The course is based on the basic knowledge of descriptive statistics, financial maths, financial economics
The course is aimed at focusing financial risk management issues in banking
The topics analysed are:
the risk management governance within financial institutions
Metrics to estimate the exposure to financial risks
The capital absorption of financial risks of banking and trading books
The first part of the course offers an overview of the governance of risk management processes within financial institutions.
The overall issues to be studied are:
interest rate risk of the banking book
The Value at Risk and the trading book exposure in financial markets
The funding and market liquidity risks
The operational risk
The reputational risk
Risks and capital
A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008
The teacher will provide other compulsory readings
The course is based on a mix of lectures, speeches from external guest speakers and case studies. The mix enables students to apply concepts to real-life situations and risk management applications.
Participation in class 15%
Group assignments 25%
Final written exam 60 %
In your own interest and of your colleagues, please try to observe the following courtesy rules:
1. Arrive in class on time; do not leave early.
2. Keep your mobiles and laptops off; do not use wireless network emailing in class.
3. Minimize wandering in and out of the classroom.
4. Participate fully in class.
5. Pull your weight in group/joint work. Do not free-ride on your colleagues!
6. Hand in assignments on time. Late submissions will be heavily penalized.