1 A. Asset/Wealth Management


Business Strategy in Asset Management

Learning objectives

The course Business Strategy in Asset Management presents the basic elements that are useful to evaluate an asset management company. The course will start with an analysis of the different business models in asset management, and then will focus on understanding investment organization, product development, distribution, operational and control functions.

Content

  • An introduction to asset management
  • Different business models in asset management
  • Understanding investment organizations
  • Understanding product development
  • Understanding distribution
  • Understanding operations and control functions
  • Understanding the P&L of an asset management company
  • Strategy in asset management

Professor

Andrea Beltratti
Full Professor of Finance, Bocconi University
SDA Professor of Accounting, Control, Corporate and Real Estate Finance
Academic Director Executive Master in Finance

Sandro Pierri
Former CEO, Pioneer Investments,
Director, Unipol Gruppo Finanziario
Strategic Advisor, Financial Services

Tommaso Corcos
Chief Executive Officer and General Manager, Eurizon Capital SGR

Regulation

Learning objectives

This course Regulation discusses why and how public authorities intervene in financial markets, with a special focus on wealth management. The starting point is the reason why the financial system needs regulation, after having discussed this topic, we will look through the wealth management characteristics and business models. The course will debate the impact of the prudential regulation and the investor protection approach. We will discuss the regulatory framework on both the investment services production side and the distribution side.  Finally, we will discuss the topic of the reputational risk in wealth management, having a special look at the distribution side.

Course content

  • Regulatory environment: a special Focus on Wealth Management
  • Key Risk Factors in Wealth Management and Impact of regulation on business models
  • The CRD IV risk governance approach: effects in wealth management
  • The MiFID and ESMA regulation on “Know your customer rule”
  • The UCITS regime
  • The AIFMD directive: scope and implementation
  • The AML regulatory framework: source and consequences of reputational risk in wealth management
  • A comprehensive fund distribution approach: the Allfunds case history

Professor

Paola Musile Tanzi
SDA Professor of Banking and Insurance
Full Professor of Banking and Finance

Gianluca Renzini
Deputy General Manager, Allfunds Bank

Andreas Stepnitzka
Senior Regulatory  Policy Advisor, EFAMA

Risk in Financial Portfolios

Learning Objectives

The course Risk in financial portfolios aims at introducing participants to the basic ideas of risk measurement and risk management. Stress is given to classic multifactor models for the statistical analysis of vectors of returns (in particular in the stock market case). The basic ideas of Value at Risk and its estimation are discussed with examples. A quick description of more advanced techniques and of the computation of VaR for derivatives is provided.

Content

  • Introduction: definitions of risk in financial returns
  • Some statistical stylized facts on return distributions
  • Modelling the joint evolution of returns in a portfolio: factor models
  • The classic RiskMetrics Value at Risk (VaR) approach
  • Introduction to the computations of VaR for derivatives
  • Examples of VaR computations

Professor

Francesco Corielli
Associate Professor of Applied Mathematics, Bocconi University

Domenico Mignacca
Head of Risk Management, Eurizon Capital

 

Factor and Long Run Investing

Obiettivi

Analizzare le tecniche per la creazione di portafogli sensibili a specifici fattori di rischio, come size, value e momentum, che rappresentano le basi per la nuova generazione di prodotti smart beta, e discutere gli strumenti per la gestione di portafoglio di lungo periodo.

Contenuti

  • I fattori di rischio
  • I risultati di backtesting delle strategie
  • La combinazione dei fattori di rischio
  • Rischio e rendimento nel lungo periodo
  • La scelta di portafogli per il lungo periodo

Docenti

Andrea Beltratti
Academic Director EMF

Exchanges and Trading Venues

Learning Objectives

The course Exchanges and Trading Venues describes the trading environment –market structure, venues, and participants. The course will start with an overview of the trading process, focusing on the orders traders place and the clearing mechanisms in order-driven markets. An analysis of the organization and regulation of trading venues around the world will follow. Finally, the course will deal with quote-driven markets with special attention devoted to the microstructure of the corporate bond market.

