RISK MEASUREMENT

Academic year
2019/2020 Syllabus of previous years
Official course title
MISURAZIONE DEL RISCHIO
Course code
EM5012 (AF:278970 AR:160018)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-P/05
Period
1st Term
Course year
2
Where
VENEZIA
This course investigates modern techniques of risk management, focusing on the measurement of different kinds of risk and their integration. Given their relevant role, credit risk and operational risk will be analysed in particular. The course will cover different applications of risk measures as pricing, risk-adjusted performance measures and the economic capital allocation.
Knowledge of risk management principles
Matematica I, Matematica II, Statistica I, Econometria I, Econometria II.
1. Introduction to risk measurement theory
- different kinds of risk (market, credit, operational, liquidity, strategic/business)
- coherent risk measures
- present and prospective risk
- risk-adjusted performance measures
2. Credit risk
- different kinds of counterparts and instruments subject to credit risk
- credit risk components: probabilità of default, recovery rate, exposures at default
- portfolio models (1): mark to market approach and CreditMetrics
- portfolio models (2): default mode approach and Credit Risk+
3. Operational risk
- operational risk components: frequency and severity
- operational loss distribution estimate
4. Aggregation of different risks and economic capital allocation
- Attending students: lecture notes and transparencies
- Not attending students: Resti A. Sironi A., Risk management and shareholders' value in banking, Egea, 2008. Chapters to study: Part 3 (chapters from 11 to 16 ) and part 6 (chapters from 23 to 25)
written examination consisting in 3 questions
lezioni frontali svolte dal docente
Italian
written
Definitive programme.
Last update of the programme: 05/09/2019