(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).
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Code
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119042 |
Language
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ITA |
Type of certificate
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Profit certificate
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Credits
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8
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Scientific Disciplinary Sector Code
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SECS-P/11
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Contact Hours
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48
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Type of Activity
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Core compulsory activities
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Teacher
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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, 2020. 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
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Dates of beginning and end of teaching activities
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From to |
Delivery mode
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Traditional
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Attendance
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not mandatory
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Evaluation methods
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Written test
Oral exam
A project evaluation
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Teacher
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D'ARCANGELIS Anna Maria
(syllabus)
Credit risk Definition and components. PD estimation. Recovery and exposure risk. Estimation of LGD and EAD Portfolio models and Credit VaR Use of rating in management. Pricing systems. Estimation of risk-adjusted return. Exercise Liquidity risk: funding risk and market risk Control models of short and medium/long term liquidity. Banking book rate risk Counterparty risk Operational risks Risk regulation. The Basel system, the limits of Basel III and risk supervision The EBA supervisory model Capital management Capital allocation. RAPM and value creation
(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, 2020. A. Sironi, The evolution of banking regulation since the financial crisis: a critical assessment, Working Paper, November 2018 Teaching materials by the teachers available on the course website in Moodle
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Dates of beginning and end of teaching activities
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From to |
Delivery mode
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Traditional
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Attendance
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not mandatory
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Evaluation methods
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Written test
Oral exam
A project evaluation
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