Risk management - eng

RISK MANAGEMENT

Prof. Mario Valletta

Course Code: EA081
Subject Code: SECS-P/11
6 ECTS - 48 hours
Location: Novara


•    Course language
Italian (32 hours) and English (16 hours)    

•    Course topics
The Course provides an in-depth insight about the features of the variuos types of risks to which financial intermediaries are exposed as well as of the main methods used in order to measure and evaluate such risks. A considerable attention is dedicated to both the organizational requirements and implications of these activities and the impact of EU and national regulation. Furthermore, the Course provides the knowledges needed to understand the meaning and the objectives of different risk-adjusted performance measures, as well as the logic and the managerial problems of the capital allocation process at banks.


•    Course textbooks and other teaching material
o    Resti A. e A. Sironi, Rischio e valore nelle banche, EGEA, Milano, 2008 (2° edizione).  The textbook is available at the Library of the Department.
The whole volume with the following exceptions: chapters 7 and 8; paragraph 12.3 and Annexes B e C; paragraphs from 15.4 to 15.9 (pp. 518-544); chapters 17 and 22; paragraphs 23.3 e 23.4 (pp. 808-826); paragraph 25.4 (pp. 886- 892).
o    The textbook is available at the Library of the Department.

o    The instructor will provide articles, working papers and reports in order to deepen specific course topics by the course official web page at the following link: https://eco.dir.unipmn.it . The login to the web page requires a password; please contact the instructor to get it ( mario.valletta@uniupo.it ).


•    Teaching goals
The Course aims at deepening the knowledge of:
-    the different risks to which financial intermediaries are exposed;
-    the main methods for the analysis, the measurement and the evaluation of such risks, paying a particular attention to the organizational implications of these methods;
-    the role of Risk Management in the decision-making processes at financial intermediaries, in view of an effective capital allocation and an adequate value creation.
Finally, the Course aims at developing the fundamental professional skills featuring the Risk Management  function at financial intermediaries.

•    Prerequisites
None.

•    Teaching methods
Face-to-face lessons and exercises and simulations. During the Course some guest speakers will be invited to share with the class their professional experience.

•    Further information
Further information can be found in the Course official web page at the following link: https://eco.dir.unipmn.it

•    Course evaluation
One compulsory written exam (closed books and closed notes) with a 60-minute duration, covering the whole course syllabus. A mid-course written exam will be provided (not compulsory).  

•    Course Syllabus
-    Introduction on the course: objectives, program, assessment.
-    The role of Risk Management for an effective control of risks: lessons from the crisis
-    The types of risks faced by financial intermediaries.
-    Analysis, measurement and valuation of the interest rate risk: the repricing gap model, the duration gap model, models based on cash-flow mapping, internal transfer rates.
-    The market liquidity risk and the funding risk
-    Analysis, measurement and valuation of market risks: the variance-covariance approach, VAR models: applications and limitations.
-    Analysis, measurement and valuation of the credit risk: probability of default, exposure at default, loss given default, credit scoring models, recovery risk and loss given default.
-    Rating models.
-    Loan pricing models.
-    The basic features of operational risk.
-    Risk management, capital requirements and prudential supervision of banks: from Basel 1 to Basel 3.
-    The process of capital allocation in banks.
-    Risk-adjusted performance measures.
-    Cost of capital and value creation in banks.