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

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.

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