Applied Data Science For Banking And Finance Brescia

The course approaches the themes of corporate financial accounting, financial public information, and financial analysis in an International Financial Reporting Standards (IFRSs) setting. Its aim is to develop an advanced and critical understanding - methodological as well as application oriented - of some of the major issues arising from drawing-up, interpretation and analysis of financial statements. These skills are useful for top executives, accounting, finance and business managers and consultants, controllers, auditors, as well as for financial analysts of banks, of institutional investors and of other professional investors.
Considering the complexity and broadness of the subject, an applied selective approach is adopted, integrating theory and discussion of case studies related to financial statements of entities (both banks and industrial companies or groups).
In the first part of the course, the financial reporting system and its principles are reviewed in an application-oriented approach, to lead the student to develop an applied overview of the general relations and problems arising from financial reporting drawing-up and analysis: these skills are essential for a profitable attendance at the course.
In the following parts of the course, some of the major financial accounting, reporting and analysis issues are discussed: equity and Earnings Per Share, impairment of fixed assets, financial instruments, consolidated financial statements.
Management commentary and other public corporate financial information issues are discussed during case studies.
Each topic will be considered from three related points of view: representation; measurement problems and models; impacts on information interpretation and analysis.
Expected learning outcomes
Knowledge, comprehension, and communication skills
At the end of the course, students will have: an overall view of the public financial information system according to IFRSs and to the best international practice; a related micro-language interactive knowledge (i.e. comprehending and using correctly specific technical language and concepts); a good understanding of the content, logic and approach of some selected IFRS principles; an autonomous analytical attitude, enabling them to deal also with other or new accounting principles and with subsequent amendments and interpretations.
b) Applied skills
At the end of the course, students will be able, independently and effectively, to: approach properly the reading and interpretation of separate and consolidated financial statements; apply the accounting and valuation techniques discussed during the course; both prepare financial accounting data and analyze them, with particular attention to consistency-comparability issues.
c) Overall cross-skills
Overall cross-skills of students - in particular critical analysis, ability to deal with different cases and situations, and aptitude to financial communication in English - will be enhanced.

1. The financial information system and its basic principles: an applied overview

• The relations connecting the statements of financial position, of income, of comprehensive income, of changes in equity and of cash flows.
• The statement of cash flows: operating, investing, and financing activities.
• Comparing financial statements and using main financial ratios.
  2. Equity and Earnings per Share (EPS)
• Stockholders’ equity fundamentals.
• EPS in a simple and in a complex capital structure.
• From EPS to Price Earnings (P/E).
  3. Impairment of tangible and of intangible fixed assets
• Impairment of fixed assets basics.
• Impairment of property, plant, and equipment, and of intangible assets.
  4. Financial Instruments
• The complexity of accounting rules for Financial Instruments
• Classification and Measurement.
  5. Consolidated financial statements
• Consolidated financial statements: principles.
• Consolidated financial statements with non-controlling interest.
• Group financial analysis and ratios: basics.
  6. Management commentary and other public corporate financial information
• Shareholders letter and Management commentary to financial statements.
• Interim reporting.
• Public information on major structural and/or strategical changes.
  Individual mandatory preliminary readings are requested, in order to reach a uniform students’ entry level, concerning both basic contents and specific financial accounting vocabulary. An early start of preliminary readings is recommended, preferably during the first part of the course.
  Lessons will combine theory with case studies, discussion of financial statements of listed entities, and related financial analyses: an active participation by students is encouraged and recommended.
  Additional materials are aimed at helping students to develop a critical and applied approach to financial accounting and financial analysis problems, as well as to enhance their communication skills on the subject.

a) Exam structure and contents
Written exam. Time allowed: approximately 120 minutes.
Assessment combines theory issues and application problems, with a particular attention to problems discussed during lessons and to materials provided.
b) Assessment
Assessment covers several topics of the course through a set of questions (varying from 4 to 6, depending on the length and complexity of the answers required), structured in subquestions in order to draw a logical path for the student’s answer. In some cases schemes are provided as a further guidance to answer applied parts of questions.
Usually each question has a similar weight in total valuation. For instance: in the case of 5 questions, each question usually weighs 1/5 of total valuation, that is 6/30 of total maximum valuation of 30/30; in the case of 5 questions having equal weight, valuation for the answer to the single question will vary from 0 (in case of missing, or of strongly not acceptable, or of totally not pertinent answer) to 6 (in case of excellent answer). Possible relevant differences in weight assigned to questions, if any, are communicated at the beginning of the written exam.
Valuation of the exam papers will consider with particular interest: pertinence and depth of answers, correct use of concepts and specific terms, quality and coherence of applied solutions and of their interpretations. These issues might influence final valuation in a range approximately between 30% and 40%.
c) Previous exam texts and solution drafts
A wide collection of former exam texts and of solution drafts for the applied questions is available on the professor’s Blackboard page and should be used as exercise book (of course paying attention to changes during time in IFRSs).
Please note that some of the former exam texts are shorter (with time allowed approximately 60 minutes), due to on-line exam procedures applied during the pandemic restrictions period, but methodological approach and contents are unchanged.

Basic textbook and for mandatory preliminary readings
S.M. Bragg, International Accounting: 2026 Edition, Accounting Tools Inc., 2025.
Textbooks and papers for insights and further readings
Picker, van der Tas, Kolitz, Livne, Loftus, Koning, Service, Applying IFRS Standards, Wiley, 2025
PKF International, Wiley Interpretation and Application of IFRS Standards 2023 (*), Wiley, 2023.
J. Maynard, Financial Accounting, Reporting, and Analysis, Oxford University Press, 2017.
International Accounting Standards Board, IFRS Accounting Standards – Issued Annotated 1 January 2026, International Accounting Standards Board, 2026. Official english text of current IFRSs and accompanying documents with annotations, three volumes: Part A (issued standards); Part B (accompanying guidance); Part C (bases for conclusions).
IFRS, Practice Statement 1 - Management commentary, 2025, available on-line at www.ifrs.org.
S. Pisano - F. Alvino, New European Union’s Requirements and IFRS Practice Statement “Management Commentary”: Does MD&A Disclosure Quality Affect Analysts’ Forecasts?, Journal of Modern Accounting and Auditing , June 2015.
(*) A more updated edition could become available during 2026.
Textbooks and other marterials use: notes
The list of the mandatory preliminary readings chapters is available on Blackboard.
Basic textbook, providing summaries of the accounting principles and examples, shall be the main reference both for mandatory preliminary readings and for the course.
Further textbooks and papers are suggested for specific needs of in-depth and updated study on particular topics.
Due to the continual evolution process of IFRSs, differences in contents between current IFRSs and texbooks, papers, business cases are, of course, common, and help to better understand and deal with the evolution process itself: additional suggestions and materials on current IFRSs discussed during lessons will be available for students as materials in the course Blackboard page
Indications on relevant chapters in textbooks and further readings suggestions will be given during lessons.
Additional materials (slides, business cases, papers, comments or schemes on current IFRSs, separate or consolidated financial statements of companies or groups, former exam questions and solution drafts, audio podcasts, etc.) are posted on the course Blackboard page.
Additional materials are useful and tailored for the focus of the course, but they are necessarily not exhaustive: an integrated study of textbooks-papers, of the relevant parts of current IFRSs standards and interpretations, and of additional materials and financial statements discussed during lessons is strongly recommended.

