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
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 STENTELLA LOPES FRANCESCO SAVERIO
Programme
Interest rate risk: repricing gap, duration gap e clumpingLiquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
Core Documentation
A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)Type of delivery of the course
Lectures and seminarsAttendance
All students are encouraged to attend both lectures and seminarsType of evaluation
1) For students that have attended all lectures: 2 tests during the semester and a project, which will be evaluated only for students that passed the two tests. teacher profile teaching materials
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 STENTELLA LOPES FRANCESCO SAVERIO
Programme
Interest rate risk: repricing gap, duration gap e clumpingLiquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
Core Documentation
A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)Type of delivery of the course
Lectures and seminarsAttendance
All students are encouraged to attend both lectures and seminarsType of evaluation
1) For students that have attended all lectures: 2 tests during the semester and a project, which will be evaluated only for students that passed the two tests. teacher profile teaching materials
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
Mutuazione: 21210109 RISK MANAGEMENT E CREAZIONE DI VALORE NELLE BANCHE in Finanza e impresa LM-16 STENTELLA LOPES FRANCESCO SAVERIO
Programme
Interest rate risk: repricing gap, duration gap e clumpingLiquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
Core Documentation
A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)Type of delivery of the course
Lectures and seminarsAttendance
All students are encouraged to attend both lectures and seminarsType of evaluation
1) For students that have attended all lectures: 2 tests during the semester and a project, which will be evaluated only for students that passed the two tests.