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Derived from
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21210109 RISK MANAGEMENT AND VALUE CREATION IN BANKING in Finance and business LM-16 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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Università Roma Tre