The objective of this course is the microeconomic analysis of financial markets and institutions. The focus is primarily on the asymmetric information approach. Students will learn the analytical tools needed to solve problems with moral hazard and adverse selection. They will also apply such tools to the analysis of issues related to credit and insurance markets.
At the end of the course, the student will be able to answer theoretical questions and to solve exercises related to the Principal-agent model (with moral hazard and adverse selection) and its applications to insurance markets and banking (focusing on credit risk and liquidity risk).

• Contract theory:
• The principal-agent model with moral hazard;
• The principal-agent model with adverse selection.
• Applications:
  Demand for insurance and insurance markets.
  The lender-borrower relationship: risk-taking incentives.
  Financial intermediation:
• credit rationing – the role of collateral;
• liquidity risk and regulation: lender of last resort, deposit insurance.
  Lessons and exercises solved together with the teacher in classrooms.
  The exposition of all topics is made with the support of slides, which are made available to students in Blackboard.

Written examinations, testing the ability of students to solve simple exercises and to answer theoretical questions related to the topics of the course.

• I. Macho-Stadler-Pérez-Castrillo, An introduction to the economics of information, Oxford University Press, 2001 (second edition). Chapters: 1, 2, 3 (only 3.1-3.2-3.3-3A.3-3B.3), 4 (only 4.1-4.2-4.3-4B.1).
• X. Freixas-J.C. Rochet: Microeconomics of banking, MIT Press, 2008 (second edition). Chapters: 2 (only 2.1-2.2), 5, 7.
• A. Baglioni: Slides available in blackboard

This course investigates the main econometric methods as a tool for the quantitative analysis of economic and financial phenomena. The application of econometric models allows measuring variables that are not directly observable, studying their relationships and behavior, testing and comparing alternative theories, as well as forecasting and simulating the effects of different policies.
This course heavily emphasizes the importance of applications. A discussion of the main theoretical issues and a systematic analysis of econometric tools are intended as prerequisites for the investigation of a series of problems that are of particular relevance for economic and financial applications. For this reason, the theoretical lectures will be complemented by a systematic series of financial and economic applications in the electronic classroom, based on the use of both the R programming language and Python, through which the student will be in the position to autonomously develop econometric analysis, and perform empirical studies on financial and economic topics.
Knowledge and understanding

• learn methods for estimating causal effects using observational data;
• learn to evaluate the regression analysis of others;
• be conversant with modern econometric theory and practice.
  Applying knowledge and understanding
• be able to prepare an independent empirical analysis using modern econometric techniques.
  Making judgements
  Students will be able to evaluate empirical econometric analyses and understand their applications in economics and finance.
  Communication skills
  Students will be able to discuss econometric methods and empirical findings using appropriate technical terminology.
  Learning skills
  Students will develop autonomous learning skills useful for advanced quantitative studies.

1. Regression Models: brief review of regressions, along with a few reminders of things from statistics and probability theory.
At the end of this section of the course the student will be able to:

• understand the nature and goals of econometric analysis, as well as the essential determinants of econometric models;
• recognize the different types of data (cross-sections, time series, pooled cross-sections, and panel) that are used in empirical analysis;
• specify a linear regression model;
• estimate a linear regression model by Method of Moments.
  2. The Geometry of Linear Regression.
  At the end of this section of the course the student will be able to:
• understand the geometric interpretation of the OLS;
• understand the implications of the Frisch-Waugh-Lovell theorem.
  3. The Statistical Properties of Ordinary Least Squares
  At the end of this section of the course the student will be able to:
• understand the concept of DGP;
• use the ordinary least squares method (OLS) to estimate the parameters of multiple regression models and to evaluate the goodness of a regression;
• derive the statistical and algebraic properties of the OLS estimators (unbiasedness and efficiency) and of their variances.
  4. Hypothesis Testing in Linear Regression Models
  At the end of this section of the course the student will be able to:
• test hypotheses about a single population parameter (the t test), testing hypotheses about a single linear combination of parameters, and deriving confidence intervals;
• test multiple linear restrictions;
• understand the difference between exact and asymptotic test.
  5 Confidence Intervals
  At the end of this section of the course the student will be able to:
• construct exact and asymptotic confidence intervals.
  6. Bootstrap Methods
  At the end of this section of the course the student will be able to:
• implement tests based on Bootstrap Methods.
  7. Instrumental Variable Estimation
  At the end of this section of the course the student will be able to:
• derive an instrumental variable estimator;
• test for endogeneous regressors.
  8. Generalized Least Squares and Related Topics.
  At the end of this section of the course the student will be able to:
• derive the GLS estimator;
• derive tests for both heteroskedasticity and autocorrelation.
  The course is based on lectures (56 hours) and on computer laboratory (20 hours). I will provide you with various assignments, probably nine of them, you will be under no obligation to hand them in. Nonetheless, students are strongly advised to work through the assignments as a study aid.

There is an online Blackboard test for all the students. Students must show to know the theory of the regression models; what happens when some of the hypothesis behind the regression model do not apply; how to estimate a regression model using an econometric software; how to use an estimated model for forecasting financial variables and for policy analysis. The final exam is based on an online Blackboard test composed by three sections: A) six True/False questions; B) six Multiple choice question; C) six questions on an estimated econometric model, this section is focused on the empirical application of the econometric methods. Part A) counts 20%, part B) counts 20%, and part C) counts 60% respectively of the final grade.
Students must demonstrate knowledge of regression models and econometric theory, as well as the ability to estimate and interpret econometric models using econometric software.

R. DAVIDSON-J. MACKINNON, Foundations of Econometrics, Ebook, 2022.

The course aims at introducing statistical techniques and models widely used in Finance in general, but with particular focus on option pricing. In the course different types of options will be introduced and, for each of these, the specific complexities that modelling such derivatives entail will be analysed.
A vast part of the course is dedicated to the introduction of stochastic processes which can be used to model underlying assets and consequently to the problem of calibration of such stochastic models from financial data using estimation methods such as maximum likelihood estimation and method of moments. Various tests of fitting to verify the goodness of fit of each stochastic process will be carried out.
The course will then provide an in depth overview of risk neutralization methods to pass from the statistical parameters to the risk-neutral ones and the application of Monte Carlo simulations to price options (both European and American).
The presentation of each topic will be accompanied by a demonstration on how to compute each problem through the use of the R/Python environment.
By the end of the course students are expected to be able to understand the complexities that evaluating different derivatives entail and to comprehend which model grants the most accurate results, based on the specific characteristics of the financial product that they have to evaluate. Students are also expected to be able to use R/Python to set the specific problems and to reach numerical results.

• Random number generation and variance reduction techniques.
• Calibration and estimation of financial models from the data using method of moments and maximum likelihood estimation.
• The main stochastic processes used to model stock prices in finance, such as the Geometric Brownian motion and Lévy processes.
• Black and Scholes formula, implied volatility and volatility smile.
• The problems arising if we assume normality of returns.
• Girsanov theorem and the risk neutral transformation (Esscher transform and mean correcting martingale).
• Introduction to stochastic calculus.
• Monte Carlo methods with applications to (European and American) option pricing.
• Fast Fourier transform method with applications to European option pricing under different stochastic processes.
• Longstaff-Schwartz method with applications to American option pricing.
• Greeks letters for individual options and for a portfolio of options.
• Introduction to liquidity.
• Introduction to Multi-Asset options and the problem of structuring the dependence between the various underlying assets.
  The course is highly focused on the use of the R/Python environment.
  Lectures with computer labs and classes. The classes will be held by Professor Lorenzo Oltolini.

