Asset/Wealth Management

Learning objectives

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. Then, we will look through the wealth management characteristics and business models and 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 address the topic of the reputational risk in wealth management, having a special look at the distribution side.

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

Learning Objectives

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 Risk Metrics Value at Risk (VaR) approach
• Introduction to the computations of VaR for derivatives
• Examples of VaR computations

Professor

• Claudio Tebaldi
  Associate Professor di Metodi Quantitativi per l’Economia e la Finanza, Università Bocconi

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 back-testing 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
  Full Professor of Finance, Bocconi University
  SDA Professor of Accounting, Control, Corporate and Real Estate Finance
  Academic Director Executive Master in Finance
• Antti Ilmanen
  Principal, Director, AQR’s Portfolio Solutions Group.

Learning Objectives

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

• Luca Bagato
  Head of Sales and Business Development, EuroTLX
• Paolo Colla
  Associate Professor of Finance, Bocconi University
• Luca Filippa
  CEO of BIt Market Services
  Southern Europe Managing Director, FTSE Russell

Learning Objectives

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
• Massimo Spadotto
  Head of Structured Finance, Eurizon Capital

Obiettivi

Imparare ad ottimizzare la struttura di portafoglio, sia in ottica asset-only sia nell’ottica della gestione congiunta di attività e passività finanziarie. Discuteremo i limiti dei modelli tradizionali nell’ambito generale degli errori di stima dei parametri e dell’alternativa costituita dai metodi 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

Learning Objectives

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. 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

• Barbara Alemanni
  Professore ordinario di Mercati e Istituzioni Finanziarie, Università di Genova.
  SDA Banking and Insurance Faculty Deputy.
  SDA Affiliate Professor of Banking and Insurance.