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Course Topics
(A) structure and mechanics of OTC and exchange markets (B) (coherent) risk measures (C) market risk: bond fundamentals, derivatives, introduction to market risk, sources of market risk (interest rate risks, equity risks, currency risks, commodity risks), hedging linear risk (forwards, futures, swaps), nonlinear risk (options), modeling risk factors, Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR or expected shortfall), VaR mapping, historical and parametric VaR estimation, back testing, stress testing and scenario analysis. (D) credit risk: introduction to credit risk, actuarial default risk (credit rating), default risk from market prices (Merton model, bonds with embedded prices), credit VaR, expected and unexpected credit losses, credit derivatives, (E) liquidity risk (F) financial disasters and risk management failures will be discussed. (G) climate risk

Teaching format
Lectures

Educational objectives
ILO (Intended Learning Outcomes) ILO 1 – Knowledge and Understanding: ILO 1.1 Understanding of issues and techniques related to the organisation and financial management of companies and financial intermediaries ILO 1.2 Knowledge of the fundamentals of corporate finance for the correct application, for example, of decision-making models and the management of financial data and risks in treasury management ILO 1.3 Understanding of management models and cost-effectiveness of different types of intermediaries, market microstructure, operational efficiency of financial markets, and the impact of financial markets on the economic conditions of intermediaries ILO 1.4 Knowledge of specific Finance topics that characterise the roles of Financial Analyst, Portfolio Manager, Chief Financial Officer (CFO), Administrative Manager, Controller, Internal Auditor, and Business Consultant ILO 2 – Applying Knowledge and Understanding: ILO 2.1 Ability to identify, evaluate, and manage investments in financial markets ILO 2.2 Ability to design coherent financial management strategies in companies or financial intermediaries, applying acquired knowledge in risk management techniques, asset valuation, and derivative handling ILO 3 – Making Judgements: ILO 3.1 Ability to relate models and empirical evidence in the study of companies, intermediaries, and financial markets ILO 4 – Communication Skills: ILO 4 Ability to communicate effectively, both orally and in writing, the specialised content of individual disciplines, using different registers depending on the audience and the communicative and educational purposes, and to assess the educational impact of such communication ILO 5 – Learning Skills: ILO 5.3 Ability to frame a new problem systematically and to generate appropriate taxonomies

Assessment
Written exams after 2/3 of the semester and at the end of the semester. ILOs assessed 1-5

Evaluation criteria
The assessement is based on a mid-term exam (33%, applicable for the June exam) and a final exam, where either the better result from 66% of the final exam or 100% of the final exam is considered. After the June exam, the final exam counts for 100% of the evaluation. A minimum score of 18 out of 30 points is required for a positive result.