RISK MANAGEMENT AND COMPLIANCE

To provide students with a comprehensive and critical understanding of the concepts, tools, and techniques underpinning risk management and pricing. To foster students’ analytical and evaluative skills in the interpretation, assessment, and implementation of risk management practices and policies. To engage students in the systematic exploration and critical examination of the fundamental principles of risk management. To enable students to identify, analyse, and explain the complete risk management process, with particular emphasis on risk identification and the evaluation of associated potential costs.

Students enrolled in this course are expected to possess a foundational knowledge of: (i) probability and statistics; (ii) mathematical finance; and (iii) asset pricing. Prior exposure to stochastic processes and partial differential equations would be advantageous, although it is not a formal prerequisite.

Upon successful completion of the course, students will be expected to demonstrate a thorough understanding of contemporary risk management theories and practices, as well as the ability to apply, assess, and critically interpret state-of-the-art risk management approaches.

The course is designed to provide a rigorous introduction to the principal concepts, tools, and techniques of risk management in the banking and insurance sectors. Adopting an integrated perspective, the course places particular emphasis on the analysis, design, and implementation of risk management practices and frameworks. It also examines recent developments in financial regulation, with specific attention to the implications of the evolving regulatory landscape for future risk management practices. Theoretical models and methodological approaches presented throughout the course will be complemented by empirical applications and practical implementation.

Core References Hull, J. C. (2023). Risk Management and Financial Institutions (6th ed.). Wiley. Hull, J. C. (2021). Options, Futures, and Other Derivatives (11th ed., Global ed.). Pearson. Hull, J. C., Chen, J., Poulos, Z., & Yuan, J. (2025). Machine Learning in Business: An Introduction to the World of Data Science (4th ed.). Independently Published. Supplementary References van Deventer, D. R., Imai, K., & Mesler, M. (2018). Advanced Financial Risk Management: Enterprise-wide Risk Management in Theory and Practice (3rd ed.). De Gruyter. Szegö, G. (Ed.). (2004). Risk Measures for the 21st Century. Wiley. Duffie, D., & Singleton, K. J. (2012). Credit Risk: Pricing, Measurement, and Management. Princeton University Press.

The course will be delivered through a combination of lectures, assigned readings, and practical sessions, with an emphasis on experiential learning. Contributions from industry practitioners and financial regulators may be incorporated to provide professional perspectives. All course materials will be made available via the designated online learning platform.

Assessment differs according to attendance status and University rules. 1. Attendance Status Compliant students are those who actively attend at least 70% of classes, as recorded through the BEACON system. Students below this threshold are non-compliant. Students may be exempted from compulsory attendance for documented health reasons, work or internship commitments, recognised competitive sports activities, or participation in international mobility programmes such as Double Degree or Erasmus. Exemptions are approved by the School and communicated to instructors through MyLuiss. 2. Compliant Students Compliant students are assessed through Continuous Assessment and a final written examination. 2.1 Continuous Assessment - 1/3 of the final grade Continuous Assessment is compulsory during the semester and accounts for one-third (1/3) of the final grade. It consists of four series of exercises and/or problems, each worth 25% of the Continuous Assessment component. Absence from, or withdrawal from, any in itinere activity results in a grade of 0 for that activity, which is included in the calculation of the Continuous Assessment grade. 2.2 Final Examination - 2/3 of the final grade Compliant students take an individual closed-book written examination, which is verbalizzante and accounts for two-thirds (2/3) of the final grade. The exam consists of multiple-choice closed-ended questions, including exercises, problems and/or theoretical questions. The combination of Continuous Assessment (1/3) and final examination (2/3) applies only to the examination dates scheduled at the end of the semester in which the course is delivered. In all subsequent retake sessions, assessment is based exclusively on one final written examination worth 100% of the final grade. 3. Non-Compliant and Exempted Students Students who are non-compliant with the attendance requirement, and students exempted from compulsory attendance, are assessed exclusively through a closed-book written examination, verbalizzante, worth 100% of the final grade. It consists of multiple-choice closed-ended questions, including exercises, problems and/or theoretical questions. Since this examination replaces both semester activities and the final examination for compliant students, it has a higher number and/or greater complexity of questions than the 2/3 final examination and includes a workload appropriate to compensate for non-participation in semester-based assessment activities. The same 100% final examination applies in all retake sessions. 4. Examination Format and Materials All final written examinations are closed-book. Notes, textbooks, slides, handouts and other supporting materials are not permitted. The use of a calculator is allowed unless otherwise specified by the instructor. Questions may cover theoretical topics and quantitative exercises requiring analytical, computational and problem-solving skills, consistently with the course topics, exercises, problems and prescribed teaching materials. 5. Operational Rules Starting from the 2025/2026 cohort, the salto d’appello rule no longer applies and students may not refuse a grade once awarded. For this written verbalising examination, withdrawal is permitted until the end of the written examination. After that moment, the examination is graded and verbalised according to University rules.

It will be followed a policy of merit that rewards students more prepared. Obiettivi per lo sviluppo sostenibile Codice