Learning objectives
The course aims at the development of following skills:
- bank risk measurement and management
- regulatory and internal capital allocation and management
- organization design for effective resources allocation and value creation.
Prerequisites
Basic knowledge on the economics of financial intermediaries and markets
Course unit content
- Basle II: the first and the second pillars
- The definition of regulatory capital and internal capital
- Credit risk management
- Credit risk measurement: the standardized approach and the IRB (internal rating based)approach
- The internal rating system
- The analysis of the balance sheet and the rating assignement process
- The quantification of probability of default (PD)
- The LGD (loss given default) and its measurement models
- The EAD (exposure at default) and its measurement models
- The estimate of unexpected loss with VAR models
- Credit pricing
- The new regulation Basle III
- Operational risk
- Single name concentration and sectorial concentration risk
- Liquidity risk
- The structure of ICAAP – Internal Capital Adequacy Assessment Process
- Reputational risk
- Risk adjusted performance measures and capital allocation
- Corporate governance and internal control systems
Full programme
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Bibliography
A. Resti – A. Sironi, Rischio e Valore nelle Banche, Second edition, EGEA, Milano, 2008.
Teaching methods
Lessons and exercises
Assessment methods and criteria
Oral exam
Other information
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