Teacher
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ORTOLANO ALESSANDRA
(syllabus)
Course topics are located within the following macro-types of risk: credit risk, market risk and liquidity risk. Following.
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.
(reference books)
Resti, A., Sironi, A. (2021), Rischio e valore nelle banche. Misura, regolamentazione, gestione, Egea. Readings supplied by the lectures.
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