The MRM is a 12-month full time programme covering a full range of risk management topics. It will run from November 2022 to October 2023 and it will involve two types of activities:
• 50 Credits: Lectures/Business Game – to be held in Pisa.
• 10 Credits: Master Thesis. It can be either a research project or an internship-based project.
The lectures will be organised as follows:
Introduction to the use of mathematical softwares (MatLab, Excel) and finance databases (Oracle). Application to classical problems of finance and insurance.
Basic approaches to the modeling of finance and insurance problems in terms of probability theory and stochastic calculus. Introduction to risk measures.
Microeconomics: Portfolio Optimization and micro-structure of financial markets: Financial choices under risky environments, portfolio optimization, return prices (CAPM, APT). Microstructure of financial markets (price formation and publication; information and transparency, market regulation).
Macroeconomics: International finance, exchange rate and interest rate risk: hedging instruments Monetary and financial economics.
Building of efficient portfolios; Models of equilibrium in capital markets (CAPM, APT); Efficiency in the capital market (Empirical test in the weak, semi-strong and strong form); Time series analysis for financial markets
Definitions and principles of corporate governance, corporate governance models around the world, corporate control, regulation, behavioral issues and the role of stakeholders in corporate governance. Principles of Internal control and risk management with a specific focus on manufacturing companies. Risk management in banks. From Basle 1 to Basle 3: regulatory requirements and practical implications. Risk management in insurance: Solvency 2 and regulation.
Use, valuation and management of every major type of derivative contract, with particular attention for options contracts with various models for finance markets. Complete and incomplete financial markets.
Evaluation and management of life and non-life insurance risk: pricing and reserving. Analysis of reinsurance effects. Assets and liabilities management: insurance and financial markets.
Economics of savings and pensions. Evaluation and management of risk pension funds. Quantitative analysis of defined contribution and defined benefit pension plans in stochastic scenarios.
Credit risk measurement techniques and management with mathematical and probabilistic methods. Credit risk in banks: measurement, management and pricing. Securitisation: instruments and implications. Liquidity risk and interest rate risk in the banking book: the asset and liability management model. A mathematical approach to liquidity risk evaluation.
10. Machine Learning and Risk Project
Machine Learning for Finance and Insurance
Machine learning techniques for financial and insurance risk assessment and management: a mixture of statistical and computational aspects. Managing Big Data collections: data quality procedures.
The enterprise risk management framework: principles and components. Internal environment, objective setting, event identification, risk assessment, risk response, control activities, information and communication and monitoring. Put the ERM model at work: practical experiences. Simulation of a risk self assessment project. Risk reporting and the accounting treatments of financial instruments. The IAS no. 32 and 39 and the IFRS 7. Scope and definitions, Recognition and derecognition, Classification, Subsequent measurement, Measurement ‘in practice’, Hedge accounting, Hedge accounting ‘in practice’, Presentation and disclosure.