FORMATIVE OBJECTIVES
The course aims to analyze the problems related to the management - financial and non - of banks.
For this purpose and in particular, the analysis develops along the following main lines:
The role and peculiarities of risk management in financial institutions;
The objectives, the applications and the technical characteristics of the models for the measurement and management of risks.
Capital management and the process of creating value within financial institutions.
EXPECTED LEARNING RESULTS
At the end of the course the students will be able to:
- identify the main aspects related to the evolution of the financial system (knowledge and understanding);
- identify and apply financial risk measurement tools (knowledge and understanding skills applied)
- start and develop an autonomous speech on the subject of financial risks in an advanced banking context (autonomy of judgment)
CONTENTS:
1) Risk management and risk governance
2) Active-passive management and the risk of interest in financial institutions.
- Measurement models and management logics
- Internal transfer rates
3) Liquidity risk: origins and definition
- Measurement models and management logics
4) Market risk: definition and types
- Measurement models and management logics.
4) Credit risk: definition and peculiarity
- Measurement models and management logics
- Model applications for credit risk
6) Operational risk:
- Definition, measurement and management
/) Risks and prospects for regulating capital
8) Origins and evolution of the Basel Accords
BIBLIOGRAPHY WITH EVALUATION METHODS
Andrea Resti and Andrea Sironi, Risk and value in banks, Milan, EGEA, 2008
In the classroom will be provided the lecture notes prepared by the teacher and other educational material for further study.
DIDACTIC METHODS
The teaching is structured on the 48 hours of frontal teaching and provides a strong interactive component between teacher and students.
The frontal teaching consists of theoretical lessons and seminars held by experts in the field of reference.
The course is aimed at the study of financial risk measurement and management methodologies through the discussion of business cases and the evaluation of reliability and robustness of metrics.
PAGINA 2
Participants will be asked to participate actively in classroom activities and to discuss cases to be organized in small groups and in job assignments.
DIDACTIC METHODS
The teaching is structured on the 48 hours of frontal teaching and provides a strong interactive component between teacher and students.
The frontal teaching consists of theoretical lessons and seminars held by experts in the field of reference.
The course is aimed at the study of financial risk measurement and management methodologies through the discussion of business cases and the evaluation of reliability and robustness of metrics.
Participants will be asked to participate actively in classroom activities and to discuss cases to be organized in small groups and in job assignments.
Attendance is optional, recommended, and the final exam will be the same for attending and non-attending students.
OTHER INFORMATION:
E-mail: francescapucci3@gmail.com
Students' days and hours of reception: in course of definition:
To this end, consult the "Notices" section on the teacher's personal web page.
LEARNING PROCEDURE METHODS:
The exam includes a written test that consists of open questions aimed at verifying the learning process, conceptual mastery and the ability to interpret and synthesize.
Numerical exercises are also included in the test exchange.
The duration of the written test is 1 hour and 30 minutes.
The oral examination is optional, at the request of the student.