Written exam: it will consist of a series of questions requiring straight to the point type of answers with a limited number of rows to answer available.

Slides and laboratory handouts will be distributed during the course and I will refer to some textbooks. These are references that are supportive information but are not required to follow:

• Stefano M. Iacus (2008), Simulation and Inference for Stochastic Differential Equations with R Examples, Springer New York.
• Stefano M. Iacus (2011), Option Pricing and Estimation of Financial Models with R, Wiley & Sons, Chichester.
• Wim Schoutens (2021), Lévy Processes in Finance: Pricing Financial Derivatives, Wiley Series in Probability and Statistics.
• Steven Shreve, Stochastic Calculus for Finance (Parts 1 and 2), Springer Finance.
• John Hull, Options, Futures, and Other Derivatives, Global Edition, 11th edition.

The objective of the course is to provide a good understanding of corporate financial policies. The best way to illustrate corporate finance is to list just a few questions that the course will try to answer: what determines the value of a corporation? How corporations decide their financing sources? Why does a company go public? Or decides to merge with another? Or raise capital? Or pay dividends? For each topic examined, the course will provide a theoretical framework for analyzing it and will review selected case studies. The course is useful for every professional position that deals with: corporate securities, corporate lending, asset management, consulting, private equity, corporations finance. Active participation is encouraged and highly desirable.
By the end of the course, students will be able to evaluate corporate decisions, identify and apply different methods and techniques, and assess the adequacy of the results based on theoretical and empirical studies.
Knowledge and understanding
Students will know the principal theoretical frameworks in corporate finance: the Modigliani–Miller propositions and their extensions incorporating taxes and financial distress costs; agency, signaling, and pecking order theories of capital structure and payout policy; discounted cash flow, adjusted present value, and multiples-based valuation methods; the economic rationale for mergers, leveraged buyouts, and private equity; and the mechanics and pricing of initial and seasoned equity offerings.
Applying knowledge and understanding
Students will be able to perform corporate valuations using DCF, APV, and multiples methods; to analyze a firm’s capital structure choice in light of the relevant theoretical trade-offs; to evaluate the financial terms and value implications of mergers and leveraged buyouts; and to interpret the pricing and long-run performance evidence on equity offerings.
Making judgments, communication skills, and learning ability
Students will develop the capacity to assess the adequacy of corporate financial decisions in real-world settings, integrating theoretical predictions with empirical evidence. They will be able to present and defend their analyses to both specialist and non-specialist interlocutors, and will have acquired the autonomous reading capacity needed to engage independently with the academic and professional finance literature.

1. Capital structure & Payout policies

• Modigliani and Miller (MM) capital structure irrelevance proposition;
• MM with corporate taxes and costs of financial distress;
• Agency theory of capital structure;
• Pecking order theory of capital structure;
• Signaling theories of capital structure;
• Managerial incentives and financial decisions;
• Payout policy.
  2. Corporate Valuation
• DCF valuation with the WACC method;
• The Adjusted Present Value method
• The flow-to-equity method
• Multiple Valuation.
  3. Mergers and acquisitions
• Motivation for engaging in mergers and acquisitions;
• Valuation and bidding issues;
• Gains to shareholders in target and bidding firms.
• Leverage buyouts and private equity.
  4. Raising equity financing
• IPOs
• SEOs
  Class lectures and discussion of case studies.

Option (a). Attending students can take a midterm exam and an end-of-course exam, each counting for 50% of the final grade. Students should attend at least 75% of the lectures to be considered attending. The exam structure for each of the two exams is the following: 1) Long numerical exercise/questions based on a Financial Times article for 10 points; 2) 2 short exercises for 6 points; 3) 2 case study questions for 8 points; 4) 7 multiple choice questions for 7 points; 5) class participation bonus max 2 points. Further details about the structure of each test is provided in Blackboard.
Option (b). Written final exam in any of the exam dates from May 2026 to February 2027. The exam structure is the following: 1) Long numerical exercise for 8 points; 2) questions based on a Financial Times article for 8 points; 3) 2 short exercises for 4 points; 4) 1 case study question for 5 points; 5) 6 multiple choice questions for 6 points. Further details about the structure of each test is provided in Blackboard.
Mock exams are available in Blackboard.
Evaluation criteria. Grades reflect precision and correctness in quantitative analysis, depth of conceptual understanding in open-ended and case study questions, ability to connect theoretical arguments to empirical evidence, and clarity and logical coherence of written exposition. Higher scores are awarded to students who show autonomous reasoning and the capacity to handle the ambiguity inherent in real-world financial decisions, rather than the mechanical application of formulas.

The textbook for the course is:
J. Berk-P. DeMarzo, Corporate Finance, Pearson International 6th global edition. Buy from VP
The following textbooks are also recommended:
Hillier-Grinblatt-Titman, Financial Markets and Corporate Strategy, McGraw-Hill, 2011 (2nd European ed.).
Phalippou, Private Equity Laid Bare, 3rd edition, Amazon, 2021.
The list of case studies used in the course will be made available on the first day of class.
Slides and articles will also be made available on the course web site on Blackboard.

The course provides students with an in-depth knowledge of derivative securities. We will cover the pricing of several types of options (on stocks, stock indices, currencies, futures), interest rate derivatives (bond options, interest rate caps and floors, swaptions) as well as credit derivatives. The course includes tutorials to apply the concepts outlined during the lectures.
As for the expected learning outcomes, at the end of this course students will be able to understand and apply the main models used in the industry to price derivative securities.

1. Options on stocks.
At the end of this section of the course, the student will be able to:

• Understand the stochastic behaviour of stock prices.
• Estimate the expected stock price at a future point in time.
• Apply the Black-Scholes-Merton model to price European options on non-dividend and dividend paying stocks.
• Use the Black's method to approximate the value of an American-style call option on stocks.
  2. Options on stock indices, currencies and futures.
  At the end of this section of the course, the student will be able to:
• Use index options to limit portfolio downside risk.
• Price European stock index options.
• Price European currency options.
• Price futures options using binomial trees.
• Price European futures options using the Black's model.
  3. Greek letters.
  At the end of this section of the course, the student will be able to:
• Understand the mechanics of delta hedging.
• Understand and estimate delta, gamma, theta, rho, vega.
  4. Volatility smile.
  At the end of this section of the course, the student will:
• Know how traders use the Black-Scholes model to extract volatility signals.
• Know how traders use the volatility surfaces as pricing tools.
  5. Numerical procedures.
  At the end of this section of the course, the student will:
• Know the underlying mechanics of Monte Carlo simulation.
• Know how to perform basic Monte Carlo simulations.
  6. Volatility estimation.
  At the end of this section of the course, the student will:
• Know how to estimate volatility based on rolling standard deviation of historical data.
• Know the concept of implied volatility and be able to estimate its level.
  7. Exotic options.
  At the end of this section of the course, the student will:
• Know several types of exotic options.
• Be able to apply numerical procedures to price exotic options.
  8. Interest rate derivatives.
  At the end of this section of the course, the student will:
• Know the mechanics of bond options, interest rate caps and floors, swaptions.
• Be able to price interest rate derivatives based on several pricing models.
• The Standard Market Model.
• Models of the Short Rate.
  9. Energy derivatives.
  At the end of this section of the course, the student will:
• Know the main derivative contracts written on energy.
• Know the main pricing models for commodities.
  This course will use lecturing for 70% and tutorials for 30%.

