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

A. RESTI, A. SIRONI, Rischio e valore nelle banche, Milano, EGEA, 2008.
Teaching materials by the teachers available on the course website in Moodle