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85209 - Risk Management (Secs-P/11)

Academic Year 2026/2027

                
                        Docente:
                        Giovanni Cardillo
                    
                        Credits:
                        6
                    
                        SSD:
                        ECON-09/B
                    
                        Language:
                        Italian
                    
                        Teaching Mode:
                        In-person learning (entirely or partially)
                        
                            Campus:
                            Forli
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Economics and Commerce (cod. 6799)

                                    Course Timetable
                                
from Nov 09, 2026 to Dec 15, 2026

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

The course is organised in two blocks of five lectures each.

Block 1. The economics and management of banking

Banking activity and the regulatory framework: definition of a bank, evolution of the credit system within the European context, the Consolidated Banking Act (TUB) and the Consolidated Law on Finance (TUF), contractual transparency, anti-money laundering, usury legislation, antitrust rules, the architecture of supervisory controls and the European Banking Union
Funding: objectives and instruments of funding policy, technical forms of funding (current accounts, savings deposits, certificates of deposit, repurchase agreements, bank bonds, structured securities), alternatives to direct bank funding
Lending: the contribution of loans to the bank's managerial equilibria, risks of lending activity, loan policy and portfolio diversification, short-term and medium to long-term technical forms, signature credits, household lending
Derivatives activity: financial and credit derivatives, hedging, speculation, arbitrage, optimisation of regulatory capital
Liquidity management and the risk map: funding and market liquidity risk, reserves and central bank operations, LCR and NSFR, taxonomy of banking risks, capital allocation and value creation

Block 2. Risk measurement and capital regulation

Interest rate risk: the repricing gap model and the duration gap model
Market risk, part I: Value at Risk under the parametric, or variance-covariance, approach
Market risk, part II: historical and Monte Carlo simulation models, stress testing
Bank capital regulation, part I: the 1988 Capital Accord and capital requirements for market risks
Bank capital regulation, part II: the new Basel Accord, the three pillars, Basel 3 and 3.5

Readings/Bibliography

Roberto Ruozi, Economia della banca, Egea, quinta edizione: CHs. 1, 4, 5, 8, 10, 14, 15, 16.

Andrea Resti, Andrea Sironi, Rischio e valore nelle banche, Egea: CHs. 1, 2, 6, 8, 19, 20, 21 e Appendice (Basilea 3 e 3.5).
Materiale fornito dal docente.

Teaching materials provided by the instructor.

Teaching methods

Theoretical lectures: introduction to concepts, models and frameworks.

Exercise sessions: calculations and problem sets for practical application.

Empirical lectures: applications to real data using Excel.

Assessment methods

Written exam composed by 11 multiple choice questions and 3 open questions. Duration of 60 min.

Preliminary mark graduation:

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

Teaching tools

Teaching materials provided by the instructor

Office hours

See the website of Giovanni Cardillo