Workshop in Financial Risk Management, in collaboration with Prometeia

November 8th, 2019

Francesco Nisi:  IFRS 9, Stress testing, ICAAP: a comprehensive framework for PD calculation

November 15th, 2019

Mattia Raudaschl: Managing financial risks in the banking industry through an active ALM & Treasury approach

November 22nd, 2019

Selene Comolli: An economic capital measurement approach for commercial banks.

 

Presentation by Dr Claudio Impenna, Vice Capo del Servizio Supervisione mercati e sistema dei pagamenti, Banca d’Italia

May 27, 2020 at 3.00PM

Title: The supervision on markets and payment systems - Ongoing innovations and role of the central bank

 

Lectures on Quantitative Finance by Prof. Simone Scotti (Université Paris Diderot-Paris 7)

Monday 06-05, 14:30, D5-002
Tuesday 07-05, 12:00, D6-015

Title: Don't panic, but if you panic, panic first! Self-exciting feature in Finance

Abstract: The analysis of financial markets, along with the study of related economic time series, represents an increasing field of research and development of effective applications, from the stochastic processes, as well as from the statistic and computational point of views. We will specialize our analysis on a particular feature of financial markets, namely the existence of jumps' cluster.

From a  mathematical point-of-view, we will first introduce Poisson processes and then Hawkes processes. We will show that the self-exciting structure of Hawkes processes can easily explain some features exhibited by financial data. We will also introduce the branching processes (CBI) showing that they can be seen as a natural extension  of Hawkes processes. We will show that this class of models has very nice properties from computational as well as from analytical point of view, particularly by exploiting the Dawson-Li representation.

 

Lecture on Quantitative Finance by Prof. Elisa Alos (Pompeu Fabra University)

6 december, 2018 12-13.30 room D6/004

Title: How to find a suitable stochastic volatility model?

Abstract: In order to construct models that allow us to describe the complexity of real market data, it is important to develop tools that allow us to identify the class of models that are able to generate the desired behavior. In this talk, we will see how several properties of the implied volatility surface can be 'translated' into properties of the Malliavin derivative of the corresponding stochastic volatility model. This will give us a tool to identify the class of models that can reproduce these properties. In particular, we will see that the observed blowup of the ATM implied volatility skew can be described by fractional volatilities with Hurst parameter $H<1/2$. This observation has lead to the recent development of rough volatility models

 

Lecture on Quantitative Finance by Prof. Andrea Consiglio (University of Parlermo)

14 November 2018, 12-13.30 Room D5 113 

Title: Risk management for sovereign financing within a debt sustainability framework

Abstract: The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing decisions in the presence of macroeconomic, financial, and fiscal risks. We optimize the maturity of debt instruments to trade off borrowing costs with refinancing risk. Risk is quantified with a coherent measure of tail risk of financing needs, conditional Flow-at-Risk. A constraint on the pace of reduction of debt stocks is also imposed, and we model the effect of debt stocks on the yield curve through endogenous risk and term premia.

On a simulated economy, we show that the cost-risk and flow-stock trade-offs embedded in issuance decisions are key determinants of the evolution of debt dynamics and are economically significant. Comparing three alternative optimizing strategies and some simple fixed-issuance rules, we also draw lessons on when and why optimizing matters the most. This depends on the risk tolerance level, the size, cost, and maturity of legacy debt, and the sensitivity of interest rates to debt.

Our model quantifies thresholds for the minimum level of refinancing risks and the maximum pace of debt reduction that a sovereign could reach given its economic fundamentals. Going beyond those thresholds is only feasible through adjustments of gross financing needs, and an extension of the baseline model identifies the hot spots for these adjustments, computing their minimum size and optimal timing. Our findings inform policy decisions concerning both official sector borrowing and public finance, with a focus not only on minimizing interest payments but also on managing refinancing risks and increasing debt dynamics.

 

Workshop in Financial Risk Management (in collaboration with Prometeia)

Mattia Raudaschl – Manager, Prometeia

November 7, 2018 - time 14.30-18.30 – room D6/011

“Managing financial risks in the banking industry. The role of internal transfer rate”

Stefano Barozzi – Manager, Prometeia

November 14, 2018 - time 14.30-18.30 – room D6/011

“Managing liquidity risk in the banking industry”

Pierpaolo Bissoli - Senior Manager, Prometeia

November 21, 2018 - time 14.30-18.30 – room D6/011

“Credit risk Management, macro-prudential policies and IFRS9”

 

 

Inaugural Lectures MSc in Finance and Risk Management - School of Economics and Management Academic Year 2018/2019

26 October 2018 at 15.30 Novoli Aula Magna D6 0.18

PROGRAM

15.30 Prof. Dr. Pablo Koch-Medina, Professor of Finance and Insurance and Director Center for Finance and Insurance, University of Zurich

Title: Why finance matters in insurance?

