RISK MANAGEMENT
Students are suggested to have attended the complete course of Financial Markets.
Basic competences are required relating to:
- pricing of financial assets (equity, bond and derivative securities
- portfolio theory
Oral test to verify theoretical knowledge. Students are required to discuss case studies to test their computational competences and analysis skills.
The course aims at providing the methodological knowledges and technical skills for Financial Risk Management. The main topics relative to risk governance and risk appetite framework are dealt with, too.
At the end of the course, students are expected to be able to
- measure market and counterpary risk profile for finacial intermediaries.
- implement and compute Risk Tolerance in line with banking and insurance supervisory rules.
1.Financial risk management:
a.Risk management process;
b.Risk governance in banking and insurance intermediaries.
2. Financial Risks:
a.Definition and identification of financial risks;
b.Modeling and measurements of financial risks.
3.Risk Profile:
a.Definition and measurement of risk profile;
b.Definition and measurement of Risk Tolerance;
c.Impact on portfolio management.
- John Hull, Opzioni Futures e Altri Derivati, Pearson Prentice Hall
- EIOPA, Solvency II, Papers from the web site
- Papers suggested by the teacher and available on the website of the teacher
Assessment:
Drafting and discussion of a written thesis on some case studies provided by the teacher, aiming at verifying the degree of knowledge of the topics dealt in the course.
Frontal lessons.
Some case studies are provided to be done in working groups.