DAVIDE MASPERO
Courses a.y. 2023/2024
Courses previous a.y.
I teach the Asset Management course (20248), which is an optional course for Master of Science students. My main goal in this course is to provide an updated picture of the main relevant technical themes in the asset management industry, enabling fifth-year students to successfully approach the job market in this sphere.
I also teach an introductory Derivatives course at MAFINRISK, which has the goal to level the playing field on this subject among students coming from different backgrounds. This course covers approximately the first half of the ubiquitous Hull textbook.
Biographical note
I was born in Milan in 1962 and received my Ph.D. in Economics from Bocconi University in 1987. After some teaching in other universities, I returned to Bocconi in 2001 as an Associate Professor in the Department of Finance.
I have been involved since its inception in the Master of Quantitative Finance and Risk Management (MAFINRISK) program, either as a Director or Coordinator.
I am married and have two children.
Research interests
Working papers
Risk Management Integration Issues in Large Italian Banks
NEWFIN, Milano, 2000
External assessment of trading activities' market and credit risk
Newfin, Milano, 1999
Selected Publications
Risk management for asset managers: A test of relative VaR
Journal of Asset Management, 2005
Measuring ex-ante Relative Risk for Asset Management Portfolios
Paper presentato al convegno europeo della Financial Management Association, Parigi, 2001
L'attività in derivati delle banche: rischi e informazione integrativa di bilancio
Roma, Bancaria, 2000
Applicazioni avanzate delle reti neurali: pricing dei derivati e previsione della volatilità
Le applicazioni dell'intelligenza artificiale negli intermediari finanziari, Roma, Bancaria, 2000
Un confronto tra modelli VaR alternativi su posizioni in valuta durante la crisi del Sistema Monetario Europeo
La misurazione e la gestione dei rischi di mercato, Bologna, il Mulino, 1997
I modelli VaR basati sulle simulazioni
La misurazione e la gestione dei rischi di mercato, Bologna, il Mulino, 1997
L'uso degli strumenti derivati nella gestione del rischio di cambio in un portafoglio diversificato per valuta
Gli strumenti derivati e le tecniche innovative nella gestione di portafogli obbligazionari, Ricerca NEWFIN, Milano, 1995
Contabilità a valori di mercato e crisi bancarie
Le crisi bancarie, Milano, EGEA, 1995
Il Sistema Monetario Europeo
I mercati finanziari internazionali, Milano, EGEA, 1992