Teaching - Università Roma Tre

RISK MANAGEMENT AND VALUE CREATION IN BANKING

Code

21210109

Language

ITA

Type of certificate

Profit certificate

Credits

9

Scientific Disciplinary Sector Code

SECS-P/11

Contact Hours

60

Type of Activity

Elective activities

Derived from	21210109 RISK MANAGEMENT AND VALUE CREATION IN BANKING in Finance and Business LM-16 CARBONI MARIKA (syllabus) The main contents of the course are the following: The role and characteristics of risk management in banking. Interest rate risk. The repricing gap model. The duration gap model. Internal transfer rates (ITR). Liquidity risk. Funding and market liquidity risks. Market risk. Value at Risk (VAR) models. Parametric approach. Volatility and correlation estimation. Simulation models. Backtesting. Limitations of VAR models. Expected Shortfall. Credit risk. Scoring models. Capital market models. Recovery risk. Portfolio models. Rating systems. Operational risk. Regulation. The Basel Accords. Value creation. (reference books) A. Resti, A. Sironi, Rischio e valore nelle banche. Misura, regolamentazione, gestione. Egea, 2008 (all chapters, including updates on the website www.egeaonline.it).
Dates of beginning and end of teaching activities	From 26/09/2017 to 16/12/2017
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Oral exam