Second cycle degree in STATISTICAL SCIENCES

Campus: PADOVA

Language: English

Teaching period: First Semester


Number of ECTS credits allocated: 9

Prerequisites: Elements of Economics and Mathematics of Financial Markets, elements of Statistics and Econometrics.
Examination methods: The exam will be given in the form of a group homework. Each group (a team), will receive, at a beginning of the course (groups will be formed within the first two weeks of lectures), a list of tasks pointing at computational finance questions. Each team will have to coordinate activities, inducing team members to interact. During the exam session, each team will show results in the form of a presentation (PowerPoint-like). Each team member must have full knowledge of the presentation and of the analyses performed by the team and of the main findings.
Course unit contents: Introduction (minor module)
- Introduction to financial instruments and markets;
- Investment choices under uncertainty and the approach of Markowitz;
- Market equilibrium, CAPM and APT, and market efficiency.

Main module:
1. The formalization of computational problems into a statistical package
2. Asset Allocation: from the approach of Markowitz to Risk Budgeting
3. Backtesting and performance evaluation
4. Introduction to Market Risk Management

The program might be subject to changes depending on a number of elements including: the interest of the students and their ability to solve computational problems with the statistical sowftare; the occurrence of particular events in the financial markets. Changes to the program content will affect the list of tasks included in the team work.