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Financial Risk Management

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Financial Risk Management

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Academic year 2019/2020

Course ID
MAN0303
Teaching staff
Paola De Vincentiis (Lecturer)
Jonathan Michael Williams (Lecturer)
Alessio Bongiovanni (Tutor)
Year
2nd year
Type
Related or integrative
Credits/Recognition
12
Course disciplinary sector (SSD)
SECS-P/11 - economia degli intermediari finanziari
Delivery
Formal authority
Language
English
Attendance
Optional
Type of examination
Written
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Sommario del corso

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Course objectives

The course aims at discussing various type of risks that affect financial and non financial companies. In particular the focus is on: 

a) market risks (interest rate risk, foreign exchange risk, equity price risk)

b) credit risk

c) operational risks

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Results of learning outcomes

By the end of the course the student shoud be able to:

a) analyse the main sources of risk potentially affecting the activity of a company

b) understand the main types of risk assessment metrics

c) propose basic risk mitigation strategies

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Course delivery

The course will alternate traditional lectures with group works and computer lab simulations. 

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Learning assessment methods

The final grade will be determined taking into consideration three components:

a) written exam with quantitative exercises

b) group works assessment

c) oral examination on the main concepts covered during the lectures

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Support activities

A tutor will be available to clarify doubts and support the leaning process. The tutor will organise a minimum of 3 training sessions (2 hours each), especially focusing on the quantitative exercises.

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Program

Overview of the main types of risks

Market risk

a) Interest rate risk measurement (repricing gap and duration gap)

b) Interest rate risk management (internal trasfer rate system)

c) Market risk measurement (Var and expected shortfall)

Credit risk

a) Expected loss and unexpected loss

b) Exposure at default, probability of default, loss given default and recovery rate

c) Credit scoring and credit rating

d) Credit classification and credit risk provisioning

Risk mitigation techiniques:

a) Hedging

b) Insurance

c) Transfer

Enteprise risk management structure:

a) First, second and third level control

b) Risk appetite framework and risk strategy

c) Board of directors' role, directors' selection criteria and intra-board committees

d) Remuneration policies for material risk takers

Suggested readings and bibliography

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A. Resti, A. Sironi, Risk management and shareholders' value in banking. From risk measurement models to capital allocation policies, Wiley, 2007

(the chapters to be studies for the exam will be detailed on Moodle later on, during the course).

Extra material uploaded on Moodle platform.



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