You are here: Home > Study > Course units, transferable skills, MOOCs > Course unit catalogue > 2024/2025 Models of Financial and Insurance Risk Management

79041 - Models of Financial and Insurance Risk Management

Academic Year 2024/2025

  • Docente: Paolo Foschi
  • Credits: 6
  • SSD: SECS-S/06
  • Language: Italian
  • Teaching Mode: Traditional lectures
  • Campus: Rimini
  • Corso: Second cycle degree programme (LM) in Statistical, Financial and Actuarial Sciences (cod. 8877)

Learning outcomes

At the end of this unit the student knows the basics tools for modeling and managing financial and actuarial risks. More precisely, the sutdent knows how to use and define risk measures, how to define and estimate models for risk management and is able to use the financial instruments to manage and hedge financial risk.

Course contents

- Review of probability and stochastic processes (martingale, diffusions and Itô calculus)

- Classification of financial and actuarial risks.

- Financial product and hedging strategies.

- Risk-neutral pricing theory. The fundamental theorems of asset pricing.

- Forward and future contracts.

- Financial derivatives: european options, american, asian and esotic options.

- Hedging and speculation with options. The greeks.

- Term structure of interest rates. Zero coupon bonds (ZCB), coupon bonds, swap bonds. Spot and forward rates (yields). Libor rates. Forwards on ZCB and forward rate agreements (FRA). European options on ZCB. Caplets and Floorlets. Interest rate swaps (IRS) and swap rates. Forwards on IRS and Swaptions.

Readings/Bibliography

    • Teacher's lecture notes
    • A. J. McNeil, R. Frey & P. Embrechts, "Quantitative Risk Management: Concepts, Techniques and Tools". Princeton University Press, 2015 (i primi 3 capitoli). Ebook disponibile.
    • J.C. Hull, "Risk management e istituzioni finanziarie", Luiss University Press, 2013.

    More readings:

    • P. Christoffersen, "Elements of Financial Risk Management", Academic Press, 2011
    • Pascucci and W. Runggaldier, "Finanza matematica. Teoria e problemi per modelli multiperiodali", Springer Unitext.
    • Musiela Rutkowski. "Martingal Methods in financial mdoelling". Springer. 2005.
    • D. Lando, Credit Risk Modeling, Theory and Applications. Princeton University Press. 2004.

Teaching methods

Blackboard lessons and exercises.  Lab sessions to numerically test pricing models performances.

Assessment methods

- Oral exam with exercises and question regarding all the course topics

Teaching tools

- PC Lab.

- Statistical/mathematical software: R and R-studio.

- Financial databases.

Office hours

See the website of Paolo Foschi