As for the assessment of the learning outcomes, students are expected to take a written test. The test usually consists of 3 questions, with three to four sub-questions for each question.
As for the grading criteria, course grades are set based on the evaluation of the individual questions. The final grade of the exam aggregates the grades assigned to the individual questions. The exam is written only. The test lasts between 60 and 90 minutes. The questions refer to concepts, examples, models dealt in the course and may also require to solve numerical problems.

Selected chapters from the text:
J. Hull, Options, Futures and Other Derivatives, Pearson, 2021 (eleventh edition), ISBN-10 978-0-13-693997-9 (chapters to be announced at the beginning of the class). Buy from VP
Supplementary material (e.g., slides and Excel files) will be posted on the class Blackboard website, available at http://blackboard.unicatt.it.

Conoscenza e comprensione
Il corso si propone di formare gli studenti alle competenze orali e scritte di livello B1/B2 del Quadro Comune Europeo di Riferimento per le Lingue relativamente a due ambiti del FOS (Français sur Objectifs Spécifiques): la comunicazione professionale e le relazioni internazionali.
Capacita' di applicare conoscenza e comprensione
Alla fine del corso, lo studente sarà in grado di comprendere varie tipologie di testi informativi e argomentativi: saggi, discorsi e conferenze sui temi trattati, articoli di stampa e trasmissioni televisive sull’attualità internazionale.
Abilità comunicative
Alla fine del corso, lo studente potrà esprimersi oralmente in modo chiaro e dettagliato su alcuni temi relativi alla comunicazione professionale in ambito internazionale e alle relazioni internazionali e potrà esporre il suo punto di vista su un tema di attualità. Riguardo all’abilità di produzione scritta, lo studente saprà riassumere un testo informativo o argomentativo, riformulare e tradurre dal francese brevi testi tratti da articoli di stampa e da siti internet di informazione.

La comunicazione professionale in francese nei contesti internazionali. Il francese lingua delle relazioni internazionali.
Revisione e approfondimento dei seguenti argomenti di grammatica: le frasi subordinate; il discorso indiretto; la formazione e l’uso del congiuntivo; la formazione e l’uso di gerundio e participio presente; la forma passiva del verbo; i pronomi relativi; i pronomi personali, i pronomi “en” e “y”; gli aggettivi e pronomi indefiniti.
Studio del lessico specifico della comunicazione professionale: ricerca/offerta di un posto di lavoro; pianificazione delle attività; relazioni gerarchiche e organigramma; riunioni di lavoro; eventi e conferenze.
Attività di comprensione scritta e orale su documenti autentici: conferenze, discorsi, trasmissioni televisive di attualità.
Attività di produzione scritta di testi brevi: lettera di motivazione, CV, mail a contenuto professionale, riassunto, traduzione dal francese.
Attività di produzione orale: presentazione di una rassegna stampa; analisi e commento di testi argomentativi (tipologia e tecniche retoriche).
Lezioni in lingua francese incentrate sulla presentazione dei contenuti del corso. Attività di comprensione e produzione scritta e orale con supporti e fonti multimediali (audio/video). Le lezioni si svolgono in aula e in presenza. La frequenza è vivamente raccomandata a tutti gli studenti.

La prova scritta (50% del voto finale) é composta da diverse parti : 1. Test morfosintattico e lessicale ; 2. Traduzione dal francese all’italiano di un testo giornalistico; 3. Riassunto. L’uso del dizionario monolingue e / o bilingue è ammesso solo per le prove di traduzione e riassunto.
Criteri di valutazione delle prove di traduzione e riassunto. La valutazione della traduzione prenderà in considerazione i seguenti aspetti : linguistico (comprensione della lingua francese e correttezza della traduzione) ; testuale (adeguatezza rispetto al genere e al contesto) ; stilistico (stile dell’autore e registro linguistico) ; terminologico (conoscenza e uso adeguato dei termini specialisitici) ; referenziale (destinatario ed elementi extralinguistici). Nella valutazione del riassunto si verificheranno i seguenti aspetti : chiarezza e correttezza formale; sintesi delle informazioni e degli argomenti.
L’esame orale (50% del voto finale) è suddiviso in due parti : 1. Presentazione di una rassegna stampa preparata dallo studente (25% del voto finale) ; 2. Discussione con il professore su uno o più testi scritti /audio / video di tipo argomentativo affrontati durante il corso (25% del voto finale) .
Criteri di valutazione della prova orale : nelle due parti dell’esame orale saranno valutate la conoscenza avanzata della lingua francese, la qualità dell’argomentazione, la gestione del tempo, la conoscenza dei testi e dei contesti culturali di produzione. In particolare, nella presentazione della rassegna stampa saranno valutati i seguenti punti: capacità di riferirsi ai testi scelti e di metterli in relazione tra loro, pertinenza delle risposte a domande formulate dal docente, approfondimento della riflessione sulla tematica scelta ; nella discussione sui testi argomentativi sarà valutata la presentazione dell’organizzazione argomentativa del testo (strutturazione in parti, distribuzione e tipologia degli argomenti, scelte sintattiche e lessicali).

Testi obbligatori:
M. Soignet, Le français des relations européennes et internationales B1 / B2 Objectif Diplomatie 2, Hachette Français Langue Etrangère, Paris, 2011 Acquista da VP
Una lista di ulteriori testi scritti / audio / video e di riferimenti bibliografici sarà illustrata dalla docente durante il corso e pubblicata nella pagina Blackboard del corso.
Testi consigliati:
Dizionario monolingue:
Le Petit Robert 2027 (ou éditions précédentes), Editions Le Robert, Paris.
Le Robert Maxi de la langue française, Editions Le Robert, Paris.
Dizionario bilingue:
R. Boch, Il Boch minore, Dizionario Francese-Italiano Italiano-Francese (Settima edizione o edizioni precedenti recenti), Zanichelli, Bologna.
Libro di grammatica:

• per studenti di madrelingua italiana :
  F. Bidaud, Grammaire du français pour italophones (versione cartacea o digitale), 4e édition, UTET, Torino, 2020. Acquista da VP
  F. Bidaud, Exercices de grammaire du français pour italophones (versione cartacea o digitale), 4e édition, UTET, Torino, 2021. Acquista da VP
  C. Mirabelli, Grammatica attiva della lingua francese. Fonetica - Morfologia - Sintassi - Esercizi + cd-audio, Hoepli, Milano, 2017. Acquista da VP
• per studenti di madrelingua non italiana:
  A. Akyuz, B. Bazelle-Shahmaei, J. Bonenfant, M.F. Orne-Gliemann, Grammaire du français B1/B2, collection Focus, Hachette FLE, Vanves, 2022. Acquista da VP

Il corso intende sviluppare e approfondire le competenze linguistico-comunicative a livello generale, per quanto riguarda le strategie di comunicazione interculturale, e a livello specifico nell’ambito sociopolitico ed economico. Obiettivo è il consolidamento di una competenza linguistica di livello B1/B2 del Quadro di Riferimento Europeo, con particolare attenzione alla trattazione di argomenti di attualità.
Conoscenza e comprensione
Al termine del corso, lo studente avrà acquisito una più approfondita conoscenza della lingua tedesca e del mondo germanofono e una migliore comprensione della cultura tedesca, della sua storia ed evoluzione, oltre che del ruolo del tedesco nel panorama linguistico europeo.
Capacità di applicare conoscenza e comprensione
Al termine del corso, lo studente avrà migliorato la sua capacità di interazione orale grazie alla preparazione e presentazione di argomenti selezionati (discussione, presentazione di progetti ecc.), e avrà perfezionato la competenza di comprensione e produzione di testi scritti, accompagnata da un ampliamento del lessico.

