RISK MANAGEMENT AND VALUE CREATION IN BANKS

Course objectives

1. Knowledge of the relationship between revenues, risks and capital 2. Knowledge the measurement risks models adopted by supervisory authorities (standard model) 3. Knowledge of capital al location methodologies Knowledge and understanding: Understand the knowledge base of the fundamentals elements of regulatory requirements and management practices in banks activity Applying knowledge and understanding: Has knowledge of and some skill in the way in which truth-finding and the development of theories and models take place in the relevant fields of banks acticity Making judgements: Has knowledge of and some skill in the way in which decision-making takes place in the relevant fields, in order to improve any enhancement in risk analysis activity Communication skills: Has knowledge of and some skill in the way to understand and express their own judgment on the addressed issues. Learning skills: Has knowledge of and some skill in the way to interact and communicate, using appropriate terminology regarding the course topics.

Channel 1
VALENTINA LAGASIO Lecturers' profile

Program - Frequency - Exams

Course program
1. Bank Supervision - New prudential supervision framework and the Single Supervisory Mechanism (SSM). - Overview of the SREP's 4 pillars, overall assessment, and supervisory measures. - Focus on capital decisions, internal controls, corporate governance, and 2024 supervision priorities. 2. ICAAP Process - Discusses the interplay between solvency, liquidity, and intermediaries' capital adequacy. 3. Credit Risk - Covers default concepts, risk drivers, rating systems, and estimation of losses, alongside prudential rules. 4. Market Risk - Explores risk-return, financial instrument pricing, market risks, and the Parametric Value at Risk (VaR), with a nod to prudential guidelines. 5. Interest Rate Risk in the Banking Book - Examines gap analysis, duration gaps, immunization, and related prudential regulations. 6. Derivative Instruments for Risk Mitigation - Introduction to derivatives like forwards, swaps, and options, focusing on risk hedging. 7. Liquidity Risks - Introductory notes on liquidity risk management. 8. Securitization Risk 9. Operational Risks - Basics of operational risks and associated capital requirements. 10. Capital Management and Value Creation - Discusses capital management strategies, Risk Adjusted Performance, and value creation principles.
Prerequisites
The course does not require prerequisites.
Books
Reference Texts: - Integrated Risk Management. Rules, Risks, Capital, Liquidity, and New Strategic Opportunities. P. Porretta (2021). Excluded chapters: 4,7 - Risk Management and Financial Institutions. John C. Hull Italian Edition edited by Emilio Barone. Excluded chapters: 3,4,12,13,22,29 Recommended Texts: - S.Benninga (2010) Financial Models. Finance with Excel. Ed. McGraw-Hill
Frequency
Non mandatory
Exam mode
Final Exam and Grading Policy The exam includes a practical test using Excel applications. An oral examination may follow for the final grade determination.
Lesson mode
Standard lectures
ARTURO CAFARO Lecturers' profile
  • Lesson code10589306
  • Academic year2024/2025
  • CourseBusiness sciences
  • CurriculumBanca, assicurazione e mercati finanziari
  • Year3rd year
  • Semester2nd semester
  • SSDSECS-P/11
  • CFU9
  • Subject areaAttività formative affini o integrative