Programme

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

Core Documentation

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

Type of evaluation

1) Only for the students who attend the lectures: 2 written mid-term (each 50% of weight in the final mark) + STATA project(Computer Lab Sessions). The STATA project will assign a maximum of 3 points only to those students who obtain a positive mark in both the mid-terms. Or 2) Oral exam

Programme

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

Core Documentation

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

Type of evaluation

1) Only for the students who attend the lectures: 2 written mid-term (each 50% of weight in the final mark) + STATA project(Computer Lab Sessions). The STATA project will assign a maximum of 3 points only to those students who obtain a positive mark in both the mid-terms. Or 2) Oral exam

Programme

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

Core Documentation

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

Type of evaluation

1) Only for the students who attend the lectures: 2 written mid-term (each 50% of weight in the final mark) + STATA project(Computer Lab Sessions). The STATA project will assign a maximum of 3 points only to those students who obtain a positive mark in both the mid-terms. Or 2) Oral exam

Programme

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

Core Documentation

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

Type of evaluation

1) Only for the students who attend the lectures: 2 written mid-term (each 50% of weight in the final mark) + STATA project(Computer Lab Sessions). The STATA project will assign a maximum of 3 points only to those students who obtain a positive mark in both the mid-terms. Or 2) Oral exam

Programme

Financial crisis
Interest rate risk: repricing gap, duration gap and clumping
Liquidity risk
Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall
Credit risk: Scoring, Portfolio models
Credit risk: Recovery rate e Loss Given Default
Rating systems
Internal models
Reputational risk
Operational risk
Cyber risk
Systematic risk
Banking Regulation: Basel I - Basel III

Core Documentation

• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)

Type of evaluation

1) Only for the students who attend the lectures: 2 written mid-term (each 50% of weight in the final mark) + STATA project(Computer Lab Sessions). The STATA project will assign a maximum of 3 points only to those students who obtain a positive mark in both the mid-terms. Or 2) Oral exam