RISK MANAGEMENT AND DERIVATIVES

Attività formativa monodisciplinare
Codice dell'attività formativa: 
910011-ENG

Scheda dell'insegnamento

Per studenti immatricolati al 1° anno a.a.: 
2018/2019
Insegnamento (nome in italiano): 
RISK MANAGEMENT AND DERIVATIVES
Insegnamento (nome in inglese): 
Risk Management and Derivatives
Tipo di attività formativa: 
Attività formativa Caratterizzante
Tipo di insegnamento: 
Obbligatoria
Settore disciplinare: 
ECONOMIA DEGLI INTERMEDIARI FINANZIARI (SECS-P/11)
Anno di corso: 
2
Anno accademico di offerta: 
2019/2020
Crediti: 
9
Responsabile della didattica: 
Altri docenti: 

Altre informazioni sull'insegnamento

Modalità di erogazione: 
Didattica Convenzionale
Lingua: 
Inglese
Ciclo: 
Primo Semestre
Obbligo di frequenza: 
No
Ore di attività frontale: 
72
Ore di studio individuale: 
153
Ambito: 
Aziendale
Materiali didattici: 
Prerequisites

The course requires a basic knowledge of futures, forwards, options and swaps (as from the course of Securities Market). In the study of derivatives we proceed by steps from the simplest to the most complex notions and it is not possible to proceed in the study without having understood the first fundamental notions. For this reason it is important to study regularly during the lessons and make sure that everything studied in the classroom is clear from time to time.

Educational goals

At the end of the course students will be able to understand what derivative contracts are, how they are used by corporations and banks, and what are the main valuation methodologies.

Course content

A. Forwards and Futures
Definition and characteristics of the contracts; use of the forwards for trading, hedging and arbitrage purposes; calculation of the forwards prices; market value of the forwards contracts; the margin system and the counterpart risk in the futures; use of the futures for trading purposes and the leverage effect; use of the futures for hedging purposes (basis risk.

B . Swaps and Forward rate agreement
Definition and contractual characteristics, The use of swaps for asset liability management purposes; the use of swaps and the argument of comparative advantage; the calculation of the fixed rate of a swap; the market value of interest rate swaps; Forward rate agreements uses; the calculation of forward rates; the market value of forward rate agreement.
. Options and structured products
Options definition; the put call parity; intrinsic value and time value; The main factors that affect the premium of the options. The pricing models of the options (binomial and Black and Scholes). Trading strategies with options. Sensitivity coefficient of options. Structured products construction and uses.

D. Exchange rate risk, exchange rate markets and the use of derivatives to hedge exchange rate risk.

Textbooks and reading lists

• J. Hull, Opzioni, Futures e altri Derivati, Pearson, nona o decima edizione 10th edition

• J. Hull, Opzioni, Futures e altri
Derivati: Manuale delle Soluzioni, Pearson.

Teaching notes and slides posted on the learning of the course.

Teaching methods

The teaching will take place through traditional lectures. An active and direct dialogue with the students is encouraged, and students can, during the lessons, formulate proposals for further study or debate.

Practical cases of use of derivatives will be examined and discussed.

In the last sessions a simulation of trading will take place and participants will have exposure to industry guest speakers

Assessment and Evaluation

The exam is written.
It can be given in two forms:
1) A unique test of the 9 credits. The maximum score is 31.
2) A partial test in November (on the forwards, futures, and on exchange rate ) and a final test in January (on the remaining topics). In this case, the final grade is the sum of the grades obtained in the two tests. The first test will give a maximum score of 20 and if it is passed with a score of 12 or more. The second test will give a score of 11 and will be passed with a score of 7 or more. If the first test is passed in November, the second test must be passed in the first available session ( January).
All students (whether attending or not) can participate in the intermediate exam).

In both cases, the examination will focus on the resolution of exercises. Students must be able to personally rielaborate what is explained in the classroom. In each exam a part will be dedicated to the solution of new problems (not discussed in the classroom and not present in the exercises carried out in the classroom) that require an effort to rework the concepts learned in class.