Ing Ind - Inf (Mag.)(ord. 270) - BV (479) MANAGEMENT ENGINEERING - INGEGNERIA GESTIONALE
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ZZZZ
097355 - FINANCIAL RISK MANAGEMENT
Obiettivi dell'insegnamento
The course fits into the overall program curriculum pursuing some of the defined general learning goals. In particular, the course contributes to the development of the following capabilities:
Understand context, functions, processes in a business and financial environment and the impact of those factors on business performance
Identify trends, technologies and key methodologies in a specific domain (specialization streams)
Develop new ideas and solutions in business and financial scenarios evolving over time
Risultati di apprendimento attesi
Indicate the importance of risk management practices inside financial institutions and the drivers that made this topic particularly relevant; understand the role of risk management in preventing issues and difficulties coming from credit, market, liquidity and operational risks. Discuss the importance of the relation between risk and capital. Illustrate a taxonomy of risks and possible strategies to manage them. Express the causes and effects of the last decades financial crisis. Show the main regulatory frameworks and the rationale behind them. Discuss the difference between regulatory capital and economic capital.
Summarize the main financial instruments and the principles of CAPM; explain the key methodologies applied in risk management, in particular VaR, ES, Credimetrics, Credit Risk Plus, Vasicek’s model and all the tools suggested by the regulator in Basel regulation for risk assessment, from the concept of Risk Weighted Assets to LCR and NSFR. Illustrate the main instruments for the estimate of default probabilities.
Illustrate the emerging new business models of the financial institutions and relate each one of them to the risk management activity. Evaluate the connections among risks and business models, expecially during the digital transformation phase.
Argomenti trattati
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
FRM and Digital Transformation
Risk and Return
Mutual funds and Hedge funds
Trading in financial markets
The financial 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.
Prerequisiti
Statistics.
Modalità di valutazione
The final evaluation will be based upon a written exam.
Inglese