| RISK MANAGEMENT |
|
Code
|
18283 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
| Module:
(objectives)
At the end of the Risk Management (Credit, Counterparty and other risks) course, students will have acquired:
(a) advanced knowledge regarding domestic and international risk regulations (knowledge and understanding);
b) knowledge of traditional and innovative issues, through textbooks and articles of academic or professional cut (learning skills).
c) advanced knowledge of the main advanced models for measuring and managing first- and second-pillar risks, also from the point of view of bank performance
use from a bank performance measurement perspective (knowledge and understanding);
d) the ability to apply models for measuring market risks (credit risk, operational risk, interest rate risk on the banking book, liquidity risk, concentration risk (applying knowledge and understanding);
Students are provided with exercises and are assigned a project work that allows them to develop the ability to search for data and information to be processed, to process advanced quantitative models and reach conclusions about the capital adequacy (making judgments); to work in a team and to organize and manage a project (learning skills) and communication with the teacher; the ability to communicate results, revealing critical points and analyzing the output using autonomy of judgment (communication skills), managing Excel and programming languages (communication skills).
|
|
Code
|
18283-1 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
4
|
|
Scientific Disciplinary Sector Code
|
SECS-P/11
|
|
Contact Hours
|
24
|
|
Type of Activity
|
Core compulsory activities
|
|
Teacher
|
D'ARCANGELIS Anna Maria
(syllabus)
Part I: Risk management.
Market risk. Definition, parametric VaR and empirical estimation of variances and covariances.
Simulation Monte Carlo, historical simulation
Stress testing and Backtesting
The limits of VaR and the expected shortfall
II part: applications for the Market Risk
Non-frontal activity _ review of topics from previous exams (financial engineering, statistics for finance, VBA): volatility estimation, correlations, vol estimation models, VBA MATLAB).
Quantitative insights for risk management
Downside risk in non-Normal contexts: Filtered Historical, Cornish-Fisher, t-distribution and EVT.
RM for portfolios with complex optional content - Beyond BSM: Local Vol Models, Displaced Diffusion and CEV. Stochastic volatility valuation models: Heston, SABR. Volatility surface estimation for equity and FX.
(reference books)
A. RESTI, A. SIRONI, Rischio e valore nelle banche, Milano, EGEA, 2008.
Teaching materials by the teachers available on the course website in Moodle
|
|
Dates of beginning and end of teaching activities
|
From to |
|
Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
Evaluation methods
|
Written test
Oral exam
A project evaluation
|
|
|
| Module:
(objectives)
At the end of the Risk Management (Market Risk) course, students will have acquired:
(a) advanced knowledge regarding domestic and international risk regulations (knowledge and understanding);
b) knowledge of traditional and innovative issues, through textbooks and articles of academic or professional cut (learning skills).
c) advanced knowledge of the main advanced models for measuring and managing first- and second-pillar risks, also from the point of view of bank performance
use from a bank performance measurement perspective (knowledge and understanding);
d) the ability to apply models for measuring market risks (credit risk, operational risk, interest rate risk on the banking book, liquidity risk, concentration risk (applying knowledge and understanding);
Students are provided with exercises and are assigned a project work that allows them to develop the ability to search for data and information to be processed, to process advanced quantitative models and reach conclusions about the capital adequacy (making judgments); to work in a team and to organize and manage a project (learning skills) and communication with the teacher; the ability to communicate results, revealing critical points and analyzing the output using autonomy of judgment (communication skills), managing Excel and programming languages (communication skills).
|
|
Code
|
18283-2 |
|
Language
|
ITA |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
4
|
|
Scientific Disciplinary Sector Code
|
SECS-P/11
|
|
Contact Hours
|
24
|
|
Type of Activity
|
Core compulsory activities
|
|
Teacher
|
PATACCHINI Silvia
(syllabus)
Part I: Risk management.
Market risk. Definition, parametric VaR and empirical estimation of variances and covariances.
Simulation Monte Carlo, historical simulation
Stress testing and Backtesting
The limits of VaR and the expected shortfall
II part: applications for the Market Risk
Non-frontal activity _ review of topics from previous exams (financial engineering, statistics for finance, VBA): volatility estimation, correlations, vol estimation models, VBA MATLAB).
Quantitative insights for risk management
Downside risk in non-Normal contexts: Filtered Historical, Cornish-Fisher, t-distribution and EVT.
RM for portfolios with complex optional content - Beyond BSM: Local Vol Models, Displaced Diffusion and CEV. Stochastic volatility valuation models: Heston, SABR. Volatility surface estimation for equity and FX.
(reference books)
A. RESTI, A. SIRONI, Rischio e valore nelle banche, Milano, EGEA, 2008.
A. Resti, A. Sironi, Basilea 3 e 3.5: le principali novità, capitolo 26, Rischio e valore nelle banche.
A. Sironi, The evolution of banking regulation since the financial crisis: a critical assessment, Working Paper, November 2018
Materiale didattico a cura dei docenti disponibile nel sito del corso in Moodle
|
|
Dates of beginning and end of teaching activities
|
From to |
|
Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
Evaluation methods
|
Written test
Oral exam
A project evaluation
|
|
|
|
