Manuela Geranio

The course illustrates the basic functioning of the FX market, main forecasting methodologies and foster the practice in the currency market by the use of Bloomberg.  Currencies module of the BMC (Bloomberg Market Concepts e-learning course) will be part of the program. Students may also add further modules in order to obtain a full Bloomberg BMC certificate.

Topics in Data-driven Investments: - Instructor: Francesco Rotondi

The course will present a few self-contained applications of machine learning and data-driven techniques for financial investments. During each session we will introduce an investment problem and its issues, and possible solutions based on data-driven algorithms. Theory aspects as well as Python codes will be discussed. The implemented solution's output will be critically analysed and assessed.

Topics in Numerical Methods - Gianluca Fusai

The course introduces the student to the most important numerical methodologies currently employed to interface between analytical results from arbitrage pricing theory and final users trading tools. Monte Carlo simulations, numerical solution of equations, numerical integration, optimization are presented in theory and in practice through several concrete applications. The course will be mainly Excel based exploiting the recently introduced functionalities such as Dynamic Arrays.  

Topics in Structuring - Salvatore Crescenzi, Stefano Rivellini 

Topics in Structuring is a course designed for the students willing to apply their Master of Quantitative Finance knowledge to financial decision-making in complex, real-world scenarios. Imagine evaluating a natural gas liquefaction plant investment as a portfolio manager for an international infrastructure fund, structuring the financing of a wind farm in Canada as an investment banker, managing the risk reward profile of debt structures under an ESG framework as a telco corporate treasurer, optimizing the working capital of a medium corporate as a chief financial officer or navigating the volatile markets as a power and gas trader. Through a case-study-based approach, utilizing also tools like Bloomberg and Excel, this course offers hands-on, practical knowledge in structuring and analyzing sophisticated financial solutions. Taught by senior practitioners from the corporate and investment banking industry, it combines academic rigor with real-world insights. Positioned strategically at the end of your Master's program, Practical Structuring is designed to unlock and integrate the quantitative and academic knowledge you've acquired, equipping you with the in-demand skills crucial for various roles within the finance and risk management world.