Student guide Faculty of Economics A.Y. 2008/09

Information Technology for Finance
Lesson timetable, Notice board, Additional material
Lecturers
CAGGIA ANTONIO
LARUCCIA EMILIANO
Aim of the course
The learning objective is to familiarise students with the quantitative methods employed for analysing the dynamics of financial markets, putting together share portfolios, and evaluating risk and effective or potential performance.
The course is divided into four parts. The first covers the fundamental elements of quantitative processing of market data for supporting financial decision-making. The second illustrates the various methods of Portfolio Insurance, while the third studies more in depth the issues relating to construction of a portfolio, with particular regard to approaches based upon comparisons with reference benchmarks. Finally, the fourth part of the course is devoted to risk control within the sphere of Asset Management.
The teaching method favours a "hands on" approach, with practical activities using software programs such as VBA and Excel  for the resolution of real-world example problems.
Syllabus
1. Fundamentals
1.1         Tools for financial analysis
1.2         Forecasting the returns of financial activities
1.3         Risk measures
1.4         Simulation methods
1.5 Principal types of bonds and valuation models
1.6 Risk indicators for bonds: duration and convexity
1.7 The term structure of interest rates
1.8 Options
              
2. Portfolio Insurance techniques
2.1 Buy and Hold Strategy
2.2 Protective Call and Protective Put Strategies
2.3 Constant Proportion Portfolio Insurance
              
3. Building and managing a portfolio of financial activities
3.1         Portfolio diversification
3.2 The CAPM model
3.3 The efficient frontier
3.4 Classic problems in portfolio optimisation
3.5 The Black-Litterman approach
3.6 Expected returns under “equilibrium”
3.7 Evaluating the consistency of the scenario
3.8 Portfolio building and diversification of risk
              
4. Risk Management
4.1 Risk Management within Asset Management and in the Investment Bank
4.2 The benchmark as an evaluation parameter
4.3 A risk evaluation model for Asset Management
4.4 Problems in the implementation of a risk management system
4.5 Analysis models for simulating a shock to the market.
4.6 Risk Budgeting
Examinations
Details concerning the examination and the reading list will be posted on the university notice board.