Degree Course: Administration, finance and control Syllabus for A.Y. 2021/2022  

Module 1 - The governance of internal controls
Basic concept and definition
Responsibilities, functions and deliverables of the actors of the ICS in corporate governance.
Internal auditing in control governance
International models of understanding, evaluation and analysis of ICS
Methods and techniques for analyzing business processes and risks

Module 2 - Internal auditing activities
International professional standards for conducting internal auditing
The internal auditing process
Methodologies and operational tools of the activity
Case study

The teaching material of the course is represented by the handouts made available by the teachers at the beginning of the course and available online on the course page

Module 1 - The governance of internal controls
Basic concept and definition
Responsibilities, functions and deliverables of the actors of the ICS in corporate governance.
Internal auditing in control governance
International models of understanding, evaluation and analysis of ICS
Methods and techniques for analyzing business processes and risks

Module 2 - Internal auditing activities
International professional standards for conducting internal auditing
The internal auditing process
Methodologies and operational tools of the activity
Case study

The teaching material of the course is represented by the handouts made available by the teachers at the beginning of the course and available online on the course page.

Format, layout typical phraseology of business letters. Letters of inquiry, reply, order, complaint, apology, memo, report. History of Business Communications: notions of its development through letter collections and teaching manuals developed in the years. Principles of Cross-Cultural Communication.

Handouts, available online on the course webpage on Moodle, freely available: https://moodle.unitus.it/moodle/course/view.php?id=224. They consist of interactive exercises (matching, fill-in, letter writing tests) and reading material mainly derived from the Journal of Business Communication and the Business Communication Quarterly.
Students who cannot attend the course are advised to use one of the following handbooks:
The Oxford Handbook of Commercial Correspondence, by A. Ashely, 2010, or Real Writing with Answers 3, Roger Gower, CUP, 2008; Effective Writing, by Jean Withrow, CUP, 2006; Writing Skills: A problem solving approach, di Norman Coe et Al, CUP, 2007.

1. Objective: to understand the meaning of share capital and equity as a mechanism for protecting creditors in the joint-stock company
1.1. The capital legal limit
1.2. The Contributions and Acquisitions by Members or Directors
1.3. Capital maintenance rules
1.4. Transactions on the Company’s Own Shares
1.5. Serious Losses

2. Objective: to understand the main functions and aspects of the annual accounts
2.1. The financial year
2.2. The Financial Statements structure and contents
2.3. Accounting Principles
2.4. Financial Statements Approval Procedure
2.5. Dividend Distribution and Interim Dividends

3. Objective: to understand the function of the directors through the study of its responsibilities
3.1. Liability to company
3.2. Liability to company creditors
3.3. Shareholder personal action and third-party claim

4. Objective: to understand the phenomenon and discipline of groups of companies
4.1. The subjection to management and co-ordination
4.2. The liability arising from management and co-ordination
4.3. Transparency obligations arising from management and co-ordination
4.4. Subordinated and postponed loan
4.5. “Withdrawal from the Group”

5. Objective: to understand the function and discipline of transformation, merger and division operations
5.1. The transformation: scope and limits
5.2. Merger and Division: scope and limits

Recommended text for the study of the legal constructs involved in the programme: G. FERRI, Manuale di diritto commerciale, a cura di C. ANGELICI - G.B. FERRI, Utet, last edition. According to the student’s preferences, using other updated university textbooks is allowed. It is recommended that students, including non-attendants, study the notes and case study material made available on the portal.
In any case, it is necessary to integrate the study of the individual legal constructs with the examination of the Civil Code, the laws concerned and the judgments that will be made available on the portal.

The course proposes the study of the concepts and rules that govern the preparation of financial reporting in compliance with IAS/IFRS and carries out a comparative survey on accounting regulations in the USA and Europe.
-introduction to international accounting;
-worldwide accounting diversity;
-accounting approaches;
-international convergence of financial reporting;
-IFRS financial reporting;
-US GAAP financial reporting ;
-accounting standards codification;
-IFRS in the European Union;
-IFRS in the United States;
-comparative Accounting (America and Europe).

- A.A.V.V., Il bilancio secondo i principi contabili internazionali IAS/IFRS. Regole e applicazioni, quarta edizione, Giappichelli, 2016.
Books to learn more:
-Wiley GAAP 2020, Interpretation and Application of Generally Accepted Accounting Principles.
-IAS/IFRS (a cura di Dezzani, Biancone, Busso), quinta edizione-2020, Ipsoa Wolters Kluwer, 2019
-Memento Pratico. Principi contabili internazionali, Giuffré Francis Lefebvre, 2020.

