Politecnico di Torino
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Politecnico di Torino
Academic Year 2016/17
01PQTPG
Economics of Financial Intermediaries
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     64 16 0 0 7
SSD CFU Activities Area context
SECS-P/06 8 D - A scelta dello studente A scelta dello studente
Subject fundamentals
Central themes of the course:
A) Macrofinance: market-oriented and intermediaries-oriented financial systems; roles and characteristics of financial intermediaries; macroeconomic risks;
B) Banking regulation and financial risks;
C) The financial crisis and its effects on banking regulation;
D) The policies of banks and their investment and financing decisions; financial analysis of banks’ annual reports;
E) Insurance companies and regulation; elements of insurance mathematics.
Contents
1° PART: Elements of Macrofinance
a) Financial flows of the Italian economy
b) Markets and intermediaries in the Italian financial system
c) Taxonomy of financial systems: market-oriented and intermediaries-oriented systems
d) Elements of the theory of the financial intermediation and information asymmetry
e) Macroeconomic risks


2° PART: Banking regulation and the crisis
a) Basel Regulation
b) Financial crisis and banking system
c) Interest rate risk
d) Market risks and VaR’s model
e) Volatility estimates and garch model
f) Non-parametric VaR and Monte Carlo simulation
g) Liquidity risk
h) Credit risk
i) Operational risk
j) Critics to VaR models, coherent measures of risk, expected shortfall
k) Extreme value theory and tail-related metrics
l) Risks’ correlation and dependence
m) Capital allocation and risk-adjusted profitability


3° PART: Financial intermediaries
a) Banks’ investments and financing policies
b) Financial services
c) Investment funds and private banking
d) Merchant banking
e) Analysis of banks’ financial reports
f) Leasing companies
g) Factoring companies
h) Investment banks and corporate finance
i) Insurance companies
j) Insurance mathematics.
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 "Corporate financial analysis, risks and lending decisions")

L.Nadotti, C.Porzio, D.Previati "Economia degli intermediari finanziari", 2° edition, McGraw Hill Italia, 2013

Readings and papers from IMF, BIS, ECB and BI

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

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