D1 - Knowledge and understanding.
At the end of the course, the student will have to prove to know the interest rates term structure and bond markets, the main types of interest rate derivatives and their valuation in some simple cases, credit risk and credit derivatives, and risk measures.

D2 - Applying knowledge and understanding.
At the end of the course, the student must be able to analyze bond instruments and their derivatives, he/she must critically know the hypotheses underlying these analyses, know how to use derivative instruments for risk management, know the strengths and weaknesses of risk measures and be able to build an algorithm for their calculation.

D3 - Making judgments.
At the end of the course the student will have understood the concepts presented during the course and will be able to apply them to situations other than those illustrated.

D4 - Communication skills.
At the end of the course, the student will be able to express himself appropriately on the topics of the course, with correct use of language and exposure proficiency.

D5 - Learning skills.
At the end of the course, the student will be able to autonomously undertake the study of more advanced topics.

Basic notions of Financial Mathematics, Statistics and Probability.

The following topics will be covered in the course: - risk measures; - factor models; - equity and bond markets; - interest rate term structure; - interest rate derivatives; - estimate of the interest rate term structure; - credit risk.

A. J. McNeil, R. Frey. P. Embrechts, Quantitative Risk Management: Concepts, Techniques and Tools (2ndedition), 2015.
J. C. Hull, Risk Management e Istituzioni Finanziarie (3a edizione), Pearson, 2013.
L. Martellini, P. Martellini e S. Priaulet, Fixed Income Securities. Valuation, Risk Management and PortfolioStrategies, John Wiley & Sons, 2003.
F. J. Fabozzi (Editore), The Handbook of Fixed Income Securities, McGraw-Hill, 2000.
S. Benninga, Modelli Finanziari, McGraw-Hill, 2010.
G. Castellani, M. de Felice, F. Moriconi, Manuale di Finanza (vol. I), Il Mulino, 2006.
F. J. Fabozzi, S. V. Mann, M. Choudhry, The Global Money Markets, John Wiley & Sons, 2002.
R. Flavell. Swaps and Other Derivatives, John Wiley & Sons, 2002.

Frontal lessons, examples, and classroom discussions.

Oral exam in which the student's ability to autonomously elaborate the topics introduced in the course will be evaluated, with particular attention to the ability to connect the concepts.

This course explores topics closely related to one or more goals of the United Nations 2030 Agenda for Sustainable Development (SDGs)