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Risorse bibliografiche
Risorsa bibliografica obbligatoria
Risorsa bibliografica facoltativa
Scheda Riassuntiva
Anno Accademico 2019/2020
Scuola Scuola di Ingegneria Industriale e dell'Informazione
Insegnamento 097355 - FINANCIAL RISK MANAGEMENT
Docente Giorgino Marco
Cfu 5.00 Tipo insegnamento Monodisciplinare

Corso di Studi Codice Piano di Studio preventivamente approvato Da (compreso) A (escluso) Insegnamento
Ing Ind - Inf (Mag.)(ord. 270) - BV (479) MANAGEMENT ENGINEERING - INGEGNERIA GESTIONALE*AZZZZ097355 - 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.


Bibliografia
Risorsa bibliografica obbligatoriaHULL, J., RISK MANAGEMENT AND FINANCIAL INSTITUTIONS , Editore: WILEY, ISBN: 978-1118955949

Forme didattiche
Tipo Forma Didattica Ore di attività svolte in aula
(hh:mm)
Ore di studio autonome
(hh:mm)
Lezione
30:00
45:00
Esercitazione
20:00
30:00
Laboratorio Informatico
0:00
0:00
Laboratorio Sperimentale
0:00
0:00
Laboratorio Di Progetto
0:00
0:00
Totale 50:00 75:00

Informazioni in lingua inglese a supporto dell'internazionalizzazione
Insegnamento erogato in lingua Inglese
Disponibilità di materiale didattico/slides in lingua inglese
Disponibilità di libri di testo/bibliografia in lingua inglese
Possibilità di sostenere l'esame in lingua inglese
Disponibilità di supporto didattico in lingua inglese
schedaincarico v. 1.6.1 / 1.6.1
Area Servizi ICT
26/01/2020