ECONOMICS AND MANAGEMENT OF FINANCIAL INTERMEDIARIES (ADVANCED COURSE)
Domenico Curcio
Instructional goals
Developing a comprehensive knowledge about the main models to manage risks at financial intermediaries
Prerequisites
None
Intended learning outcomes
Knowledge and understanding: the course aims to provide students with the knowledge and methodological tools necessary to analyze the objectives, technical characteristics and implications of risk management in financial intermediaries.
Ability to apply knowledge and understanding: the student must demonstrate that he is able to apply the technical concepts illustrated in the course to critically interpret the functioning of a risk management model in the context of financial intermediation. The course aims to transmit the operational skills necessary to apply the taught methodological tools to solve the critical issues associated with the design of an effective risk management system.
Autonomy of judgment: the student must be able to critically analyze the different risk management models and must be able to identify and interpret the key variables that determine the effectiveness of a risk management system.
Communication skills: the student must be able to effectively illustrate the basic principles of the functioning of risk management models and systems, their technical characteristics and the implications for financial intermediaries' activity. Students' communication skills are developed through class discussions regarding the course topics.
Learning skills: the student must develop an autonomous ability to deepen the contents of the course, through research activities carried out on supplementary material provided by the teacher and on sources obtained in an autonomous way. The course provides the student with the indications and suggestions necessary to allow them to deepen, above all from an operational point of view, the taught methodological principles.
Course Contents
Section 1. Asset and liability management
Section 2. Market risk
Section 3. Credit risk
Section 4. Operational risk.
Reference Books
Resti A. and Sironi A. (2008), Risk management and shareholders' value in banking. From risk measurements models to capital allocation policies, EGEA, Milan.
Teaching Methods
Frontal lessons, case studies.
Assessment Method
The final exam is oral. There are no intermediate tests. Learning will be verified through classroom exercises
Thesis assignment criteria
Submission of a research project
Week 1 Contenuto sessioni on line e on campus
On-campus session: Introduction to the risk management
On-line session: Interest rate risk management: the repricing gap model (part 1)
Week 2 Contenuto sessioni on line e on campus
On-campus session: Interest rate risk management: the repricing gap model (part 2)
On-line session: Interest rate risk management: the duration gap model
Week 3 Contenuto sessioni on line e on campus
On-campus session: Interest rate risk management: The cash-flow mapping models (part 1)
On-line session: Interest rate risk management: The cash-flow mapping models (part 2)
Week 4 Contenuto sessioni on line e on campus
On-campus session: Interest rate risk management: Internal transfer rates systems
On-line session: Liquidity risk management: Funding and market liquidity risk
Week 5 Contenuto sessioni on line e on campus
On-campus session: Liquidity risk management: the Basel Committee on Banking Supervision approach
On-line session: Market liquidity risk management: the variance-covariance approach (part 1)
Week 6 Contenuto sessioni on line e on campus
On-campus session: Managing market risk: the variance-covariance approach (part 2).
On-line session: Managing market risk: volatility estimation models
Week 7 Contenuto sessioni on line e on campus
On-campus session: Managing market risk: evaluating VaR models
On-line session: Managing market risk: summary, applications and limits of VaR models
Week 8 Contenuto sessioni on line e on campus
On-campus session: Credit risk management: credit-scoring models (part 1)
On-campus session: Credit risk management: credit-scoring models (part 2)
Week 9 Contenuto sessioni on line e on campus
On-campus session: Credit risk management: capital market models
On-line session: Credit risk management: recovery risk and loss given default
Week 10 Contenuto sessioni on line e on campus
On-campus session: Credit risk management: rating systems
On-line session: Credit risk management: portfolio models (part 1)
Week 11 Contenuto sessioni on line e on campus
On-campus session: Credit risk management: portfolio models (part 2)
On-line session: Credit risk management: some applications of credit risk measurement models
Week 12 Contenuto sessioni on line e on campus
On-campus session: Operational risk management
On-line session: Climate risk management