Consolidated accounts and financial statements analysis

Textbooks will be available for spring 2022

1. Data: structure and manipulation
• Statistical data
• The IT data
• Data manipulation: random and systematic errors; missing data; outlier; logical inconsistencies data; anomalous data; imputation technique for missing data.

2. The syntheses of the data, their transformations
3. multivariate distributions:
• multinormal distribution
• multinomial distribution

4. Unsupervised classification (cluster analysis)
- Non-hierarchical methods: K-means, Pam and fuzzy K-madoidi
- variables Selection, best selection of the number of clusters,
- The aggregative hierarchical methods

5. Data reduction methodologies:
• principal component analysis (PCA);
• factor analysis
• correspondence analysis and multiple correspondence analysis


6. Unsupervised classification (cluster techniques)

7. Supervised classification (cluster techniques)

o Linear regression;
o Generalized linear model
o Logistic regression;
o Classification trees
o Support vector machine
o Random forest
o Gradient boosting
o Neural networks

• Traning, Evaluating and Testing model

slides of the lessons on Moodle platform

The course focuses on the process of analyzing the company's fundamental value, the phases of which culminate in the preparation of the pro-forma or pro-forma financial statements (Balance Sheet, Income Statement and Cash Flow Statement), which represents a crucial step in this analysis.
In the first part, the course focuses attention on the reclassification models of the financial statements, on the indices and flows. In the second part, the course deals with the construction and analysis of the budget. This is a financial statement prepared by translating certain hypotheses for future management operations into economic and financial quantities. The use of this tool allows you to recreate, as in a sort of laboratory, the business operation and to simulate the effects that different management policies are destined to produce in the future on the economic, financial and equity structures of the company. The logic of the budget estimate finds multiple areas of use. It applies, in fact:
- to companies already in operation, to guide future management programs;
- in project financing operations, which are increasingly numerous today, to judge the self-sustainability of the planned initiative;
- to companies being set up or starting a new company branch (start up), to identify the most appropriate management structures;
- to individual investment projects, to judge their feasibility and convenience.

Summary of topics.
Among the topics that will be treated in the context of the budget analysis for the construction of the pro-forma, we note:
• the logic of reclassification of the balance sheet and income statement;
• the logical construction plan of the Cash Flow Statement;
• the estimate of the EBITDA and the MON;
• the estimate of the commercial net working capital (CCNc);
• the budget for operational self-financing;
• the free cash flow estimate (FCF);
• the estimate of the Net Invested Capital (CIN);
• the estimate of the Net Financial Position (NFP);
• the estimate of the financial requirement.

Among the topics that will be dealt with in the context of the construction of the pro-forma and its evaluation, the following should be noted:
• the general logic and phases of the construction of the pro-forma;
• the basic pro-forma model;
• the development of the basic model: current operating management, structural operational investments and the financial structure;
• the formulation of assumptions: the forecast of sales, operating costs and net working capital, structural investments;
• assessment of assumptions;
• sensitivity analysis;
• the financial sustainability of the pro-forma and its "bankability".

To prepare for the exam, the student has a textbook and other teaching materials prepared by the teacher and delivered during the lessons.

The textbook is:
F. Giunta-M. Pisani, Analysis of the financial statements, APOGEO, Maggioli Editore, 2016.

Chapters of the book:
1. Fundamental analysis and intrinsic value of the company (to be studied)
2. The information base for fundamental analysis
3. Analysis of the competitive environment
4. Analysis of strategies
5. Verification of accounting quality and information collected (to be studied)
6. The management analysis model (to be studied)
7. Budget comparisons
8. The reclassification of the Balance Sheet (to be studied)
9. Reclassification of the Income Statement (to be studied)
10. Preparation of the Financial Statement (to be studied)
11. Business growth (to be studied)
12. Operational profitability (to be studied)
13. Creditworthiness (to be studied)
14. Net profitability (to be studied)
15. Analysis of the consolidated financial statements
16. The pro-forma financial statements: rationale, phases and necessary information (to be studied)
17. The pro-forma financial statements: hypotheses and calculation formulas (to be studied)
18. Evaluation of the pro-forma financial statements

GENERAL SECTION
1) Introduction
2) Typical aspects of decision-making system, strategic planning, and management control in public sector entities
3) Accounting systems supporting financial statements disclosure and management control
4) Performance management e performance measurement

MONOGRAPHIC SECTION
1) Management control in central administrations and local authorities
2) Management control in healthcare entities
3) Management control in higher education

1) Pavan A., Reginato E., Programmazione e controllo nelle amministrazioni pubbliche, Giuffrè, 2012 (Ch. 1, Ch. 2, § 3.8, § 4.1, § 4.2, § 4.5, § 4.6, § 5.1).
2) Teaching materials available on the Moodle course website (slides and the lecture notes)

Consolidated accounts and financial statements analysis

Textbooks will be available for spring 2022

1
PLAIN VANILLA OPTIONS. Plain vanilla options, definitional aspects. The opening of long and short positions in options (long and short call, long and short put). The Building Block. Lego Approach. Intrinsic value and time value. The intrinsic value and moneyness of the option. The factors that determine the time value. The American-style option and early exercise. The put-call parity. The put-call parity for European-style options. The put-call parity for American-style options.

