OVERVIEW

The course includes the theoretical explanation and practical implementation of the most important aspects related to risk management.

During the course the main quantitative measures will be taken to measure the risk with particular reference to the financial one.

AIMS AND CONTENT

LEARNING OUTCOMES

The course delivers the main concepts and principles of risk management to financial intermediaries and teaches the use of risk analysis and measurement tools: credit, liquidity, market, operational risk.

TEACHING METHODS

Lessons; during the lessons they are scheduled lectures by industry professionals.

SYLLABUS/CONTENT

- the pillars of Basel
- risk management in a bank
- pricing of complex financial instruments
- Var (Value at risk)
- Expected Shortfall
- analysis of price variation scenarios by making shocks applied to market parameters influencing the fair value of financial instruments.
- the measures of sensitivity of the fair value (Greek) of a financial instrument with respect to the market variables
- Monte Carlo simulations for the stochastic trend of the variables that influence the price of financial instruments
- quantitative forecasting and analysis of the main components using Machine Learning methodologies
- hedging financial strategies
The course involves the construction of a model portfolio on which the techniques discussed in the class will be applied.

TEACHERS AND EXAM BOARD

Exam Board

GIACOMO BURRO (President)

PIER GIUSEPPE GIRIBONE

LESSONS

LESSONS START

2° semester

Class schedule

RISK MANAGEMENT

EXAMS

EXAM DESCRIPTION

Oral exam: at the end of the lessons a project will also be assigned.

Exam schedule