Attraverso lo studio approfondito delle strutture linguistiche, il corso intende introdurre alla cultura della Germania e dei paesi germanofoni, con particolare attenzione ai temi di attualità. Saranno trattati in particolare i seguenti argomenti:

• Cenni di storia della lingua tedesca;
• il ruolo del tedesco in Europa e le sue varianti nazionali (DACH);
• elementi di Landeskunde (cultura, tradizione e geografia);
• i moderni strumenti di comunicazione e di informazione;
• situazioni quotidiane (salute, natura, lavoro);
• cenni di storia e politica della Germania.
  Lezioni (in lingua tedesca) incentrate sulla trasmissione di contenuti e sull’interazione tra i partecipanti, in cui verrà dato ampio spazio alle discussioni. Le lezioni saranno tenute nel I semestre dal prof. Vincenzo Damiazzi, nel II semestre dalla prof.ssa Laura Balbiani. I materiali saranno messi a disposizione sulla piattaforma Blackboard.

La frequenza delle lezioni è vivamente consigliata, come per tutti i corsi di lingua.
L’esame finale consiste in una prova scritta e in una prova orale, incentrate sugli argomenti trattati durante il corso.
La parte scritta prevede la verifica delle competenze morfo-sintattiche e grammaticali mediante la scrittura di un testo ed esercizi di accertamento grammaticale; durante il colloquio sarà verificata la competenza comunicativa su temi trattati a lezione e su un argomento a scelta dello studente.

A lezione verrà utilizzato regolarmente il seguente testo:
AA.VV., Panorama Deutsch als Fremdsprache. B1. Berlin: Cornelsen 2017.
ISBN Kursbuch: 978-3-06-120523-2
ISBN Übungsbuch:978-3-06-120479-2
Informazioni attuali sulla Germania sono reperibili in:
AA.VV., Tatsachen über Deutschland, http://www.tatsachen-ueber-deutschland.de/de/inhaltsseiten-home/zahlen-fakten.html
Grammatica consigliata:
Monika Reimann, Grammatica di base della lingua tedesca. München: Hueber 1999.
Dizionario consigliato:
Luisa Giacoma / Susanne Kolb, Il nuovo dizionario di tedesco. Quarta edizione. Bologna: Zanichelli/Klett 2019.
Ulteriore bibliografia verrà indicata durante il corso.

Objetivo general:
El objetivo del curso es establecer las bases fonéticas, ortográficas y morfosintácticas de la lengua española desde una perspectiva contrastiva italiano/español.
Objetivos específicos:

• Adquisición de una competencia léxica y comunicativa que permita comprender y producir textos divulgativos, expositivos y argumentativos sobre temas de carácter general y específicos del sector de especialidad de los estudiantes.
• Desarrollo de las habilidades necesarias para desenvolverse en situaciones formales, expresar y defender el propio punto de vista, expresar acuerdo o desacuerdo.
• Distinguir y describir correctamente situaciones y experiencias.
  Resultados de aprendizaje:
• A final de curso, el alumno tendrá los conocimientos fonéticos y fonológicos suficientes para poder leer textos en lengua española de manera correcta.
• El alumno será capaz de comprender las ideas y argumentos principales de textos de carácter general escritos en lengua española, así como de determinados textos especializados del sector bancario.
• El alumno tendrá la capacidad de aplicar los conocimientos lingüísticos y pragmáticos adquiridos para crear diálogos formales en los que será capaz de defender su propio punto de vista, así como refutar los argumentos del receptor.

a. Contenidos gramaticales:

• Fonética y ortografía. Las reglas de acentuación.
• Artículos determinados e indeterminados.
• Género y número. Sustantivos y adjetivos.
• Pronombres personales sujeto, complemento directo e indirecto, reflexivos. La combinación de pronombres.
• Adjetivos y pronombres posesivos, demostrativos, indefinidos, relativos exclamativos e interrogativos.
• Los verbos auxiliares haber y ser.
• Los verbos ser, estar, haber (impersonal) y tener; oposición hay / está.
• Números cardinales y ordinales.
• Muy / mucho.
• Comparativos y superlativos.
• Principales verbos regulares e irregulares. Verbos reflexivos, pronominales e impersonales.
• Tiempos verbales del indicativo: presente, pretérito imperfecto, pretérito perfecto, pretérito indefinido, pretérito pluscuamperfecto, futuro y condicional.
• Perífrasis verbales de uso frecuente: ir a/pensar + infinitivo; volver a/ acabar de + infinitivo; estar a punto de + infinitivo y estar + gerundio.
• Verbos de obligación: haber/tener + que + infinitivo; deber (de) + infinitivo
• Preposiciones y conjunciones.
• Adverbios de lugar, tiempo, modo, cantidad, etc.
• Marcadores temporales de pasado y futuro.
• El imperativo (afirmativo y negativo).
  b) Adquisición del léxico básico para las exigencias comunicativas cotidianas y específicas del sector de especialización de los estudiantes.
• Saludos, despedidas y presentaciones.
• Países y nacionalidades.
• Descripción de personas y lugares.
• Profesiones y lugares de trabajo.
• Partes del día y acciones habituales.
• La vivienda y la oficina (cuartos, muebles y objetos).
• La ciudad (los lugares públicos).
• Horas, días de la semana, meses del año y estaciones.
• Entes, instituciones y productos financieros; el banco y la bolsa.
• Horas, días de la semana, meses del año y estaciones.
• Expresar gustos.
• Dar opiniones.
• Clases frontales, proyección de vídeos, ejercicios prácticos en el aula y en BB.
• Actividades de traducción de textos divulgativos del español al italiano y viceversa.
• Actividades de comprensión oral y escrita de textos auténticos de la especialidad de los estudiantes.
• Actividades de expresión oral, incluso sobre temas del ámbito de especialidad de los estudiantes.
• Los materiales de estudio son los mismos para los estudiantes que asisten a las clases y para los que no.

Se llevarán a cabo tanto una prueba escrita como una prueba oral.
La prueba escrita consiste en un test gramatical con ejercicios basados en los contenidos indicados en el programa (30/40 item).
La prueba oral consiste en una conversación sobre los textos contenidos en el material puesto a disposición de los estudiantes durante el curso y presentado durante las clases (indicado en la bibliografía). El estudiante deberá demostrar una correcta pronunciación, además de precisión gramatical y propiedad léxica. Asimismo, se tendrá en cuenta la correcta utilización de la terminología especializada presente en los textos.
El método de examen y los materiales de estudio son los mismos para los estudiantes que asisten a las clases y para los que no.

González, M., Martín, F., Rodrigo y C., Verdía, E. (2007). Socios 1. Curso de español orientado al mundo del trabajo. Libro del alumno. Barcelona: Difusión.
Otros materiales serán disponibles en Blackboard. No hace falta comprar ninguna “dispensa”.
Dizionari consigliati
AA.VV, Clave, Hoepli, Milano, 2007.
L. Tam, Dizionario Italiano-Spagnolo/Spagnolo-Italiano, Hoepli, Milano, 1997.
Odicino-Campos-Sánchez, Gramática española. Niveles A1-C2, UTET Universitaria, 2014.