2
MODELS OF OPTION VALUATION. Introduction. The dynamics of stock prices. The formula of Black and Scholes with and without the presence of dividends. Estimation of volatility. The historical volatility. Empirical rules on volatility. Implied volatility. The volatility smile. The relationship between the distribution of returns and the smile. The binomial model with n steps. The hypotheses at the base of the model. The Monte Carlo simulation. Definition of the number of run of the simulation. The generation of random numbers. The method of the inverse transformation.

3
THE GREEKS AND THE DELTA HEDGING. The Greeks. The delta. The gamma. The vega. The rho. Theta. Use of the Greeks: a summary example. The Greeks of a portfolio of options. Option book hedging. Dynamic delta hedging. Delta-gamma hedging. Delta-vega hedging. Delta-gamma-vega hedging. Higher order greeks. The Vanna. The Volga. Vomma (or gamma-vega. volgamma). The delta bleed (charm). The calculation of sensitivities using Monte Carlo simulation: finite difference method.

4
COMPLEX STRATEGIES. The Building Block Approach. The bull spread (call spread, bullish vertical spread). The collar. The straddle. The strangle. The butterfly.

5
ASIAN OPTIONS. Asian options (or average options). The put-call parity for Asian options. The factors affecting the payoff (and price). The type of average. The sampling frequency. The period of calculation of the average. The weight attributed to the individual surveys. The evaluation of average price options with geometric average. Geometric mean and continuous monitoring of the mean (Kemna and Vorst). Geometric average and discrete monitoring of the average (Haug, Haug and Margrabe). The case of non-constant periodicity between successive fixings. The evaluation of options with arithmetic mean. Arithmetic mean and continuous monitoring of the mean (Turnbull Wakeman model). Arithmetic mean and continuous monitoring of the mean (Levy approximation).

6
ASIAN OPTIONS. Vorst's model. Arithmetic mean and discrete mean monitoring (Levy modified by HHM). Curran's approximation. Asian options pricing and the volatility term structure. The binomial model and Asian options. The Monte Carlo simulation. The payoff and the sensitivities of the Asian option. The delta hedging of the Asian options. Delta hedging of average price options. Delta hedging of the average strike options. Static hedging of the Asian option. Use of Asian options.



7)
BINARY OPTIONS. Binary options: cash or nothing, asset or nothing, gap. Binary options: European and American style. Use of binary options. The analytical evaluation of European binary options. Asset or nothing pricing. Cash or nothing pricing. The gap option pricing.

8
BINARY OPTIONS. The analytical evaluation of the American binary options (one touch deferred binary). Payoffs and sensitivities of digital options. Hedging techniques for European binary options. Payoffs and sensitivities of American digital options. The hedging of one touch options. One touch digital delta hedging. The static replication of digital one touch.

9
BARRIER OPTIONS. Types of barrier options. Barrier parity. Use of barrier options. Valuation of European barrier options The closed formula of Rubinstein and Reiner. Evaluation of knock-in barriers. Valuation of knock-out barriers. The binomial model and barrier options. Evaluation of barrier options with Monte Carlo. Valuation of American barrier options The closed formula of Haug. The risks of barrier options. Payoffs and sensitivities of regular barrier options. Greeks of down and in call. Greeks of up and in put. Greeks of the down and out call. Greeks of the up and out put.

10
BARRIER OPTIONS. Hedging regular barrier options: static replication techniques. The replication of the knock-down & in option. The replica of the knock-down & out option. Static replication and put-call symmetry. Static replication - Overcoming the basic assumptions. The payoffs and sensitivities of barrier-reverse options. The greeks of the up and in call (HK). Greeks of the up and out call (HK). The methodologies of risk mitigation of the reverse knock out. The choice of the volatility parameter. The coverage of the reverse knock in/out.

