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Risk Management, Integrated Reporting and Sustainability - Module: Financial Risk Management
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Risk Management, Integrated Reporting and Sustainability - Module: Financial Risk Management
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Academic year 2020/2021
- Course ID
- MAN0524A
- Teaching staff
- Prof.ssa Paola De Vincentiis (Lecturer)
Alessio Bongiovanni (Tutor) - Modular course
- Degree course
- BUSINESS ADMINISTRATION - Curriculum: Finance and Accounting
- Year
- 2nd year
- Teaching period
- First Term
- Type
- Related or integrative
- Credits/Recognition
- 6
- Course disciplinary sector (SSD)
- SECS-P/11 - economia degli intermediari finanziari
- Delivery
- Formal authority
- Language
- English
- Attendance
- Obligatory
- Type of examination
- Written
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Sommario del corso
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Course objectives
Learning how to evaluate the map and evaluate the exposure of a company or financial intermediary to different types of risks, with particular reference to market risk and credit risk
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Results of learning outcomes
- Map the exposure of a financial or non-financial companies to different types of risks
- Understand the main features and inter-connections between different types of risks
- Evaluate the exposure to interest rate risks
- Evaluate the exposure to market risk through the value-at-risk and expected shortfall metrics
- Evaluate the exposure to credit risks
- Understand the internal control framework of a firm (first, second and third level controls) along with the risk appetite framework
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Course delivery
The course will include lectures, practical sessions in computer lab and group works.
Should the sanitary emergency of Covid19 require it, the lectures will be delivered through videos, while the practical sessions and group discussion will be organised at SAA in smaller groups if needed.
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Learning assessment methods
The exam will be in written form with a few exercises and essay questions in 1.5 hours.
Should the emergency of Covid19 require social distancing, the exam will be a quiz through Moodle with exercises and multiple choice questions, followed by an oral examination through webex, aimed at confirming the grade of the test.
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Support activities
Tutorial sessions and practical sessions in computer lab will be organised by the teaching assistant, who will also be available through office hours for claryfing doubts and coaching.
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Program
a) Risk classification
b) Interest rate risk evaluation
- repricing gap
- duration gap
- internal transfer rates
c) Market risk evaluation
- value at risk
- expected shortfall
- stress testing
d) Evaluating credit risk
- expcted losses
- EAD, PD and LGD models
- scoring and rating models
- unexpected losses
d) Internal control framework
- first, second and third level controls
- role of the Board of Directors
- Risk appetite framework
Suggested readings and bibliography
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Resti A., Sironi A., RISK MANAGEMENT AND SHAREHOLDERS' VALUE IN BANKING, Wiley Finance.
or
Hull J., RISK MANAGEMENT AND FINANCIAL INSTITUTIONS, MacGraw Hill (latest available edition)
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Note
The teaching activities modalities may vary according to the limitations imposed by the current health crisis. In any case, lectures will be online throughout the academic year.
Le modalità di svolgimento dell'attività didattica potranno subire variazioni in base alle limitazioni imposte dalla crisi sanitaria in corso. In ogni caso è assicurata la modalità a distanza per tutto l'anno accademico.
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