Il corso ha come obiettivo il consolidamento e l’arricchimento di conoscenze a livello fonetico, morfosintattico e lessicale, finalizzate allo sviluppo dell’abilità di interazione, comprensione e produzione orale e scritta dell’italiano usato nella vita quotidiana, nel contesto accademico e nella formazione professionale. Le competenze previste si collocano a un livello B1/B2 secondo quanto indicato dal Quadro Comune Europeo di Riferimento per le lingue (QCER).
Particolare attenzione è data anche alla presentazione di aspetti della società e della cultura italiana, ponendo le basi per un confronto interculturale.
Pertanto, lo studente dovrà essere in grado di:
comprendere testi in lingua standard su argomenti inerenti allo studio, al mondo del lavoro e del tempo libero;
comprendere ed utilizzare le principali strutture morfosintattiche della lingua italiana;
produrre testi coesi e coerenti su argomenti di interesse personale, esponendo ragioni e fornendo spiegazioni su opinioni e progetti;
interagire in contesti comunicativi inerenti alla vita quotidiana, accademica e professionale;
esprimersi con pronuncia chiara e comprensibile;
comprendere ed utilizzare le principali strutture morfosintattiche della lingua italiana;
riflettere a livello metalinguistico sulle strutture grammaticali e morfosintattiche.
The course aims to consolidate and enrich knowledge at the phonetic, morphosyntactic and lexical levels, aimed at developing the skills of interaction, comprehension and oral and written production of Italian used in everyday life, in the academic context and in professional training. The expected skills are at a B1/B2 level according to the Common European Framework of Reference for Languages (CEFR).
Particular attention is also given to the presentation of aspects of Italian society and culture, laying the groundwork for cross-cultural comparison.
Therefore, the student should be able to:
understand texts in standard language on topics related to study, work and leisure;
understand and use the main morphosyntactic structures of the Italian language;
produce cohesive and coherent texts on topics of personal interest, stating reasons, giving explanations and expressing opinions and plans;
interact in communicative contexts inherent in daily, academic and professional life;
express themselves with clear and understandable pronunciation;
understand and use the main morphosyntactic structures of the Italian language;
reflect at the metalinguistic level on grammatical and morphosyntactic structures.

Attraverso un approccio orientato all’azione, all’interazione e alla collaborazione tra studenti si propongono attività mirate alla comprensione, all’analisi e alla produzione di differenti generi comunicativi in contesti quotidiani e correlati al mondo dello studio e del lavoro, scoprendo e attivando strategie per l’apprendimento autonomo della lingua.
Il corso è organizzato in 30 ore di lezioni interattive in aula, che si svolgono durante il secondo semestre, e prevede i seguenti contenuti:
approfondimenti sulla discriminazione e produzione dei fonemi e delle strutture ritmico-intonative della lingua italiana;
lessico di base e settoriale;
approfondimenti di tipo morfologico e sintattico;
attività di comprensione, interazione e produzione orale e scritta relativamente a contesti di vita quotidiana, accademica e professionale.
La didattica si sviluppa richiedendo la partecipazione attiva degli studenti con lavori individuali, a coppie e/o in gruppi e lo studio autonomo monitorato sulla piattaforma di apprendimento del corso. Tutti dettagli saranno forniti dai docenti in aula.
Si consiglia l’utilizzo della Grammatica pratica della lingua italiana, di Susanna Nocchi, Alma edizioni.
Through an approach oriented to action, interaction and collaboration, students will be engaged in activities aimed at comprehension, analysis and production of different communicative genres in everyday and work-related contexts, in order to discover and activate strategies for autonomous language learning.
The 30-hours course is organized into interactive classroom lectures, which take place during the second semester, and includes the following content:
insights into the discrimination and production of the phonemes and the rhythmic-intonative structures of the Italian language;
basic and specialised vocabulary;
morphological and syntactic insights;
oral and written comprehension, interaction and production activities related to everyday, academic and professional life contexts.
The teaching methodology requires active student participation through individual work, pair work, and/or group work as well as monitored independent study on the course learning platform. All details will be provided by the instructors in class.
The use of Grammatica pratica della lingua italiana, by Susanna Nocchi (Alma edizioni) is recommended.

L’esame è composto da:
una prova scritta a computer che consiste in: un esercizio di comprensione orale; esercizi di comprensione di testi scritti (risposte a scelta multipla e vero/falso); test di grammatica (cloze); test di comprensione delle funzioni e strutture comunicative.
una prova orale che consiste in: una presentazione di sé, una presentazione su una tematica scelta dallo studente e legata al Corso di Studio (4 minuti), una breve interazione con la docente sulle tematiche affrontate nel corso di lingua italiana (3 minuti). Criteri di valutazione:
efficacia espositiva e comunicativa
accuratezza morfosintattica
padronanza del lessico
Si è ammessi alla prova orale solo dopo aver superato la prova scritta. Una volta superata la prova scritta, è indispensabile concludere l’esame con la prova orale nel medesimo appello.
La valutazione finale dell’esame è un voto in trentesimi.
The exam consists of:
a written test on computer comprising: a listening comprehension exercise; reading comprehension exercises (multiple-choice and true/false); grammar test (cloze); and a test of communicative functions and structures;
an oral test comprising: a self-presentation, a presentation on a topic chosen by the student and addressed in the Degree Programme (4 minutes), a short conversation with the lecturer on topics covered in the Italian language course (3 minutes).
Assessment criteria are as follows:
effectiveness in presentation and interaction
grammatical accuracy
lexical mastery
Students are admitted to the oral test only after passing the written test. After passing the written test, students must take the oral test within the same appello.
The final mark is graded on a scale of thirty points.

The course takes an in-depth look at several fundamental aspects of monetary economics. Specifically, it addresses the main issues in monetary theory, the transmission channels of monetary policy to the real economy, the strategy and the instruments used in modern central banking, and the more recent developments related to the unconventional monetary policies. The course provides also an overview of the main features of the European Economic and Monetary Union, focussing on the interaction of fiscal and monetary policy in the EMU.

Lectures supplemented by seminars on special topics upon request of the class attendants.

2 hours written paper, made of 4 problems (8 points each, max 32) on theoretical issues, formal proofs of propositions and applications (exercises), discussion of monetary policy topics in variable proportions. Accurate writing, sharp arguments, analytical skills and ability to adress issues coming from the public debate will be equally appreciated.

P. Bofinger-E. Mayer, Monetary and fiscal policy interaction in a closed economy, (Blackboard).
P. Bofinger-E. Mayer, Monetary and fiscal policy interaction in the Euro Area with different assumptions on the Phillips curve, Open Economy Review (2007), 18: 291-305 (Blackboard).
A. Baglioni, Monetary policy implementation, Palgrave Macmillan, 2024
S. Buttet-R. Udayan, A Simple Treatment of the Liquidity Trap for Intermediate
Macroeconomics Courses, Journal of Economic Education (2014), 1:36-55 (Blackboard)
P. De Grauwe, Economics of Monetary Union, 13e, Oxford University Press, 2020.
J-C. Poutineau-G. Vermandel, A Primer on Macroprudential Policy, Journal of Economic Education (2015), 1:68-82 (Blackboard)
A special reading list of key publications (mainly scientific articles) will be uploaded on Blackboard.
Lecture notes and slides will also be available on Blackboard.

