RISK MANAGEMENT
- Overview
- Assessment methods
- Learning objectives
- Contents
- Bibliography
- Delivery method
- Teaching methods
Students are suggested to have basic competences on
- the pricing of financial securities (equity, bond, financial derivative securities).
- portfolio theory (efficient frontier, Capital Asset Pricing Model)
No preparatory course is required.
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.
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 e-learning website of the course.
Frontal lessons.
Some case studies are provided to be done in working groups.
Borrowed from
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