Risk management - ENG

RISK MANAGEMENT

Prof. Mario Valletta

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


Educational aims

The course aims at providing the knoweldges that are required in order:
-    to achieve a thorough understanding of the main risks to which financial intermediaries are exposed;
-    to analyze the regulatory requirements that impact on the management of these risks;
-    to understand the characteristics and the limits of the models that can be used for the measurement and the management of the risks at issue;
-    to understand  the objectives of risk-adjusted performance measures.


Content of the course

-    Introduction to the course: educational aims, content, teaching methods, rules for the examination
-    Types of risks to which financial intermediaries are exposed
-    Analysis, measurement and management of the interest rate risk: repricing gap, duration gap, cash-flow mapping, internal rates of transfer
-    The liquidity risk
-    Analysis, measurement and management of market risks (trading book): the variance-covariance approach; VaR
-    Analysis, measurement and management of the credit risk: probability of default, exposure at default, loss given default, scoring models, recovery risk, loss given default
-    Rating models
-    The pricing of loans
-    Risk management, regulatory requirements and prudential supervison of banks: from Basle 1 to Basle 3
-    Capital management and capital allocation in banks
-    Risk adjusted performance measures
-    Value creation at banks


Course Texts

Required text:

A. Resti and A. Sironi, Rischio e valore nelle banche, EGEA, Milano, 2008 (2nd edition) The book is available in the library

except: chapt. 7; chapt. 8; paragraph 12.3 and Appendices B and C; paragraphs from 15.4 to 15.9 (pp. 518-544); chapt. 17; chapt. 22; paragraphs 23.3 and 23.4 (pp. 808-826); paragraph 25.4 (pp. 886-892).    

The text is available at the Library of the Department.

Other teaching materials will be available in the course official web page at the following link: https://eco.dir.unipmn.it. For further information, please make reference to the above mentioned official web page. The login to this web page requires a password: please contact instructor to get it (mario.valletta@unipmn.it )

Teaching methods

The instructors will use a mix of different teaching methods (traditional lectures, interventions of professional guest speakers, exercises and simulations).
Class participation is not compulsory.

Examination

One compulsory written exam (closed books closed notes) with a 60 minute duration, covering the whole course program. Students that have achieved at least 18/30 in the written examination can sit for an oral examination (which is not compulsory) whose evaluation will contribute, either negatively or positively, to the final mark. For further information, please make reference to the course official web page at the following link: https://eco.dir.unipmn.it .