This introductory course aims to illustrate the policy dynamics and the main features of the legal framework provided by European financial regulation. After briefly reviewing the economics of financial systems and the rationale of their regulation, the course discusses the principles adopted by the European Union (EU), both in general terms and focusing on selected issues, also in light of the recent crises.
At the end of the first part of the course, the student will be able to (1) understand the rationale of financial markets regulation, both from a theoretical perspective and concerning the actual EU regime; (2) assess the role of law in promoting financial market development and integration; and (3) be acquainted with the institutional structure of EU financial regulation, from the perspective of both rule-making structure and enforcement.
At the end of the second part of the course, the student will understand the rationale and evaluate, from a law and economics perspective, the EU financial regulations related to the following topics: (1) capital raising and disclosure; (2) legal strategies against market abuses. (3) corporate governance and takeovers; (4) investment services provision and investor protection; (5) the EU Banking Union.

The institutional structure of the financial system. Transaction costs, asymmetry of information, and differences in preferences in the circulation of monetary resources.
The rationale for regulating the financial system. The economic approach and the Coase Theorem. Public choice and regulatory capture. Commutative and distributive justice in the regulation of the financial system.
The main features and the institutional structure of EU financial regulation.
Capital raising and mandatory disclosure. The role of disclosure and the rationale for mandatory disclosure. Prospectus regulation and the disclosure to the secondary market. The enforcement of mandatory disclosure. Gatekeepers, public enforcement, and prospectus liability.
Market abuse regulation. The abuse of inside information and market manipulation. The enforcement of market abuse regulation. The role of the Court of Justice of the EU and the European Court of Human Rights.
Corporate governance. Agency problems and public companies. Legal strategies for companies with dispersed and concentrated ownership. Take-overs and mandatory bid.
Investment services. The function of investment services. Banks and investment firms. Investor protection and conduct of business rules. Legal strategies for investor protection: from disclosure to product governance. Public and private enforcement.
The EU Banking Union. The euro crisis and the establishment of the Banking Union. The Single Supervisory Mechanism and the role of the European Central Bank. The management of banks’ crises and the Single Resolution Board. The European Deposits Guarantee Scheme.
Class lectures and discussions. Active participation in class discussions is highly recommended.

Oral exam. As the exam is designed to evaluate the knowledge of the topics, analytical and critical skills, and mastery of technical language, students are encouraged to identify problems to which the legal provisions are intended to respond and present the content of this fundamental legal response.

The textbook is J. Armour et al., Principles of Financial Regulation, Oxford University Press, 2016. Buy from VP
The relevant EU law may be found at the following address: http://eur-lex.europa.eu/en/index.htm.

This course provides the students with key quantitative tools for the analysis of financial markets and for the study of optimal decisions made by rational agents. We will examine a set of models that describe the dynamics of asset values under uncertainty. The common thread will be the principles of absence of arbitrage and of market completeness. We will then investigate the technical nature and the economic/financial nuances of the solutions to optimization problems that are associated with rational decision making. We will then carefully study the dynamics of asset values exposed to market risk, as well as to interest rate risk, with a particular focus on risk premia. Theory will be constantly exemplified with classroom applications.
At the end of the course, the student will be familiar with a series of models describing the dynamics of financial asset prices in the presence of different sources of risk. The student will be able to employ these models for asset pricing purposes, as well as for asset allocation decisions.

One-period financial markets
At the end of this part of the course students will be able to:

• construct investment strategies and spot first- and second-type arbitrage opportunities;
• associate the no-arbitrage assumption with the existence of a risk-neutral probability measure;
• relate the concept of market completeness to the one of payoff profiles’ replication;
• find no-arbitrage prices for claims that provide given payoff profiles.
  Optimization techniques for economics and finance
  At the end of this part of the course students will be able to:
• properly set up optimization problems related to the unconstrained/constrained objectives of rational agents;
• work out either paper-and-pencil or numerical solutions of such problems;
• appreciate the underpinnings of the solution techniques employed;
• grasp the economic/financial interpretation of the solutions obtained.
  Asset values: levels and dynamics
  At the end of this part of the course students will be able to:
• comprehend the quantitative nature of market risk as well as of interest rate risk;
• understand the equilibrium return on an asset exposed to one of such risks;
• understand the equilibrium price of a non-underlying asset exposed to market risk;
• understand the equilibrium price of a fixed-income asset exposed to interest rate risk.
  The course is based on frontal teaching with classroom applications of the theory covered.

The valuation mark is based on a final written exam, which is made of open and/or multiple-choice questions, aimed at assessing the understanding the theory and the applications of the topics studied. The score awarded for each question is specified in the text of the exam. The total score obtained in the written exam, rounded to the closest integer (i.e. ceiled if the decimal part is at least 0.5, floored otherwise), will be the final mark of the course. The “cum laude” mention will be awarded if the rounded score is at least 31 and the student shows complete mastery of the subject. A mock exam, representing the format of the final written exam, is published on Blackboard.

Lecture notes made available on Blackboard.
A. Sbuelz-A. Tarelli, Quantitative finance: Problems and solutions, Giappichelli, 2021. Buy from VP
A. Battauz-F. Ortu-F. Rotondi, Arbitrage theory in discrete and continuous time, World Scientific, 2026.
K. Sydsaeter-P.J. Hammond, Mathematics for economic analysis, Prentice-Hall, 1995. Buy from VP

This course provides a general overview on the financial markets and investment risk management. It emphasizes the theoretical and practical understanding of the concepts of financial markets and will get the students acquainted with the tools associated to risk management.
By the end of the module, students will be able to:
Analyze and discuss the main concepts and tools of financial markets and risk management.
Define what a financial asset is and the principal functions of financial assets. Determine the various ways to classify financial markets and describe the participants in financial markets.
Have an overview of the securities & derivatives market as well as the foreign exchange market.
Risk concepts will be approached according to the expected utility theory but also the behavioural finance angle.
Students will have an overview on risk management and financial risk management tolls will be explained.
Contribution to programme objectives:
This course is designed to contribute to the programme by giving students an overview of the main aspects of financial markets and investment risks. The course reflects on the issues of ethics and responsibility in financial markets.

The financial environment, stocks and bonds, derivatives, market efficiency, technical analysis, fundamental analysis, risk assessment, risk management, diversification, behavioural finance, options, investment companies, risk metrics, asset allocation, portfolio theory, equilibrium models in finance, international finance risks.

• Lectures will be presented and explained to the students as in “Slides Presentation”.
• Class Discussion on: Case studies, Videos
• Class discussion on Real & Practical Examples

The exam of the course will be a written exam (final exam) on the general part of the course which consists of open questions requiring critical thinking.
In the written exam, students will have to demonstrate knowledge of the key concepts of the course. In the oral presentation, they will have to demonstrate an ability to apply theoretical knowledge in real life situations.
The open questions in the written exam will be of equal weight.

Slides provided by the instructor.
Investments Global Edition (2014), by Z. Bodie, A. Kane and A. Marcus, McGraw Hill
Foundations of Financial Markets and Institutions (2013), Fabozzi, F., Modigliani, F. and Jones, F., Harlow: Pearson Education
Financial Markets and Institutions (2015), Mishkin, F. and Eakins, S.G., Harlow: Pearson Education

This course covers two main topics related to secondary markets from an empirical standpoint: price efficiency and market liquidity. The following indicators are discussed: market efficiency coefficient and autocorrelation, r-squared, delay in the price discovery process, bid-ask spread, market impact.
Students attending the class may perform an empirical project dealing with a market microstructure topic, on a voluntary basis, working all alone or in small groups.
As for the expected learning outcomes, at the end of this course students will know the main practical implications of market microstructure; will be able to evaluate secondary market quality (level of price efficiency, degree of information asymmetry, market liquidity); will be able to set up and perform empirical analyses based on historical market data (prices, trading volumes, bid-ask spreads).

