- Docente: Giacomo Bormetti
- Credits: 6
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Forli
- Corso: Second cycle degree programme (LM) in Economics and management (cod. 9203)
Learning outcomes
The course aims at characterising the notion of risk. It will present simple quantitative methodologies for risk measurement, easy to reproduce on a spreadsheet. At the end of the lecture series, the student will be able to recognise different source of financial risk, to evaluate it, and to adopt adequate hedging strategies. The course will also provide an overview of the main regulatory requirements for banks and insurance companies.
Prerequisite notions required by students willing to attend lectures: basic notions of probability and statistics.
Course contents
Market risk: Parametric VaR, volatility estimation models; non parametric VaR, simulation methods: Monte Carlo and historical simulations. Stress testing and back-testing. Expected Shortfall.
Interest rate risk.
Liquidity risk.
Credit risk: Credit scoring, Altman's Z-score, logit and probit regressions, Merton's model, and rating.
Operational risk: definition, assessment, and management.
Bank and insurance company regulation: regulatory capital requirements, Basel accords, and Solvency II.
Readings/Bibliography
A. Resti and A. Sironi, Risk Management and Shareholders' Value in Banking, John Wiley & Sons, Ltd. (2007)
Teaching methods
Lectures: Slides and blackboard. Excercises with spreadsheet.
Assessment methods
Written exam about the notions introduced during the course, and solution - with the help of a spreadsheet - of practical problems similar to those discussed with the class.
Office hours
See the website of Giacomo Bormetti