87864 - TOPICS IN LIQUIDITY RISK

Scheda insegnamento

Anno Accademico 2020/2021

Conoscenze e abilità da conseguire

"The course aims at the in-depth analysis of some topics related to the ALM and liquidity risks within the banking industry. More specifically, during the course the following topics will be studied: - Behavioural models for sight deposits, credit lines and prepayment of loans and mortgages. - The interrelations between the econometric analysis and the standard tools for financial evaluation. - Adjustments to fair value of securities to take into account illiquid markets”

Contenuti

1. Liquidity and banking activity

2. Monitoring Tools for Liquidity

3. Liquidity Buffer and Term Structure of Liquidity

4. Market risk factors and Liquidity

5. Behavioural modelling of Balance Sheet Items 

6. Pricing Liquidity Risk in Derivative Contracts

7. Fund Transfer Pricing Modelling

Testi/Bibliografia

Antonio Castagna and Francesco Fede: Managing and Measuring Liquidity Risk, 2013, Wiley.

Articles and papers indicated during the lessons and available at www.iasonltd.com in the research section.

Metodi didattici

Slides' presentations

Modalità di verifica e valutazione dell'apprendimento

Final Exam

Strumenti a supporto della didattica

Slides provided during the course

Orario di ricevimento

Consulta il sito web di Antonio Castagna