Docente
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MORELLI GIACOMO
(programma)
Part 1. Introduction to Financial Risk Management for Banks, Insurance Companies and Pension Plans, Mutual Funds and Hedge Funds. Regulation: Basel I,II,III. Risk weighted assets. Introduction to risk measures: definitions, properties, and examples.
Part 2. Market risk. Definitions. Risk Factors: the role of Volatility. P&L. Methodologies to measure market risk. Historical Simulation approach. Parametric approach: discrete-time stochastic processes. Parametric approach: continuous-time stochastic processes. Semi-Parametric approach (if time permits). Backtesting. Scenario analysis and Stress Testing. Pricing and hedging volatility derivatives.
Part 3. Correlations and copulas
Part 4. Credit Risk. Definitions. Margin, OTC Markets, and CCPs. Probability of default, loss given default, exposure at default, recovery rate. Methodologies to measure credit risk. Standard Method. Internal Rating Based Advanced. Structural stochastic models. Reduced stochastic models. CVA and DVA. Credit VaR.
Part 5. Operational Risk. Definitions. RAF. Liquidity Risk. Definitions. LCR, NSFR. Systemic risk (if time permits).
Hull, Risk Management and Financial Institutions, Wiley
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