11
FORWARD START AND CLIQUET OPTIONS. Forward start options. Forward start options: the valuation in closed formula. The pricing of forward start options: some key factors. The calculation of the forward implied volatility. The payoff and the sensitivity of the forward start option. Cliquet options. The valuation of the closed formula cliquet. The binomial model. The payoff and sensitivity of the cliquet options. Types of cliquet structures. The simple cliquet bond. Cliquet bond with barrier. The pure digital cliquet bond. The reverse cliquet bond. The protected reverse cliquet bond. Structured Napoleon. Reverse cliquet and Napoleon: critical aspects.




12
LOOKBACK OPTIONS. Fixed and floating strike lookback options. The pricing of the lookback options. The valuation of floating strike lookback calls. The analytical formula of Goldman, Sosin & Gatto. The valuation of fixed strike lookback calls. Payoff and sensitivity of lookback options. Static replication of lookback options. The use of lookback options.

13
OPTIONS ON TWO UNDERLYINGS AND MULTI-ASSET OPTIONS. Types of multi-asset options. Mountain Range Options. Multiasset options Pricing issues. Exchange-one-asset-for-another options. The variables that affect the value of the option. Analytical valuation. Spread options. Variables affecting the value of the option. Analytical valuation. Use of spread options. Best of and worst of options (or min-max options). Min-max options The analytical valuation. The role of correlation in the value of best of and worst of options. Correlation risk in best of options. Correlation risk in worst of options.

14
THE VOLATILITY SURFACE FOR FX OPTIONS- Criteria for efficient and convenient representation of the volatility surface; approaches to constructing the surface, interpolation of the smile between strikes: the Vanna-Volga approach, calculation of Vanna-Volga weights and option pricing, construction of the volatility matrix in practice; extensions of the Vanna-Volga model.

15
VOLATILITY TRADING Options and trading, Call overwriting; Hedging strategies with options, complex options; Volatility trading with options; Variance and volatility; volatility, variance and gamma swaps; options on variance; the relationship between IV and realized volatility; Forward Start products and vol indices; Light exotics. Relative value & correlation trading: trades on earnings announcements/jumps; Skew & Term Structure trades: the relationship between skew and term structure; the "Square root of time" rule; Term structure trading; Measurement of skew and smile; skew trading.

16
STOCHASTIC VOLATILITY OPTION VALUATION MODELS.
The model of Heston The SABR model and the volatility surfaces
17
Interest rates: valuation of interest rate derivatives. Curve estimation with pre-2008 and dual method. Interest rate hedging for corporate clients
18
FX derivatives: valuation of FX derivatives. Curve estimation with Vanna Volga . FX hedging for corporate clients

Teaching materials available on the course site
Academic and Professional Articles
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading (The Wiley Finance Series Book 507) (English Edition) 1st Edition, English Edition by Mohamed Bouzoubaa , Adel Osseiran

Format, layout typical phraseology of business letters. Letters of inquiry, reply, order, complaint, apology, memo, report. History of Business Communications: notions of its development through letter collections and teaching manuals developed in the years. Principles of Cross-Cultural Communication.

Handouts, available online on the course webpage on Moodle, freely available: https://moodle.unitus.it/moodle/course/view.php?id=224. They consist of interactive exercises (matching, fill-in, letter writing tests) and reading material mainly derived from the Journal of Business Communication and the Business Communication Quarterly.
Students who cannot attend the course are advised to use one of the following handbooks:
The Oxford Handbook of Commercial Correspondence, by A. Ashely, 2010, or Real Writing with Answers 3, Roger Gower, CUP, 2008; Effective Writing, by Jean Withrow, CUP, 2006; Writing Skills: A problem solving approach, di Norman Coe et Al, CUP, 2007.

Introduction to the Python programming environment: installation, creation of an environment, simple exercises on using Python - User-defined functions, Python modules, summary of structured programming constructs; practical exercises - Lists in Python, NumPy module, NumPy arrays, financial functions in NumPy, special NumPy arrays, manipulation of NumPy arrays; practical exercises - Calculation of options price with Black-Scholes-Merton formula, SciPy module, NumPy mathematical functions, SciPy sub-modules, Python graphs with the Matplotlib module; practical exercises - pandas module, time series, Series and DataFrame objects, date management with the datetime module; practical exercises - Estimate of the price of options, price with Black-Scholes-Merton formula, price with binomial model, price of American options; practical exercises - Price of derivatives with Montacarlo method, generation of random numbers with normal and uniform distribution, simulation of the movements of a share, price of European, exotic, American options; practical exercises - Multiassets derivatives, Cholesky factorization, risk measures: VaR and ES; practical exercises - Volatolity, SABR model; practical exercises.

Lecture notes and slides provided by the teacher.

