Università Roma Tre

The program is the following:

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. Essential Readings
• John H. Hull, Risk Management and Financial Institutions, 4th Edition, John Wiley, 2015 (H)
• Philip Jorion, Financial Risk Manager Handbook, 6th Edition, John Wiley, 2011 (J)
• Resti A. and A. Sironi, Risk Management and Shareholders' Value in Banking, John Wiley, 2007 (RS).

2. Suggested Readings
• The economist, 2008. The confession of a risk manager (EC)
• European Parliament, Upgrading the Basel standards: from Basel III to Basel IV? (EP). http://www.europarl.europa.eu/RegData/etudes/BRIE/2016/587361/IPOL_BRI(2016)587361_EN.pdf
• Basel Committee, Basel III Monitoring Report, 28 February 2017. (BC) https://www.bis.org/bcbs/publ/d397.pdf
• Philipp Härle, Andras Havas, and Hamid Samandari, 2016. The future of bank risk management, McKinsey Quarterly, July .(MK) http://www.mckinsey.com/business-functions/risk/our-insights/the-future-of-bank-risk-management
• Ernest Young, Rethinking risk management, (EY) http://www.ey.com/Publication/vwLUAssets/EY-rethinking-risk-management/$FILE/EY-rethinking-risk-management.pdf