Davide Maspero

I was born in Milan in 1962 and received my Ph.D. in Economics from Bocconi University in 1987. After some teaching in other universities, I returned to Bocconi in 2001 as an Associate Professor in the Department of Finance.

I have been involved since its inception in the Master of Quantitative Finance and Risk Management (MAFINRISK) program, either as a Director or Coordinator.

I am married and have two children.

Associate Professor
Research interests

My teaching activity, as well as my main research interest, has always been in the fields of asset management, risk management, and asset pricing.

Working papers
Maspero, Davide
Risk Management Integration Issues in Large Italian Banks
NEWFIN, Milano, 2000
Maspero, Davide
External assessment of trading activities' market and credit risk
Newfin, Milano, 1999
Selected Publications

Measuring ex-ante Relative Risk for Asset Management Portfolios

Paper presentato al convegno europeo della Financial Management Association, Parigi, 2001

L'attività in derivati delle banche: rischi e informazione integrativa di bilancio

Roma, Bancaria, 2000

Applicazioni avanzate delle reti neurali: pricing dei derivati e previsione della volatilità

Le applicazioni dell'intelligenza artificiale negli intermediari finanziari, Roma, Bancaria, 2000

Un confronto tra modelli VaR alternativi su posizioni in valuta durante la crisi del Sistema Monetario Europeo

La misurazione e la gestione dei rischi di mercato, Bologna, il Mulino, 1997

I modelli VaR basati sulle simulazioni

La misurazione e la gestione dei rischi di mercato, Bologna, il Mulino, 1997

L'uso degli strumenti derivati nella gestione del rischio di cambio in un portafoglio diversificato per valuta

Gli strumenti derivati e le tecniche innovative nella gestione di portafogli obbligazionari, Ricerca NEWFIN, Milano, 1995

Contabilità a valori di mercato e crisi bancarie

Le crisi bancarie, Milano, EGEA, 1995

Il Sistema Monetario Europeo

I mercati finanziari internazionali, Milano, EGEA, 1992

I teach the Asset Management course (20248), which is an optional course for Master of Science students. My main goal in this course is to provide an updated picture of the main relevant technical themes in the asset management industry, enabling fifth-year students to successfully approach the job market in this sphere. 

I also teach an introductory Derivatives course at MAFINRISK, which has the goal to level the playing field on this subject among students coming from different backgrounds. This course covers approximately the first half of the ubiquitous Hull textbook.