RISK MANAGEMENT AND COMPLIANCE

To provide students with a comprehensive perspective on risk management and pricing concepts, tools and techniques. To develop analytical thinking in understanding and implementing risk management practices/policies. To engage students in active discovery of risk management principles. To identify and explain the full risk management process in terms of identification of risks and associated potential costs.

Students attending this course are expected to have a basic knowledge of: i) probability/statistics, ii) mathematical finance and iii) asset pricing. Some exposure to stochastic processes and partial differential equations would be helpful, but not mandatory.

At the end of the course students are expected to be able to realize, understand and master various state-of-the-art risk management theories and practices.

The course is designed to introduce and discuss various risk management concepts, tools and techniques for banks and insurance companies. Using integrated approaches, the course will emphasize discussion on the design and implementation of risk management practices. Attention will be devoted also to the new developments in terms of financial regulation by explaining how the new regulatory framework will affect risk management in the next future. All the models presented will be empirically implemented.

John C. Hull, Risk Management and Financial Institutions John C. Hull, Options, Futures, and Other Derivatives John C. Hull, Machine Learning in Business Additional readings Donald R. van Deventer, Kenji Imai, Mark Mesler, Advanced Financial Risk Management Szego (ed), Risk Measures for the 21th Century Duffie, D., Singleton, K.J.. Credit Risk: Pricing, Management, and Measurement

The class will be based on lectures, readings and practice sessions aimed at developing an experiential learning approach. Leading risk managers and financial regulators will be invited to share their experience in class with students. All the material will be posted on the course web platform.

First exams (December 2024 and January 2025) Research project (to be done in groups): 40%. Final exam (written): 60%. Following exams Final exam (written): 100%. The research project will be orally presented by the group members before the written exam. The final written exam will be done with "closed book". Students may not bring notes or other material, but only a calculator. All the questions in the exams are similar to the exercises at the end of each chapter of the textbook. Some questions are quantitative (i.e. require some computation).

It will be followed a policy of merit that rewards students more prepared.