85209 - Risk Management (Secs-P/11)

Learning outcomes

The purpose of the course is to provide students with a set of financial tools to properly analyse and manage the risks underlying financial instruments and financial intermediaries. By the end of the course, students learn how to analyze, valuate and manage different types of risks.

Course contents

1. Course overview - Risk Management in Banking 
2. Credit Risk Part I (Probability of Default, Loss Given Default and Exposure at Default, Scoring Models)
3. Credit Risk Part II (Portfoglio Models)
4. Market Risk
5. Liquidity and Interest Rate Risk
6. Counterparty Risk
7. Operational Risk
8. Evolution of Risk Management Regulation in banking

Readings/Bibliography

Andrea Resti, Andrea Sironi
RISCHIO E VALORE NELLE BANCHE

Teaching methods

Lectures (the methods of delivery will be confirmed in the next weeks, in line with University decision on COVD emergency)

Assessment methods

Written exam composed by multiple choice questions and problem solving. Duration of 90 min.

Preliminary mark graduation:

• <18 insufficient
• 18-22 sufficient
• 23-27 good
• 28-30 optimal
• 30+ excellent

The methods of delivery of the exam (face-to-face or online) will be defined according to the indications of the University taking into account the state of emergency COVID.

Teaching tools

Further material provided by the instructor

Office hours

See the website of Andi Duqi