The main objectives of the course are: (i) to develop knowledge to define, measure and manage the main types of risks faced by banks; (ii) to analyze the constraints deriving from regulation to the risk measurement procedure and capital quantification; (iii) to analyze and evaluate the creation of value.
Curriculum
teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
. teacher profile teaching materials
The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 CARBONI MARIKA
Programme
The main contents of the course are the following:The role and characteristics of risk management in banking.
Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR).
Liquidity risk. Funding and market liquidity risks.
Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall.
Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems.
Operational risk.
Regulation. The Basel Accords.
Value creation.
Core Documentation
A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (including updates on the website www.egeaonline.it).Type of delivery of the course
.Attendance
Recommended attendance but not compulsoryType of evaluation
.