1. Modelling financial markets under uncertainty: The one-period finite state model.
2. Securities and their pay-offs.
3. Portfolios and replicating portfolios.
4. Complete and incomplete markets.
5. Arrow-Debreu securities.
6. Arbitrage.
7. No-arbitrage pricing.
8. Risk-neutral probabilities.
9. Modelling financial markets under uncertainty: The multiperiod finite state model.
10. Multiperiod arbitrage.
11. Dynamically complete markets.
12. Self-financing portfolios.
13. Arbitrage and martingale measures.
14. Pricing interest-rate-sensitive securities: The Ho-Lee model.
15. Corporate Finance (topic 1): The Modigliani-Miller Theorem and the capital structure.
16. Corporate Finance (topic 2): Valuing risky projects.
17. Corporate Finance (topic 3): Real options.

A. Cerny, “Mathematical Techniques in Finance”. Princeton University Press (2009).

M. U. Dothan, “Prices in Financial Markets”. Oxford University Press (1990).

M. Grinblatt and S. Titman, “Financial Markets and Corporate Strategy” McGraw-Hill (2002).

T. Ho and S. Lee "Term structure movements and pricing interest-rate contingent claims". The Journal of Finance 41 (1986).

1. General aspects.
The financial system: markets, intermediaries, instruments, and supervisory authorities
Efficiency of financial markets
The link between non-financial and financial accounts: financial accounts of institutional sectors

2. Financial structure, financial development, and the real economy.
“Direct” and “indirect” finance
“Bank-based” and “market-based” systems
Effects on economic growth

3. Theoretical analysis of agents’ choices.
Intertemporal choices: decisions of savings
Choices under uncertainty
Expected utility theory
Risk attitude
Equilibrium
Demand for insurance
Investment in financial assets
Investment in risky assets
Optimal portfolio’s allocation (Markovitz)
The CAPM

4. Financial innovation and non-bank financial intermediation
Securitization
Securities financing transactions
Mutual funds
Shadow banking

Teaching material provided by the instructor and available on Moodle.

Suggested textbooks:
- Varian H., “Intermediate Microeconomics”, Eight Edition or previous ones, only Chapters on “Intertemporal Choices” and on “Uncertainty”;
- Bodie Z., Kane A., and Markus A. J., “Investments”, McGraw Hill (2014), Chap. 6 (only parr. 6.1, 6.2, 6.4, 6.5), 7 (excluding par. 7.5), 9 (only par. 9.1);
- Mishkin, and Eakins, “Financial Markets and Institutions”, Pearson, 2019, Ninth Ed. or previous ones, Chapters 1, 2, 3, 4, 5, 7, 9, 11, 14.4, 18, 19, 20, 21;

Students unable to attend the lectures are strongly encouraged to contact the teacher in order to have detailed information about the syllabus.

Part I Institutional Investors: Typologies, Roles and Products
1 Institutional Investors
2 Collective Investment Vehicles and Other Asset Management Products

Part II Investment Management Policy
3 Stages of Investment Management Policy
4 Strategic Asset Allocation with Mean-Variance Optimisation
5 Methods and Tools for Portfolio Selection
6 Alternative Approaches to Traditional Mean-Variance Optimisation
Part III Performance Evaluation for Traditional Investment Portfolios
7 Performance Evaluation
8 Returns-Based Style Analysis
9 Performance Attribution

Part IV Portfolio Diversification Towards Alternative Asset Classes
10 Portfolio Diversification Policies: Alternative Asset Classes
11 Hedge Funds
12 Hedge Fund Performance
13 Private Equity
14 Real Estate
15 Commodities
16 Currency Overlay

PART V - MANAGEMENT POLICIES OF MAJOR INSTITUTIONAL INVESTORS
17. The management policies of the various types of institutional investors

PART VI - INNOVATIVE ASPECTS OF ASSET MANAGEMENT TECHNIQUES
18. Climate Finance - ESG
19. Smart Beta
20. Private Equity
21. Machine Learning in Asset Management (Python)

AA.VV. (Basile-Ferrari) Asset Management e Investitori Istituzionali, Pearson Editore, 2 edizione.
AA.VV. (Basile-Ferrari) Asset Management and Institutional Investors, Pearson Editore, 1nd edition.
Sole 24Ore in print and online editions.
Teaching materials provided by the teachers available on the course website in Moodle.

Performance metrics
Evaluation of Stock Picking Ability
Assessment of Market Timing Ability
Performance Persistence
Active Management
Multifactor Model
Climate Finance
In the Mind of an Asset Manager

Ignazio Basile · Pierpaolo Ferrari Asset Management and Institutional Investors
Asset Allocation Strategies for Mutual Funds Evaluating Performance, Risk and Return Giuseppe Galloppo Springer Palgrave
Lecture Notes provided by the teacher

The course is divided into two compulsory parts: a. monetary policy and economics; exchange rate policy and economics; b. special topics in international monetary economics (Financial Stability, FInancial Literacy, Cryptocurrencies, Pandemic Economics).
Classes will be in Italian.

