ECO0280 - TOPICS IN INNOVATION ECONOMICS II

insegnamento

ID:

ECO0280

Durata (ore):

40

CFU:

Anno:

2026

Periodo di attività

Secondo Semestre (15/02/2027 - 28/05/2027)

Obiettivi Formativi

The course intends to introduce students to classical topics and recent advances regarding mathematical aspects of risk management and their connection with economics of innovation. The tools of risk theory endow students with an analytical mindset and a strong quantitative preparation, which forms the building block for understanding the foundations of quantitative risk theory.
At the end of the course the student will be able to:
use the main statistical tools to analyse situations in the economic and financial world;
describe the main approaches to the definition of risk measures;
compute the Value at Risk (VaR) for discrete and continuous distributions and for portfolios of stocks;
use historical simulations and the Monte Carlo method to estimate VaR;
analyse the properties and drawbacks of VaR through backtesting;
evaluate the coherence of a risk measure according to its axiomatic definition;
apply the Conditional Value at Risk (CVaR) to portfolio optimization.

Prerequisiti

None.

Metodi didattici

The course consists of 20 hours of lectures and is based on a set of slides prepared by the instructor, covering theory and practical examples. During the lectures, active participation of students is envisaged through exercises and examples assigned and carried out in class, as well as exercises that may be assigned as homework to be completed independently. Additional readings will be communicated during the semester. The teaching material will be posted on the e-learning platform.

Verifica Apprendimento

The exam can be taken in two alternative ways. The first consists of a written test lasting 75 minutes (comprising 2 open questions and 2 exercises). Alternatively, students may carry out a project work in groups of up to 3 members, organized in four parts: the analysis of a dataset with the computation of one of the risk measures studied in the course, an in-depth study on a topic chosen from a given list, the writing of a dissertation, and the oral presentation of the work to the class. In the overall assessment of the project work, the written dissertation accounts for 40% and the oral presentation for 60%. The presentation lasts approximately 10/15 minutes per student. During the presentation, students may be asked to explain the notions covered in the course, where relevant to the topic presented. In case of a positive evaluation (>18/30), students presenting the project work will not be required to take the written exam.

Contenuti

Mathematical and statistical preliminaries. Risk measures: definition and different approaches. Examples of risk measures and numerical aspects. Value at Risk (VaR) and Conditional Value at Risk (CVaR). Applications to project risk management.

Lingua Insegnamento

Inglese.

Altre informazioni

The syllabus can be subject to modifications and changes during the course. Please check periodically the course page on e-learning for possible changes and communications from the instructor.

A Tutoring Service is active at the Department of Economics. More detailed information is available at the following link:
https://www.uninsubria.it/servizi/tutti-i-servizi/tutorato-dieco