Finance And Risk Management Finarm

The Master aims at preparing highly-qualified professionals including financial analysts, traders, home traders, fund managers, asset liability managers, financial engineers, risk managers and researchers in finance. Placement rates are excellent.

FINARM is particularly suitable for graduates in Mathematics, Physics, Engineering, who wish to work in finance, and graduates in Economics, Political Sciences (specialised in Economics), Statistics and Informatics, who wish to acquire the quantitative skills essential for success in this field.

Students attending the Master obtain excellent training in finance including: fundamental analysis of asset prices, risk management, portfolio insurance strategy, international finance and exchange rates analysis, risk management in the energy sector.

In the final stage of the course, internships are arranged with private institutions operating in the financial sector.

FINARM has been designed in close cooperation with experts working in the private sector. 40% of lectures are given by professionals from the following institutions:

• Banca IMI Milano
  
• Banca Fideuram
  
• Capitalia
  
• CABOTO Sim Milano
  
• Unicredit Banca Mobiliare Milano
  
• CONSOB Milano
  
• Arca SGR S.p.A Milano
  
• Ref Milano
  
• ENI
  
• ENEL
  
• Edison
  
• Tolo SRL
  
  A maximum of 30 candidates will be admitted to the Master, according to their relative admissions ranking.
  
  FEES
  
  Tuition fees for the academic session 2006-2007: € 4.000,00.
  Tuition fees must be paid in one instalment at time of enrolment.
  
  2 Students will be sponsored by Cassa Depositi e Prestiti for tuition Fees.
  
  Tuition Fees Payment must be done:
  
  - by interbank transfer to BANCA INTESA SPA - AGENZIA 126 - Sportello Bicocca, ABI: 03069, CAB: 09513, CIN: B, account number 0000004649/18, IBAN: IT50, account holder: Università degli Studi di Milano-Bicocca Piazza dell’Ateneo Nuovo 1 - 20126 Milano.
  
  In order to receive the original diploma of FINARM, there is an extra charge of € 60,00.
  
  APPLICATIONS
  
  Admission to FINARM is open to graduated students in: Economics, Statistics, Mathematics, Physics, Engineering, Informatics, Material Sciences and Political Sciences (specialization: economics).
  
  Courses are taught in English.
  
  Applications shall be submitted not later than 15th December 2006 (12:00 o’clock).
  
  Applicants are invited for an interview on 19th December 2006 at 10:30 o’clock - 'Aula del Consiglio', Facoltà di Economia, III Piano, Edificio U6, Piazza dell'Ateneo Nuovo 1, Milano.
  
  PROGRAM
  
  Bond markets
  This course aims at providing students with a thourogh understanding of bond markets. Other topics addressed include the appraisal of the relationship between financial and macroeconomic variables, such as the impact of monetary policy and business cycles on term structure of interest rates and bond prices.
  
  Dynamic asset pricing theory
  The goal of this course is to analyse asset pricing within a dynamic general equilibrium model. In particular, it focuses on the consumption-CAPM theory and stresses its difficulties in matching the empirical evidence regarding time series properties of risk premia. This course also overviews the role of imperfect information in shaping expectations and the overall efficiency of financial markets.
  
  Risk management
  This course is divided in three units. The aim of the first unit is to provide an understanding of risk measures for the assessment and management of financial risks: Value at Risk, Expected Shortfall, and other widely used indicators. The second unit introduces the statistical methods in risk management and stresses some of the problems in implementing such techniques, i.e. modelling the tails of the “profit and loss” distribution and modelling the volatility. Finally, the third unit looks at how these standard measures of risk are used in managing investments funds and evaluating the performance.
  
  Credit Risk
  This course presents the basic tools for fixed income portfolios management. The issues addressed include interest rate risk, interest rate sensitivity (duration and convexity) and semi-parametric immunization of fixed income portfolio. The course then examines the most common approaches for the quantitative Credit Risk evaluation: CreditMetrics, CreditRisk and CreditMonitor. The final part will focus on credit derivatives pricing, with special emphasis on the growing market of CDS. In addition to lectures, a number of tutorials will be held in the Computer Lab.
  
  Derivatives
  The course starts with a thorough analysis of standard option pricing models. With respect to this, important mathematical concepts such as stochastic processes, brownian motion, stochastic differential equations, Ito’s formula and partial differential equations are dealt with. The models range from classical binomial and Black-Scholes to more recent jump models, stochastic volatility models, local volatility models, mixture models, with an emphasis on the explanation of the empirical findings in equity derivatives (smiles) In line with the scope of FINARM, the final weeks of the course will be devoted to energy derivatives pricing: swaps (Vanilla swaps, Crack swaps etc), Caps Floor & Collar, Spread and exchange options, Path dependent options (Asian, Barrier & lookback options). The latter topic will be dealt jointly with some experts from ENI and ENEL. In addition to lectures, a number of tutorials will be held in the Computer Lab.
  
  Technical analysis
  This unit discusses some of the key techniques to spot trends and cycles in financial prices. Particular emphasis will be given to the analysis and testing of trading systems. In addition to lectures, a number of tutorials in the Computer Lab will be held as well (Software used: Visual Basic and Excel).
  
  Term structure of interest rates
  This unit builds on the course in Derivatives (it requires the knowledge of stochastic processes and arbitrage evaluation) and focuses on most common term structure derivatives (swaps, caps, swaptions, ...) and on their evaluation models, from classical one factor models (Vasicek - 1977) and to forward rate models (HJM framework) to the more recent “markets models”. Some explicit computations will be developed using “change of numeraire” techniques.
  The issue of models calibration to LIBOR data will be dealt with in depth.
  
  Asset management and macroeconomic analysis
  This course presents appplications of quantitative methods and macroeconomic analysis for asset allocation and risk management.
  Lectures are contributed by financial analysts working with Banca Fideuram.
  
  International finance
  This course overviews the financial environment facing firms from an international perspective. Topics covered include the analysis of macroeconomic factors that influence financial decisions in a global economy, determination of exchange rates, the foreign exchange market and financial instruments available for hedging exchange risk.
  
  Emerging markets
  The course is designed to encourage students to develop a critical understanding of the most relevant events regarding emerging markets. Attention is also paid to the analysis of the euro/dollar exchange rate movements, Latin America crisis (1980s), European crisis (1992-93), Asian crisis (1997-98), the financial crisis in Russia and the exchange rate systems in developing countries.
  
  Econometrics
  This course provides an extended presentation of the econometric techniques commonly used to model the main characteristics of financial time series. Throughout, the theory is complemented with a number of computer lab sessions. Software packages: E-Views and Gauss.
  
  Capital Markets, Institutions and Instruments
  This course gives an overview of the contemporary financial institutions and markets microstructure. It considers how capital markets work, their institutions and various financial instruments. There is a strong focus on the organization and regulation of trade in financial instruments and the course will structured around the specific case of Italy. Among the topics addressed, the course covers also a description of some characteristic financial operations, such as rights offerings and initial public offerings, and a brief overview of the role played by financial supervision institutions.