Reference for first part is the Textbook by P. Krugman M. Obstfeld M. Melitz, Economia Internazionale, vol. 2 Economia Monetaria Internazionale, Pearson, chapters 4, 8, 9, 10, 11; Masciandaro D. 2018 Central banks and Monetary Policy. Economics and Politics. BAFFI Carefin Paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3178576
D. Mugge 2019 The Revenge of Political Arithmetick, FickleFormulas Working Paper 2/2019 https://t.co/VhVpfTpLmU
References for the second part (Moodle folder) are:
1. FINANCIAL STABILITY: BIS paper MacroFinLinkages; NBER Risk Appetite Macroeconomy; Minsky 1992 on financial instability;
2. PANDEMIC ECONOMICS AND FINANCE:
Maffettone Oldani 2020; Oldani Vanni 2020
CEPR https://cepr.org/content/covid-economics-vetted-and-real-time-papers-0
European Unione https://ec.europa.eu/info/live-work-travel-eu/coronavirus-response_en
Imperial College https://www.imperial.ac.uk/mrc-global-infectious-disease-analysis/covid-19/
3. FINANCIAL LITERACY LoPrete 2018; Lusardi, Mitchell, Curto 2010; Lusardi, Mitchell, 2014; Lusardi AER 2015;
4. CRYPTOCURRENCIES: Carney 2019; Halaburda et al 2020; Masciandaro et al E-currencies; Oliver Wyman Cryptocurrencies; Sockin and Xiong 2020;

Part I: Risk management.
Market risk. Definition, parametric VaR and empirical estimation of variances and covariances.
Simulation Monte Carlo, historical simulation
Stress testing and Backtesting
The limits of VaR and the expected shortfall
II part: applications for the Market Risk
Non-frontal activity _ review of topics from previous exams (financial engineering, statistics for finance, VBA): volatility estimation, correlations, vol estimation models, VBA MATLAB).
Quantitative insights for risk management
Downside risk in non-Normal contexts: Filtered Historical, Cornish-Fisher, t-distribution and EVT.
RM for portfolios with complex optional content - Beyond BSM: Local Vol Models, Displaced Diffusion and CEV. Stochastic volatility valuation models: Heston, SABR. Volatility surface estimation for equity and FX.

A. RESTI, A. SIRONI, Rischio e valore nelle banche, Milano, EGEA, 2008.
A. Resti, A. Sironi, Basilea 3 e 3.5: le principali novità, capitolo 26, Rischio e valore nelle banche, 2020.
A. Sironi, The evolution of banking regulation since the financial crisis: a critical assessment, Working Paper, November 2018
Teaching materials by the teachers available on the course website in Moodle

Credit risk Definition and components. PD estimation.
Recovery and exposure risk. Estimation of LGD and EAD
Portfolio models and Credit VaR
Use of rating in management. Pricing systems. Estimation of risk-adjusted return. Exercise
Liquidity risk: funding risk and market risk
Control models of short and medium/long term liquidity.
Banking book rate risk
Counterparty risk
Operational risks
Risk regulation. The Basel system, the limits of Basel III and risk supervision
The EBA supervisory model
Capital management
Capital allocation. RAPM and value creation

A. RESTI, A. SIRONI, Rischio e valore nelle banche, Milano, EGEA, 2008.
A. Resti, A. Sironi, Basilea 3 e 3.5: le principali novità, capitolo 26, Rischio e valore nelle banche, 2020.
A. Sironi, The evolution of banking regulation since the financial crisis: a critical assessment, Working Paper, November 2018
Teaching materials by the teachers available on the course website in Moodle

Elements of microeconomics: firms and consumers, profit maximisation, utility maximisation
Perfect competition, monopoly, monopolistic competition
Market power
Game theory

Static games with complete information
Dynamic games with complete information

Oligopolistic competition

Cournot
Bertrand
Stackelberg
Hotelling
Salop

Firm's strategic behaviour

Pricing and market segmentation
Product differentiation
Advertising
Collusion
Vertically related markets and vertical restraints
Mergers
Entry and exit
Technological innovation
R&D spillovers, absorptive capacity

Oligopoly and R\&D Networks
Industrial policy: Regulation, antitrust and privatization

- Robert Gibbons (2005) Teoria dei giochi. Il Mulino

- Belleflamme P., Peitz M. (2015) Industrial Organization: Markets and Strategies. Cambridge University Press.