1. The microstructure of financial markets.
At the end of this section of the course, the student will be able to:

• Know how and why do people trade.
• Identify suppliers and demanders of liquidity.
• Estimate indicators of market quality: efficiency, liquidity and price discovery.
  2. Weak form efficiency
  At the end of this section of the course, the student will be able to:
• Estimate informational efficiency.
• Recognize sources and consequences of return autocorrelation.
• Apply price efficiency tests to microstructure issues.
• Collect market data for empirical analyses.
• Use the Thomson Reuters Datastream database.
• Use the Bloomberg database.
  3. Semi-strong form efficiency.
  At the end of this section of the course, the student will be able to:
• Perform an event study.
• Apply the event study methodology to news releases and other events.
  4. Market liquidity.
  At the end of this section of the course, the student will be able to:
• Estimate bid-ask spread and price impact.
• Identify the determinants of bid-ask spread and price impact.
• Know how market makers set the bid-ask spread.
• Know how to assess the best execution of trades
  5. Trading with asymmetric information.
  At the end of this section of the course, the student will be able to:
• Isolate the information content of order flow.
• Estimate the adverse selection component of the spread.
  6. Liquidity and stock returns.
  At the end of this section of the course, the student will be able to:
• Identify liquidity costs and risks.
• Estimate wealth effects associated with microstructure events.
  Lectures.

As for the assessment of the learning outcomes, students are expected to take a written test. The test usually consists of 3 questions, each one including three to four sub-questions.
As for the grading criteria, course grades are set based on the evaluation of the individual questions. The final grade of the exam aggregates the grades assigned to the individual questions. The exam is written only. The test lasts between 60 and 90 minutes. The questions refer to concepts, examples, models, methodologies, empirical analyses dealt in the course and may also require the solution to numerical problems.

Selected chapters from the following texts:
J. Hasbrouck, Securities Trading: Principles and Procedures, manuscript, 2023 (chapters to be announced at the beginning of the class)
T. Foucault-M. Pagano-A. Röell, Market Liquidity, Oxford University Press, 2023 (second edition), ISBN 9780197542064 (chapters to be announced at the beginning of the class)
J.Y. Campbell-A.W Lo-A.C. Mackinlay, The Econometrics of Financial Markets, Princeton University Press, 1997, ISBN 9781400830213 (chapters 2 and 4)
Other relevant materials (slides, data, papers, etc.) will be posted on the class website, available through the Blackboard learning platform.

The course is designed to offer students an in-depth study of the main techniques of risk management employed by financial intermediaries, as well as focusing on prudential regulations in terms of risk. The course also provides students with the professional competence required by credit risk management in banks and other financial intermediaries, therefore it deals with the main theoretical models that have been developed and are used in the banking sector.

Objectives that students must have achieved before being admitted onto the course
Before being admitted onto the course students must:

• be able to perform basic security valuation calculations;
• understand the significance of the main items in the financial statements of banks;
• be able to calculate the price, return, duration and convexity of bonds and calculate spot rates and forward rates;
• be able to calculate the basic descriptive statistical measures (central tendency, variability);
• be able to resolve linear equation systems using matrix algebra;
• be able to calculate and interpret the co-variance and to perform a basic analysis of variance;
• understand the main symmetric and asymmetric derivative instruments as well as their fundamental valuation methods;
• understand the prudential regulation in the banking sector.
  Interest rate risk
  By the end of the section students should be able to:
• understand the reasons for interest rate risk in banks;
• identify assets and liabilities that are sensitive (non-sensitive) to variations in interest rates;
• calculate the various forms of gap (marginal and cumulative) and apply them when estimating the impact of variations in interest rates on bank interest margins;
• understand the pros and cons associated with the repricing gap model;
• calculate and apply the duration gap model, identifying its pros and cons;
• know how to map out financial instrument cash flows (cash flow mapping);
• understand the significance of internal transfer rates and how they are used.
  Liquidity risk
  By the end of the lessons students should be able to:
• understand the reasons for the presence of liquidity risk in banking;
• understand the main techniques for measuring liquidity risk (market and funding liquidity risk);
• calculate liquidity gap and liquidity risk indicators;
• understand the main liquidity risk management strategies.
  Market risk
  By the end of the lessons students should be able to:
• understand the concept of Value at Risk (VaR);
• know how to calculate the VaR of a position or of a portfolio of positions using the variance/co-variance (parametric), historical simulation and Monte Carlo approaches;
• understand the logic and application of stress tests and/or the problems of evaluating (backtesting) VaR models;
• understand the expected shortfall concept and the fundamentals of the extreme value theory;
• know how to use the VaR concept for market-risk budgeting, for the calculation of performance adjusted measures and for capital allocation.
  Credit risk
  By the end of the lessons students should be able to:
• understand the causes of credit risk;
• understand the method of carrying out linear discriminant analysis and regression models;
• estimate the probability of default based on corporate bond spread;
• understand the Merton's model and the KMV model methodology;
• understand the factors that influence the recovery rate in case of default and the methods of estimating it;
• understand the significance of rating and the method used for assigning it, understand the rating migration process;
• understand the concept of the VaR of a credit exposure portfolio;
• understand the CreditMetrics™ and CreditRisk+ approaches;
• understand the merits of different portfolio approaches to estimating credit risk;
• know how to calculate the impact of credit risk quantification for pricing credit exposures and for estimating risk adjusted financial performance measures.
  Operational risk
  By the end of the lessons students should be able to:
• understand the concept of operational risk, and identify its components and types;
• understand the specificity of operational risk compared with financial risk;
• understand the method of identifying risk factors and the main approaches to measuring expected and unexpected losses.
  Regulatory capital requirements
  By the end of the lessons students should be able to:
• understand the objectives and general structure of the prudential control structure on banks;
• understand the solutions that can be adopted for the so-called pillar one regulation (standard approach, internal-rating based approach);
• understand the role of the so-called pillar two and three (role of supervisory authorities and of market discipline)
  understand the concepts of Risk Appetite Framework (RAF), Supervisory Review and Evaluation Process (SREP), Internal Capital Adequacy-and-Assessment-Process (ICAAP), Internal liquidity Adequacy-and-Assessment-Process (ILAAP)
  Capital management and value creation
  By the end of the lessons students should be able to:
• understand the objectives, strategies and instruments of capital management;
• understand the capital allocation process;
• calculate the main risk adjusted measures (Raroc, Rorac etc.);
• understand the organisational and operational implications of capital management;
• estimate the cost of capital and the value creation relationships.
  The course consists of classroom lessons, practical exercises and seminars given by outside experts.
  Students may use the ProBanker (www.probanker.com) simulation sofware for some sections of the course.

The exam is based on a final written test, based on both multiple choice and open ended questions, which covers the entire program. Both students and the teacher will be entitled to request an oral supplement to the written test.

Slides from the lessons and other material (in particular, articles and working papers), which will be made available on the Blackboard platform.
Resti-A. Sironi, Risk Management and Shareholders' Value in Banking, John Wiley and Sons, 2007 (ISBN: 978-0-470-0298-7).