Teacher
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Scardozzi Giulia
(syllabus)
Financial crisis Interest rate risk: repricing gap, duration gap and clumping Liquidity risk Market risk: Value at Risk (VaR) - parametric approach, simulation approach, VaR and Expected Shortfall Credit risk: Scoring, Portfolio models Credit risk: Recovery rate e Loss Given Default Rating systems Internal models Reputational risk Operational risk Cyber risk Systematic risk Banking Regulation: Basel I - Basel III
(reference books)
• A. Resti e A. Sironi, Rischio e valore nelle banche, Milano, EGEA, 2008 (RS)
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