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Lab: Introduction to financial risk management
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Lab: Introduction to financial risk management
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Anno accademico 2023/2024
- Codice attività didattica
- ECM0282
- Docente
- Bogdan Dima (Titolare del corso)
- Corso di studio
- Laurea in Economia e Statistica per le Organizzazioni - a Torino [0402L31]
- Anno
- 1° anno, 2° anno, 3° anno
- Periodo
- Secondo semestre
- Tipologia
- Altre attività
- Crediti/Valenza
- 2
- SSD attività didattica
- NN/00 - nessun settore scientifico
- Erogazione
- Tradizionale
- Lingua
- Inglese
- Frequenza
- Fortemente consigliata/Recommended
- Tipologia esame
- Orale
- Prerequisiti
-
Il corso di metodi quantitativi per l'economia e fortemente consigliato come prerequisito
Quantitative Methods is strongly advised prior to starting this module - Propedeutico a
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Sommario insegnamento
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Obiettivi formativi
Il laboratorio ha come obbiettivo quello di applicare metodi quantitativi a modelli fondamentali utilizzati in finanza nell' ambito di risk management
The target of the Lab is to apply quantitative methods to test some important financial models in the risk management context.
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Risultati dell'apprendimento attesi
Alla fine del corso la studente sara' in grado di testare modelli applicati in finanza usando il software R
By the end of the module the student will be able to test major financial models using R.
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Programma
CHAPTER 1: THE RETURN AND RISK OF FINANCIAL ASSETS
1.1 Conceptual aspects concerning the financial assets
1.2 The return of financial assets
1.3 The risk of financial assets
1.4 Key statistics for “excess return-to-risk” ratio
CHAPTER 2: THE CAPITAL ASSET PRICING MODEL (CAPM)
2.1 Core issues
2.2. Market timing models
2.3. Additional details on CAPM
2.4. CAPM and assets allocation problem
CHAPTER 3: EMPIRICAL TESTING OF CAPMCHAPTER 1: THE RETURN AND RISK OF FINANCIAL ASSETS
1.1 Conceptual aspects concerning the financial assets
1.2 The return of financial assets
1.3 The risk of financial assets
1.4 Key statistics for “excess return-to-risk” ratio
CHAPTER 2: THE CAPITAL ASSET PRICING MODEL (CAPM)
2.1 Core issues
2.2. Market timing models
2.3. Additional details on CAPM
2.4. CAPM and assets allocation problem
CHAPTER 3: EMPIRICAL TESTING OF CAPM- Oggetto:
Modalità di insegnamento
Lezioni in laboratorio informatico
Classes in computer lab
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Modalità di verifica dell'apprendimento
Oral Examination:
- The exam will be partially based on empirical research.
- It will be carried out with real market data (provided by Yahoo Finance).
- Some open questions will test the knowledge of the theoretical background.
Oral Examination:
- The exam will be partially based on empirical research.
- It will be carried out with real market data (provided by Yahoo Finance).
- Some open questions will test the knowledge of the theoretical background.
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Attività di supporto
Testi consigliati e bibliografia
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Fama, E.F. & French, K.R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3): 25-;46.
Hair, J.F., Hult, G.T.M., Ringle, C.M. & Sarstedt, M. (2017). A Primer on Partial Least Squares Structural Equation Modeling (PLS-SEM), 2nd Edition. Thousand Oaks, CA: Sage
Henriksson R.D. & Merton, R.C. (1981). On the market timing and investment performance of managed portfolios II. Statistical procedures for evaluating forecasting skills. Journal of Business, 54(4): 513-533.
Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investments,Yale University Press, https://www.jstor.org/stable/j.ctt1bh4c8h
Modigliani, F. & Modigliani, L. (1997). Risk-Adjusted Performance: How to Measure It and Why. Journal of Portfolio Management, 23(Winter): 45-54.
Sortino, F. & Satchell, S. (2001). Managing downside risk in financial markets: Theory, practice and implementation, Butterworth-Heinemann Finance.
Treynor, J. & Mazuy, K. (1966). Can mutual funds outguess the market? Harvard Business Review, 44(4): 131-136.
Zivot, E. (2023). Introduction to Computational Finance and Financial Econometrics. Chapman and Hall/CRC; 1st edition (15 July).
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Note
- Registrazione
- Aperta
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