The course is divided into two compulsory parts: a. monetary policy and economics; exchange rate policy and economics; b. special topics in international monetary economics (Financial Stability, FInancial Literacy, Cryptocurrencies, Pandemic Economics).
Classes will be in Italian.

Reference for first part is the Textbook by P. Krugman M. Obstfeld M. Melitz, Economia Internazionale, vol. 2 Economia Monetaria Internazionale, Pearson, chapters 4, 8, 9, 10, 11; Masciandaro D. 2018 Central banks and Monetary Policy. Economics and Politics. BAFFI Carefin Paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3178576
D. Mugge 2019 The Revenge of Political Arithmetick, FickleFormulas Working Paper 2/2019 https://t.co/VhVpfTpLmU
References for the second part (Moodle folder) are:
1. FINANCIAL STABILITY: BIS paper MacroFinLinkages; NBER Risk Appetite Macroeconomy; Minsky 1992 on financial instability;
2. PANDEMIC ECONOMICS AND FINANCE:
Maffettone Oldani 2020; Oldani Vanni 2020
CEPR https://cepr.org/content/covid-economics-vetted-and-real-time-papers-0
European Unione https://ec.europa.eu/info/live-work-travel-eu/coronavirus-response_en
Imperial College https://www.imperial.ac.uk/mrc-global-infectious-disease-analysis/covid-19/
3. FINANCIAL LITERACY LoPrete 2018; Lusardi, Mitchell, Curto 2010; Lusardi, Mitchell, 2014; Lusardi AER 2015;
4. CRYPTOCURRENCIES: Carney 2019; Halaburda et al 2020; Masciandaro et al E-currencies; Oliver Wyman Cryptocurrencies; Sockin and Xiong 2020;

The syllabus of the course is divided in two parts: a first theoretical part and a second practical part.

The theoretical part of the course deepens the topic of digital transformation and the impact that it has on organisations. The syllabus deepens the main changes introduced by the digital transformation process, the main development trends currently in action, and their future developments.
The students will also learn the main information systems used by companies to manage the digital transformation initiatives, to analyse the business processes, to re-engineer them, and to identify the information needs of organizations.

The theoretical concepts included in the course syllabus cover the following areas:
- Changes and trends of the digital transformation process
- The socio-technical systems theory
- The fundamental organizational processes: sense making, decision making, and knowing
- The enterprise information systems: ERP, CRM, KMS, and DSS
- The business intelligence systems for data mining: big data, datawarehouse and artificial intelligence
- Cloud computing, privacy and cyber security
- Planning and managing digital transformation processes
- Analysing and re-engineering business processes

The practical part of the course concerns the development of actionable skills to control and govern the digital transformation process in organisations. The practical skills learned during the course cover three aspects:
- Management of digital innovation projects: identification of objectives of a digital transformation process, identification of the necessary resources, planning and management of a project through the work breakdown structure, the RACI matrix, the PERT, the critical path method analysis, and the GANTT diagram
- Digital transformation of business processes: modelling and analysis of both inter- and intra-organisational processes through the Business Process Modelling Notation (BPMN)
- Business intelligence: analysis of the information need, map of information sources with information needs, design and development of data presentation and analysis dashboard with Microsoft Power BI

To study for the exam students must refer to:
- Management of Information Systems - Course compendium written by Braccini Alessio Maria
- Piccoli, G., & Pigni, F. (2016). Information Systems for Managers with Cases

Slides and cases used by the professor during classes are available on the http://moodle.unitus.it e-learning platform

Module 1 - The governance of internal controls
Basic concept and definition
Responsibilities, functions and deliverables of the actors of the ICS in corporate governance.
Internal auditing in control governance
International models of understanding, evaluation and analysis of ICS
Methods and techniques for analyzing business processes and risks

Module 2 - Internal auditing activities
International professional standards for conducting internal auditing
The internal auditing process
Methodologies and operational tools of the activity
Case study

The teaching material of the course is represented by the handouts made available by the teachers at the beginning of the course and available online on the course page

Format, layout typical phraseology of business letters. Letters of inquiry, reply, order, complaint, apology, memo, report. History of Business Communications: notions of its development through letter collections and teaching manuals developed in the years. Principles of Cross-Cultural Communication.

Handouts, available online on the course webpage on Moodle, freely available: https://moodle.unitus.it/moodle/course/view.php?id=224. They consist of interactive exercises (matching, fill-in, letter writing tests) and reading material mainly derived from the Journal of Business Communication and the Business Communication Quarterly.
Students who cannot attend the course are advised to use one of the following handbooks:
The Oxford Handbook of Commercial Correspondence, by A. Ashely, 2010, or Real Writing with Answers 3, Roger Gower, CUP, 2008; Effective Writing, by Jean Withrow, CUP, 2006; Writing Skills: A problem solving approach, di Norman Coe et Al, CUP, 2007.

