The course topics are located within the following macro-types of risk: credit risk, market risk and liquidity risk. Relevant program details are given below.
CREDIT RISK.
 Scoring models: linear discriminant analysis, regression models, inductive models;
 Capital market-based models: corporate bond spread approach, structural models based on stock prices (Merton and KMV models);
 Recovery Risk and Loss Given Default;
 Rating systems: assignment process, quantification and validation;
 Portfolio models: choice of time horizon and confidence level, migration approach (CreditMetrics), structural approach (Portfolio Manager), macroeconomic approach (Credit Portfolio View), marginal VaR;
 Some applications of models for credit risk;
 Counterparty risk in OTC and CVA markets;
 Credit risk from an ESG perspective.
MARKET RISK
 Market Risk management;
 Market risk. Definition, parametric VaR and empirical estimation of variances and covariances;
 Simulation Models: Monte Carlo simulation, historical simulation;
 Stress testing and Backtesting;
 Evaluation of Var models: conditional and unconditional coverage tests, Lopez tests, and tests based on the entire distribution;
 VaR limits and expected shortfall as an alternative risk measure;
 Market Risk applications;
 Historical volatility estimation and predictive volatility models (Garch), models for estimating implied volatility, and calibration of surfaces according to stochastic valuation models (Heston, SABR);
 Quantitative insights for risk management.
LIQUIDITY RISK
 Definition of liquidity risk;
 Liquidity Risk Framework: risk management, internal transfer rates, measurement;
 Regulatory indicators: Liquidity Coverage Ratio, Net Stable Funding Ratio, Additional Liquidity Monitoring Metrics, Asset Encumbrance;
 SREP and ILAAP.

Resti, A., & Sironi, A. (2007). Risk management and shareholders' value in banking: from risk measurement models to capital allocation policies. John Wiley & Sons

Other material provided by the teacher.