Learning objectives
<br />The aim of the course is to develop the knowledge and skills of the students relative to:<br />a) the keys for understanding the drastic evolution of the banking system, with particular reference to the innovation of fundamental credit processes and tools;<br />b) models for constructing internal ratings and the principles for correctly establishing lending processes, also in the light of the new orientations of international vigilance;<br />c) impact of the aforementioned innovations on organisation, management models and bank-company relations.<br />The students can study concrete problems of bank management, developing general management skills and acquiring specialist skills in credit risk management that can be used both in banks and financial intermediaries, consulting companies, and computing companies that are accompanying the banks in their evolution.The course includes lessons and operational studies also with the support of case studies.
Prerequisites
<br />Students shall preferably have followed the previous teachings in financial tools, economics of the financial system and corporate banking during the three-year course.<br />The students must have acquired basic skills relative to VAR models.
Course unit content
<br />The new definition of credit risk<br />- The bases of credit risk management<br />- International supervision and Basel 2 <br />- Credit risk models and rating systems <br />- The diffusion of rating in banks<br />- The role of rating agencies and external information sources<br />- The implementation of rating systems: the process of rating assignment<br />- The processes of rating quantification<br />- The Supervisory Authority and the process of internal rating validation<br />- The context and strategy of Italian banks
Full programme
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Bibliography
<br />DE LAURENTIS G., CASELLI S., Miti e verita di Basilea 2, EGEA, Milan, 2004SIRONI A., Rischio e valore nelle banche, EGEA, Milan, 2005
Teaching methods
Assessments will be based on oral interviews, during which both the knowledge of the basic concepts of the definition of credit risk and the applicable regulations on property requisites (Basel 2 and the CRD Directive) and on the skills acquired relative to the risk measurement models with particular reference to the determination of PD, LGD and EAD ratings.
Assessment methods and criteria
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Other information
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