Università Roma Tre

1: Introduction. The role and peculiarities of risk management in financial institutions. Risk management failure during the financial crisis.

2: Interest rate risk: the repricing gap model

3: Interest rate risk: the duration gap model and clumping

4: Interest rate risk: internal transfer rates (ITR)

5: Liquidity risk: funding and market risks, short and medium term control models, new liquidity requirements

6: Market risk: Value at Risk models: parametric approach. Estimating volatilities and correlations.

7: Market risk: mapping risk positions in the parametric approaches

8: Market risk: simulation approaches

9: Market risk: backtesting VaR models, VAR Limits and Expected Shortfall

10: Credit risk management. Scoring models for estimating the probability of default

11: Credit risk management. Market-based models for estimating the probability of default

12: Credit risk management. The recovery risk

13. Credit risk management: Portfolio models

14. Credit risk management: Internal rating system management and application (pricing and risk-adjusted performance measures)

15. Operational risk

16. Banking regulation: from Basel I to Basel III

17. Rethinking banking regulation: Basel 4?

1. Main text book
• Joel Bessis, Risk Management in Banking, 4th Edition, John Wiley, 2015 (B)