FINANCIAL RISK MANAGEMENT

OVERVIEW:

The course focuses on financial risks topics. Financial risks became on the last decade among the most important value drivers. It’s a key issue for a company and for a financial institution to face them in order to create value and to optimize capital allocation in coherency with the expected results and risks.

In particular, it concentrates on the main financial risks. For each one of them the course focuses on the measurement and on the main solutions and techniques in order to manage them. At the end of the course, students will be able to understand in detail most of the current debate on financial institutions through a better understanding of Basel regulation, its requirements and its main outcomes and implications.

CONTENTS DESCRIPTION:

• Financial Risk Management (FRM): Process and Main areas
• Risk and Return
• Mutual funds and Hedge funds
• Trading in financial markets
• The financila crisis
• Basel I, II and III
• Credit risk and Probability of Default
• Operational risk
• Liquidity risk
• VaR
• Scenario analysis and stress testing
• Economic capital

ORGANIZATIONAL ISSUES:

The contents are provided through class lectures, which consist in both theoretical lessons and exercises. Lectures have a strong correspondence with the suggested textbook.

Students should attend class regularly and actively participate, contributing to class learning and discussion. Some sessions will be given through practitioners coming from the most important and highly-reputed financial risk management departments.

The final evaluation will be based upon a written exam.