Content

  • Trading in order-driven markets: batch auctions and limit order books
  • Market quality and trading costs
  • Trading venues: exchanges and alternative trading systems
  • Regulation; Post Trading; Market fragmentation
  • Governance of Financial Infrastructure
  • Trading in quote-driven markets: dealers and inventories
  • Algorithmic trading
  • The microstructure of the corporate bond market

Professor

Paolo Colla
Associate Professor of Finance, Bocconi University

Luca Filippa
CEO of BIt Market Services
Southern Europe Managing Director, FTSE Russell

Luca Bagato
Head of Sales and Business Development, EuroTLX

 

Alternative and Real Assets

Learning Objectives

The course Alternative and Real Assets looks at alternative and real assets. Specifically we will look into the valuation of different commodities assets like energy, precious and industrial metals as well as agricultural commodities. We also address the question if commodities have a risk premia like other traditional asset classes and look into other factors that drive price returns of commodities apart from valuation. Lastly we will look into the role of commodities within a wider Multi Asset portfolio and the benefit to diversification of the overall portfolio risk.

Content

  • ABS and MBS
  • Credit enhancement and securitization
  • Airline industry and asset characteristics
  • Aviation finance and capital structure
  • Commodities risk premia and valuation models
  • Energy, natural gas, metals, agricultural commodities
  • Investing in infrastructure
  • A case study of infrastructure investing

Professor

Stefano Gatti
Associate professor of Banking and Finance, Bocconi University
SDA Professor of Banking and Insurance
Director Full-time MBA

Alessandro Gavazza
Professor of Economics, London School of Economic

Massimo Spadotto
Head of Structured Finance, Eurizon Capital

Portfolio Optimisation & Liability-driven Investments

Obiettivi

Imparare ad ottimizzare la struttura di portafoglio, sia in ottica asset-only sia nell’ottica della gestione congiunta di attività e passività finanziarie. I limiti dei modelli tradizionali vengono discussi nell’ambito della tematica generale degli errori di stima dei parametri, e dell’alternativa costituita dai metodi robusti di ottimizzazione. Il secondo obiettivo del corso è quello di considerare l’ottimizzazione nell’ambito della tecnica di liability-driven investment, includendo le tecniche dinamiche che usano o simulano la presenza di opzioni, come la CPPI.

Contenuti

  • L’ottimizzazione di portafoglio
  • Gli errori di stima e l’ottimizzazione robusta
  • Il modello di Black e Littermann
  • La valutazione delle passività
  • L’uso del CPPI
  • Derivati e LDI


Docenti

Maria Debora Braga
SDA Professor di Intermediazione Finanziaria e Assicurazioni

Giuseppe Corvino
Professore Associato di Economia degli Intermediari Finanziari, Università Bocconi
SDA Professor di Intermediazione Finanziaria e Assicurazioni

Household Finance

Learning Objectives

The course Household Finance is divided in two parts. The first part of the course outlines various stages of portfolio decision making and compares optimal precepts to actual household decisions as measured in the data. Topics include participation, risk taking, rebalancing, diversification, value investing and hedging. Do households follows the basic precepts of financial theory? Which households makes the largest mistakes? How costly are deviations from optimal behavior? How do households invests as they get richer? The second part of the course will focus on three key issues: the characterization of households preference for risk, their measurement and determinants. The role of trust in shaping households financial decisions and the relation with financial intermediaries; and finally the role and working of financial advice, investigating who relies on advice, why they do and whether advice is rewarding or not. .

Content

  • Participation and diversification: cost of financial mistakes
  • The determinants of financial risk taking
  • Rebalancing and value investing: household sophistication and wealth
  • Understanding households preferences for risk
  • Trust in finance and household behavior
  • Financial advice

Professor

Paolo Sodini
Professor of Finance Stockholm School of Economics

Luigi Guiso
Axa Professor of Household Finance
Einaudi Institute for Economics and Finance