Elements of microeconomics: firms and consumers, profit maximisation, utility maximisation
Perfect competition, monopoly, monopolistic competition
Market power
Game theory

Static games with complete information
Dynamic games with complete information

Oligopolistic competition

Cournot
Bertrand
Stackelberg
Hotelling
Salop

Firm's strategic behaviour

Pricing and market segmentation
Product differentiation
Advertising
Collusion
Vertically related markets and vertical restraints
Mergers
Entry and exit
Technological innovation
R&D spillovers, absorptive capacity

Oligopoly and R\&D Networks
Industrial policy: Regulation, antitrust and privatization

- Robert Gibbons (2005) Teoria dei giochi. Il Mulino

- Belleflamme P., Peitz M. (2015) Industrial Organization: Markets and Strategies. Cambridge University Press.

1. An Introduction to Econometrics
2. Probability Primer
3. The Simple Linear Regression Model
4. matrix
5. The Multiple Regression Model
6. Further Inference in the Multiple Regression Model
7. Heteroskedasticity and autocorrelation
8. Regression with instrumental variables
9. Panel Data Models
10. Empirical applications

Carter Hill William E. Griffiths Guay C. Lim. Principles of Econometrics. Fourth edition. Wiley

Linear regression. Inference and statistical test theory. Panel data analysis

Hill, R. C., Griffiths, W. E., & Lim, G. C. (2013). Principi di econometria. Zanichelli.

1. Data: structure and manipulation
• Statistical data
• The IT data
• Data manipulation: random and systematic errors; missing data; outlier; logical inconsistencies data; anomalous data; imputation technique for missing data.

2. The syntheses of the data, their transformations
3. multivariate distributions:
• multinormal distribution
• multinomial distribution

4. Unsupervised classification (cluster analysis)
- Non-hierarchical methods: K-means, Pam and fuzzy K-madoidi
- variables Selection, best selection of the number of clusters,
- The aggregative hierarchical methods

5. Data reduction methodologies:
• principal component analysis (PCA);
• factor analysis
• correspondence analysis and multiple correspondence analysis


6. Unsupervised classification (cluster techniques)

7. Supervised classification (cluster techniques)

o Linear regression;
o Generalized linear model
o Logistic regression;
o Classification trees
o Support vector machine
o Random forest
o Gradient boosting
o Neural networks

• Traning, Evaluating and Testing model

slides of the lessons on Moodle platform

Growth, economic development, human development
Capitalist development and its phases
Origins and history of underdevelopment
Developing and least developed countries
Division of Labour and Economic Development
Innovation and Economic Development in a Secular Perspective
Labor productivity, economies of scale and External Economies
Unemployment, Cyclical Development and Crisis
Economic Development and Changes
Economic Development and International Relations
Human Development and Inequalities
Ecological aspects of Development
Innovative, Sustainable and Inclusive Growth
Mainstream Growth Models
PostKeynesian Growth Models
The detailed program and any supplementary teaching material will be available during the course.

The teaching material will be available during the course.

Enterprise, competition and market
Management, Finance, and Controlling LM-77
a.y. 2021/2022
Course program

1. Objective: to understand the legal profiles functional to the identification of the firm on the market
1.1. Business name
1.2. Insignia
1.3. Trademark

2. Objective: to understand the techniques of correct competition on the market
2.1. Free competition
2.2. Competition and market regulation: the figures of the antitrust regulation
2.3. Unfair competition
2.4. Legal and conventional limits on competition
2.5. Misleading and comparative advertising
2.6. Unfair commercial practices

3. Objective: to understand the purpose, nature and limits of property rights
Intellectual works and industrial inventions
3.1. Industrial patents
3.2. Copyright

4. Objective: to acquire essential technical elements of business contracts aimed at market development
4.1. Sale
4.2. A contract for sale or return
4.3. Franchise agreement
4.4. Supply contract
4.5. Contract of agency
4.6. Brokerage
4.7. Merchandising agreement

Recommended text for the study of the legal constructs involved in the programme
Recommended text for the study of the legal constructs involved in the programme: G. FERRI, Manuale di diritto commerciale, a cura di C. ANGELICI - G.B. FERRI, Utet, sixteenth edition. According to the student’s preferences, using other updated university textbooks is allowed. It is recommended that students, including non-attendants, study the notes and case study material made available on the portal.
In any case, it is necessary to integrate the study of the individual legal constructs with the examination of the Civil Code, the laws concerned and the judgments that will be made available on the portal.