Politecnico di Torino
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Politecnico di Torino
Academic Year 2016/17
01PDZPG
Corporate financial analysis and lending decisions
Master of science-level of the Bologna process in Engineering And Management - Torino
Teacher Status SSD Les Ex Lab Tut Years teaching
Varetto Franco ORARIO RICEVIMENTO     80 0 0 0 8
SSD CFU Activities Area context
SECS-P/06 8 F - Altre attività (art. 10) Altre conoscenze utili per l'inserimento nel mondo del lavoro
Subject fundamentals
Central themes of the course:
A) Role and characteristics of the financial markets; main financial derivatives [forward, futures, swaps and options] and their use; critics to the dominant financial theory;
B) Actual state of the relationship between banks and non-financial companies;
C) Credit risk regulation; analysis, management and pricing of credit risk; credit derivatives;
D) Debt capacity and companies’ financial decision; rating evaluation and banks’ lending decision.
Contents
1° PART: Financial markets, assets and derivatives
a) Role of the financial markets; concepts of equilibrium, efficiency, completeness and perfection of a financial market
b) Financial derivatives and their use:
• Forward & Futures
• Swaps
• FRA
• Options
c) Fundamental theorems of finance
d) Incomplete financial markets
e) Critics to the dominant financial theory
f) Theoretical and empirical models of the behavior of prices and returns in a modern financial market

2° PART: Analysis and management of credit risk
a) Basel Regulation on credit risk
b) Elements of credit risk: EL, PD, LGD
c) PD models
d) LGD models
e) Internal rating systems
f) Transition matrices
g) Credit portfolio models
h) Credit risk pricing
i) Securitizations and Credit derivatives: CDS and CDO

3° PART: VaR and ES of non-financial companies
a) Risks in non financial companies
b) Liquidity risk and working capital
c) Risks in capital budgeting decisions
d) Valuation of strategies and strategic risks

4° PART: Financial Intermediaries and corporate financing
a) Relationships between banks and companies in Italy: historical and actual situation
b) Corporate credit analysis
c) Basic lending
d) Debt capacity and financial covenants
e) Enterprise value and equity value
f) Financial solutions from corporate and merchant banking, private equity funds and aggressive LBO
g) Corporate crisis management (basics)
Texts, readings, handouts and other learning resources
A.Sironi, A.Resti "Rischio e valore nelle banche" 2° edition EGEA – Milano – 2008 (also for the course "Economis of financial intermediaries")

Lectures notes.
Assessment and grading criteria
Exam: only written.

Programma definitivo per l'A.A.2016/17
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