CALCOLO DELLE PROBABILITA': APPLICAZIONI AZIENDALI E FINANZIARIE
- Overview
- Assessment methods
- Learning objectives
- Contents
- Full programme
- Bibliography
- Delivery method
- Teaching methods
- Contacts/Info
The basic notions of probability given in the "Matematica” and “Matematica per l'economia e la finanza" courses
Written exam (theory and exercises). Oral exam optional.
The course can be seen as a continuation of the topics in probability seen in the Matematica per l'Economia e la Finanza course and covers the fundamental concepts of financial risk measurement.
Value at risk, conditional value at risk, risk measures and optimization
Basic notion in probability
Risk measures
Value at risk
a. examples in the case of discrete and continuous distributions
b. Properties
c. VaR calculation for portfolios (under normality assumptions)
d. Limits of VaR
Coherent risk measures
a. Axiomatic definition
b. Acceptance sets and representation of coherent risk measures
c. Conditional VaR: definition, examples and coherence
d. Portfolio optimization
No textbook is officially adopted. Students' notes plus additional material posted by the instructor.
Students can refer to the following book
Mathematical Finance: Theory Review and Exercises
From Binomial Model to Risk Measures - Emanuela Rosazza Gianin, Carlo Sgarra Springer
Class lectures
This course can be seen as a continuation of the Probability topics presented in the Matematica per l'Economia e la Finanza course.