MASSIMO GUIDOLIN

1. Introduction and review of key concepts: Loss functions and decision theory; forecast evaluation. (3 hours) [M. Pedio]

* Lecture Slides
* Worked Out Example

Granger, Clive WJ, and Mark J. Machina. "Forecasting and decision theory." Handbook of Economic Forecasting 1 (2006): 81-98.
West, Kenneth D. "Forecast evaluation." Handbook of Economic Forecasting 1 (2006): 99-134.
 

2. Forecasting stock returns; time-varying parameter models. (5 hours) [M. Pedio]

* Lecture Slides Part 1 Part 2

Dangl, Thomas, and Michael Halling. "Predictive regressions with time-varying coefficients." Journal of Financial Economics 106 (2012): 157-181. (Code and data here)
*Rapach, David E., Jack K. Strauss, and Guofu Zhou. "Out-of-sample equity premium prediction: Combination forecasts and links to the real economy." Review of Financial Studies 23 (2010): 821-862. (Code and data here)
Rapach, David E., and Guofu Zhou. "Forecasting stock returns." Handbook of Economic Forecasting 2, no. Part A (2013): 328-383.

3. The Instability of Correlations: Multivariate GARCH and DCC Models (3 hours) [M. Guidolin]

*Lecture Slides. Part 1 Part 2 (LECTURE VIDEOS HAVE BEEN POSTED ON BLACKBOARD, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 6.
 

4. The Instability of Correlations: Multivariate Markov Switching Models (4 hours) [M. Guidolin]

*Lecture Slides (LECTURE ON-LINE, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 9.
 

5. Copulas in Risk Management (3 hours) [M. Guidolin]

*Lecture Slides (LECTURE ON-LINE, SEE https://blackboard.unibocconi.it/)
Christoffersen P. F. (2012) Elements of Financial Risk Management, Academic Press 2nd edition, chapter 9.
 

6. An Introduction to the Use of Realized Variance and Covariance in Risk Management (3 hours) [M. Guidolin]

*Lecture Slides (LECTURE ON-LINE, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 10.
 

7. The Econometrics of Network Connectedness and its Applications to Risk Management (6 hours) [M. Guidolin]

*Lecture Slides (Part 1, Part 2). (LECTURE ON-LINE, SEE https://blackboard.unibocconi.it/)
Glasserman, P., and P. Young (2016), Contagion in Financial Networks, Journal of Economic Literature, 54, 779-831.
 

8. Introduction to structured financial instruments: equity protection structures; exotic options and barriers and their applications in structuring (4 hours) [M. Pedio]

*Lecture Slides  (Part 1, Part 2). (LECTURE ON-LINE, SEE https://blackboard.unibocconi.it/)
SOLE 24 ORE, chapter 2.
WILMOTT, chapters 11 and 13.
Useful background material in English (thanks to Gioacchino Fittipaldi).
Koh, B. S., Koh, F., Chuen, D. L. K., Guan, L. K., Ng, D., and P. K. Fai (2015). A risk-and complexity-rating framework for investment products. Financial Analysts Journal, 71, 10-28.
 

9. Correlations and structured products: basket derivatives and certificates (2 hours) [M. Pedio]

*Lecture Slides.
WILMOTT, chapter 12.
 

10. An Introduction to Simulations and Monte Carlo Pricing (2 hours) [M. Pedio]

* Lecture Slides
WILMOTT, chapter 29.
A sample Matlab code to compute Down-and-Out Barrier Option Prices
 

11. The role of structured products in dynamic asset management (6 hours) [M. Pedio]

* Lecture Slides
*Lecture Notes.
Liu, J., and J., Pan (2003), Dynamic Derivative Strategies, Journal of Financial Economics, 69, 401-430.
Caloiero, E., and M., Guidolin (2017), Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance? Quantitative Finance and Economics, 1, 334-362.
A start-up Matlab code for your project here 
 

12. Single name credit derivatives (CDS) (2 hours) [M. Guidolin]

*Lecture Slides.
BRIGO and MERCURIO, chapter 21.1, 21.3. 11.
 

13. Reduced form intensity models (3 hours) [M. Guidolin]

*Lecture Slides.
BRIGO and MERCURIO, chapter 22. 12.
 

14. Structural models (2 hours) [M. Guidolin]

* Lecture Slides and references therein.