RISK MEASUREMENT

Academic year
2023/2024 Syllabus of previous years
Official course title
MISURAZIONE DEL RISCHIO
Course code
EM5012 (AF:396733 AR:215056)
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
Moodle
Go to Moodle page
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, credit risk quantification, credit portfolio analysis, credit risk pricing
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 three questions about three different topics analysed in the course
frontal lessons using slides and scientific papers
Italian
written

This subject deals with topics related to the macro-area "Climate change and energy" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development

Definitive programme.
Last update of the programme: 29/06/2023