Learning objectives
The course aims to provide students with the knowledge and capacity to interpret the financial world, which is a fundamental element of the current economic context in which all businesses operate. To this end, markets and financial intermediaries will be analysed, as well as the principles which regulate the system, more with the aim of highlighting the opportunities it offers in terms of solutions to the financial problems of production and consumption companies rather than to test theoretical models. Examples, therefore, will mainly refer to the Italian and European contexts without neglecting comparisons with other institutional contexts for important subjects. <br />
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Prerequisites
The student should have basis skills in the economics of financial intermediaries
Course unit content
- Choices in dimension and composition of bank assets: regulatory prospects and the management point of view; <br />
- From VAR ( value at risk) to CAR (capital at risk): an integrated approach to risk management; <br />
- From risk measurement to allocation of capital; <br />
- Organisational innovation in banks and the value based principles of management; <br />
- Corporate governance and internal control systems: the organisational requirements for optimizing assets; <br />
- Control of value creation: correct profit measures for risk; <br />
- Allocation of capital and strategy formation. <br />
Full programme
1. Definition and management of bank regulatory capital
2. From Var to Car measures: an integrated approach to risk management
3. From risk measurement to capital allocation
4. Measuring interest rate risk
5. Measuring liquidity risk
6. Measuring operational risk
7. Compliance and compliance risk management
8. ICAAP
9. Innovation in bank organization and value based management principles
10. Corporate governance and internal control systems: organizational requirements to capital optimization
11. RAROC and other risk adjusted performance measures
12. Banking strategies and capital allocation
Bibliography
A. Sironi, A. Resti, Rischio e valore nelle banche. EGEA, Milano, 2008, second edition.
Teaching methods
Lectures and case studies. Project work
Assessment methods and criteria
Oral exam
Other information
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