21201722 - RISK MANAGEMENT IN BANKING

The course aims at analysing the problems connected with both the financial and the non-financial management of banks. Namely, this analysis is carried out along the following streams:
The role and peculiarities of risk management in financial institutions.
The objectives, applications and technical features of risk measurement and management models: interest rate risk, market risk, liquidity risk, credit risk and operational risk.
Capital regulation: recent evolution and problems posed by the recent financial crisis.
Capital management and the process of value creation in financial institutions.
Supervisory policies on financial and insurance institutions, with a focus on internal controls and organizational and capital adequacy.
By the end of this course you should be able to:
Evaluate the impact of the main strategies on the shareholder value creation of modern global banks
Be aware of the main banking risk measurement techniques
Critically evaluate the application of the main risk management techniques in banking
Understand the main capital allocation methods within modern banks
Comprehend why banks need regulation and distinguish between the different types of regulation.

FIORDELISI FRANCO

scheda docente | materiale didattico

Programma

1: Introduction. The role and peculiarities of risk management in financial institutions. Risk management failure during the financial crisis.

2: Interest rate risk: the repricing gap model

3: Interest rate risk: the duration gap model and clumping

4: Interest rate risk: internal transfer rates (ITR)

5: Liquidity risk: funding and market risks, short and medium term control models, new liquidity requirements

6: Market risk: Value at Risk models: parametric approach. Estimating volatilities and correlations.

7: Market risk: mapping risk positions in the parametric approaches

8: Market risk: simulation approaches

9: Market risk: backtesting VaR models, VAR Limits and Expected Shortfall

10: Credit risk management. Scoring models for estimating the probability of default

11: Credit risk management. Market-based models for estimating the probability of default

12: Credit risk management. The recovery risk

13. Credit risk management: Portfolio models

14. Credit risk management: Internal rating system management and application (pricing and risk-adjusted performance measures)

15. Operational risk

16. Banking regulation: from Basel I to Basel III

17. Rethinking banking regulation: Basel 4?




Testi Adottati

1. Main text book
• Joel Bessis, Risk Management in Banking, 4th Edition, John Wiley, 2015 (B)




Bibliografia Di Riferimento

1. Essential Readings • John H. Hull, Risk Management and Financial Institutions, 4th Edition, John Wiley, 2015 (H) • Philip Jorion, Financial Risk Manager Handbook, 6th Edition, John Wiley, 2011 (J) • Resti A. and A. Sironi, Risk Management and Shareholders' Value in Banking, John Wiley, 2007 (RS). 2. Suggested Readings • The economist, 2008. The confession of a risk manager (EC) • European Parliament, Upgrading the Basel standards: from Basel III to Basel IV? (EP). http://www.europarl.europa.eu/RegData/etudes/BRIE/2016/587361/IPOL_BRI(2016)587361_EN.pdf • Basel Committee, Basel III Monitoring Report, 28 February 2017. (BC) https://www.bis.org/bcbs/publ/d397.pdf • Philipp Härle, Andras Havas, and Hamid Samandari, 2016. The future of bank risk management, McKinsey Quarterly, July .(MK) http://www.mckinsey.com/business-functions/risk/our-insights/the-future-of-bank-risk-management • Ernest Young, Rethinking risk management, (EY) http://www.ey.com/Publication/vwLUAssets/EY-rethinking-risk-management/$FILE/EY-rethinking-risk-management.pdf

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