20836 - ADVANCED METHODS FOR PORTFOLIO AND RISK MANAGEMENT
Department of Finance
Course taught in English
Go to class group/s: 31
CLMG (6 credits - II sem. - OP | SECS-P/05) - M (6 credits - II sem. - OP | SECS-P/05) - IM (6 credits - II sem. - OP | SECS-P/05) - MM (6 credits - II sem. - OP | SECS-P/05) - AFC (6 credits - II sem. - OP | SECS-P/05) - CLELI (6 credits - II sem. - OP | SECS-P/05) - ACME (6 credits - II sem. - OP | SECS-P/05) - DES-ESS (6 credits - II sem. - OP | SECS-P/05) - EMIT (6 credits - II sem. - OP | SECS-P/05) - GIO (6 credits - II sem. - OP | SECS-P/05) - DSBA (6 credits - II sem. - OP | SECS-P/05) - PPA (6 credits - II sem. - OP | SECS-P/05) - FIN (6 credits - II sem. - OP | SECS-P/05) - AI (6 credits - II sem. - OP | SECS-P/05)
Course Director:
MASSIMO GUIDOLIN
MASSIMO GUIDOLIN
Suggested background knowledge
Although these are not formal pre-requisites, a working knowledge of the key contents of the courses in the Financial Econometrics/Data Science sequence is useful but the gap can be easily recovered with some individual study efforts.
Mission & Content Summary
MISSION
This course is designed to illustrate how quant techniques are applied to finance, with particular reference to the practice of asset management under nonlinear multivariate dependencies and the measurement and the pricing of climate and bio-diversity risks.
CONTENT SUMMARY
1. Introduction and review of key concepts: Loss functions and decision theory; forecast evaluation
2. Forecasting stock returns; time-varying parameter models
3. Volatility modeling and forecasting
4. The instability of correlations: Multivariate GARCH and DCC models
5. The instability of correlations: Models With Breaks, Recurrent Regime Switching, and Nonlinearities
6. The instability of correlations: Markov Switching models
7. Realized volatility and covariance modelling
8. Climate risk in asset management
9. Bio-diversity risk in asset management
10. The role of structured products in dynamic asset management
Intended Learning Outcomes (ILO)
KNOWLEDGE AND UNDERSTANDING
At the end of the course student will be able to...
Define quant techniques as applied to finance
Identify insights on the practice of asset and risk management under nonlinear multivariate dependencies
Learn how to price multi-asset derivatives
Appreciate the interaction between modern asset pricing models and asset management.
Understand the role played by climate risk and ESG considerations in applied portfolio management.
APPLYING KNOWLEDGE AND UNDERSTANDING
At the end of the course student will be able to...
Connect and related quant techniques as applied to finance
Develop insights on the practice of asset and risk management under nonlinear multivariate dependencies
Analyze how to price multi-asset derivatives
Assess the risk of financial institutions under rich and non linear dependence structure among asset returns
Teaching methods
- Lectures
- Guest speaker's talks (in class or in distance)
- Practical Exercises
- Individual works / Assignments
DETAILS
A few sessions are devoted to the practical implementation of models in MatLab.
One track allows students to work on one individual assignment consisting of either the replica of an empirical paper to be agreed upon with the instructor or of an in-depth analysis of a portion of the literature related to the topics covered in the course. Precise guidelines will be made available during the course.
Assessment methods
| Continuous assessment | Partial exams | General exam | |
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ATTENDING AND NOT ATTENDING STUDENTS
The exam consists of a 80-minute closed book, closed notes exam containing 3-4 open/essay type questions and simple exercises or numerical applications. The exam will carry a weight of 100% unless you decide to opt in one of the activities below.
Students have the option to (and are warmly invited to) write a (max 12 pages) literature review selected from a list of topics. Further instructions will be made available.
Students who would like to conduct individual research projects consisting of the replica of empirical papers or extensions of the codes covered during the lectures (especially in connection to their empirical thesis project) are encouraged to discuss their plans with Prof. Guidolin. Such research projects will carry a weight of up to 50% of the final grade and their complexity should justify that.
Teaching materials
ATTENDING AND NOT ATTENDING STUDENTS
Guidolin, M., and M., Pedio (2016), Essentials of Applied Portfolio Management, EGEA and Bocconi University Press (EAPM).
Guidolin, M. and M., Pedio (2018) Essentials of Time Series for Financial Applications, Academic Press.
The following textbooks may also be of some use:
Wilmott P. (2007), Paul Wilmott Introduces Quantitative Finance. John Wiley & Sons.
Last change 18/11/2024 22:15