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15801 -
INVESTMENT BANKING
(objectives)
The Investment Banking course illustrates the issues, modeling and operational techniques of the Capital Markets and Investment Banking segment, as carried out in Investment Banks.
The course analyzes all techniques suitable for the
- Evaluation, sensitivity analysis and hedging of basic, linear and convex derivatives
- Evaluation, sensitivity analysis and hedging of exotic and complex derivatives
- Valuation of options on exchange rates
- Valuation of options on interest rates
- Hedging derivatives of foreign exchange exposures
- Hedging derivatives of interest rate exposures
- Analysis of the construction of the rate curve pre- and post-crisis (multiple curves)
- Estimation of volatility surfaces in the foreign exchange world (Vanna Volga)
- Financial engineering techniques
The course includes the use of Excel and programming languages.
At the end of the Investment Banking course, students will have acquired:
a) advanced knowledge of domestic and international regulations on the issuance of complex products (knowledge and understanding);
b) knowledge of traditional and innovative issues in the field of capital markets and investment banking, through textbooks and articles of academic or professional nature (learning skills).
c) knowledge of the main advanced models of valuation of complex derivatives, for the estimation of risks and value of derivatives (knowledge and understanding);
d) the ability to apply advanced models of measurement and risk management of books and related hedging operations (applying knowledge and understanding);
Students are provided with exercises and are assigned a project work that allows them to develop the ability to search for data and information to be processed, to decide on the most useful modeling to answer research questions and to develop advanced quantitative models arriving at conclusions regarding risk assessment (making judgements); to work in a team and to organize and manage a project (learning skills) and communication with the teacher; to improve the ability to communicate results, revealing critical points and analyzing outputs using independent judgment (communication skills), managing Excel and programming languages (communication skills).
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8
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SECS-P/11
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60
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Core compulsory activities
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ITA |