16.30 Luca Fiammengo, Senior Partner Prometeia

Title: Risk, Wealth and Performance Management

17.30-17.45 Coffee Break

17.45 Elisa Letizia, Phd trainee ECB - Phd candidate SNS

Title: Opportunities for master students & graduates at the ECB

18.15 Dr. Daniele Tantari, Scuola Normale Superiore

Title: Macroscopic Structures in Financial Networks

.

Event: "The OMT/Gauweiler Saga and the Right to the Last Word. Should Monetary Policy be under Judicial Review?

May 10th, 2017 

Guest Speaker: Pietro Faraguna  (post-doc Luiss Guido Carli University)

 

Azimut Presentation

April 6th, 2017 10.00 a.m., Room D4/009

Azimut Capital Management SGR Spa excellence in asset management, wealth planning and corporate advisory will present its company and projects to the students. Interviews for executive assistant will be also possible. 

 

Lectures on Quantitative Finance by Prof Klaus Schredelseker, Emeritus Professor at University of Innsbruck

May 11-12th, 2017 

10.00-13.00 Room D5-110

Financial Analysis and Effficient Markets 

12.00-14.00 Room D6-006

Information Economics Applied to Financial Markets

 

Lectures by Prof Claude Martini (Zeliade Founder and CEO, INRIA reseacher) "The Jupyter revolution"

May 22th, 2017 

IPython notebooks (now Jupyter notebooks) have been created at Berkeley 5 years ago and are now ubiquitous in data science. They allow to mix scientific markup and code to create executable documents, and to share and disseminate reproducible pieces of research. Notebooks are ideal for student projects and collaboration within a research group. In this talk I will illustrate the whole potential of notebooks and I will show their usage at my fintech company, Zeliade Systems, where we have designed the Zanadu notebooks platform in particular to promote notebooks based collaboration between academic labs and the industry.

 

Cycle of Lectures on Finance and Investments

October 21, 2015

Lecture 1 : A framework for understanding financial bubbles and crises

October 28, 2015

Lecture 2 : Markowitz was wrong! Dealing with risk

November 4, 2015

Lecture 3 : Applying financial theory to investment management: a practitioner's view

November 11, 2015

Lecture 4 : Improving the investment process: lessons from behavioural finance

All Lectures : 4.15-5.45 p.m.

venue Room D6/006

 

Lectures on Quantitative Finance by Prof Eckhart Platen University of Technology, Sydney

May 7-8th, 2015 

May 7 : Numerical Solutions of Stochastic Differential Equations with Jumps in Finance

10.00-12.00 Room D6/105

May 8 : A Benchmark Approach to Finance

10.00-12.00 Room D6/013

 

Lectures Prof Klaus Schredelseker University of Innsbruck

May 5-6th, 2015 

May 5 : Financial Analysis and Efficient Markets

12.00-14.00 Room D6/006

May 6 : Information Economics applied to Financial Markets

12.00-14.00 and 14.00-16.00 Room D6/102

 

Older Events

•  Dr Matteo Lombardo : CFA Society Italy Presentation March 10th, 2.30 p.m. Room D6/105
•  February, 2015 - ACE MANAGER 7th International Business Game Presentation
•  December 2014, Workshop - Dependence in Risk Measurement and Risk Management
•  May 2014, Lecture - Financial derivatives and the Monte dei Paschi affaire
•  April 2014, Workshop - Introduction to Swap contracts
•  April 2014, Seminar - Corporate Governance of Russian and Italian Listed Companies: A Comparative Analysis
•  April 2014, Lectures - Prof. Klaus Schredelseker
•  March 2014, Workshop - Advanced Corporate Finance
•  October 2013, Workshop - Insights on actuarial practice
•  April 2013, Mini Course - Prof. Paul Embrechts -  First GEOX week on Risk Management
•  March 2013, Lessons - Prof. Kose John - Corporate Governance and Financial Institutions
•  March 2013, 5th Florence-Ritsumeikan (FLORIT) workshop
•  Sept 2012, Inaugural Workshop