Ateneo - UPO

The Course aims at analyzing the role of risk management and the problems connected with the evaluation and the management of financial risks for financial institutions. It provides, first of all, an in-depth insight about the features of the variuos types of risks to which financial intermediaries are exposed as well as of the main methods used in order to measure and evaluate such risks. A considerable attention is dedicated to both the organizational requirements and implications of these activities and the impact of EU and national regulation. Furthermore, the Course provides the knowledges needed to understand the meaning and the objectives of different risk-adjusted performance measures, as well as the logic and the managerial problems of the capital allocation process at banks.

Resti A. and Sironi A., Risk Management and Shareholders’ Value in Banking. From Risk Management Measurement Models to Capital Allocation Policies, Wiley Finance Series, 2007. The textbook is available at the Library of the Department. The whole volume with the following exceptions: chapter 3; chapter 6; chapter 7; paragraph 11.3 and Appendices 11A and 11B; paragraphs from 14.4 to 14.8; chapters 16 and 21; paragraphs 22.3 and 22.4; paragraph 24.4. The instructor will provide articles, working papers and reports in order to deepen specific course topics by the course official web page at the following link: https://www.dir.uniupo.it/course/view.php?id=17486 .

1. Knowledge and understanding: the students will acquire the knowledge about: the different risks to which financial intermediaries are exposed, the main methods for the analysis, the measurement and the evaluation of such risks, paying a particular attention to the organizational implications of these methods, and the role of Risk Management in the decision-making processes at financial intermediaries, in view of an effective capital allocation and an adequate value creation.
2. Applying knowledge and understanding: the course aims at developing the students’ ability to apply the knowledges in order to correctly analyze and evaluate the nature and the dimension of the different activities undertaken by a financial intermediary, so that their respective contribution to the overall managerial equilibrium of the firm, in terms of risk-adjusted performance, can be adequately evaluated.
3. Making judgments: the students will be able to apply the knowledge acquired, on both a theoretical and an operational basis, in order to make autonomous judgements about the profitability and riskiness of various types of activities comprising the business of financial intermediaries.
4. Communication skills: the students will acquire the ability to use the technical language used by professionals in the field of risk management. The knowledge of the most important information sources will make them able to better support their arguments.
5. Learning skills: the students will become familiar with the most important information sources, web sites (financial markets, supervision authorities, research centers) and free databases.

None.

1. Knowledge and understanding: traditional face-to-face lessons and self-study based on teaching materials. During the Course some qualified guest speakers will be invited to share with the class their professional experience.
2. Applying knowledge and understanding: exercises carried-out by the teacher during the course and exercises based on previous written exams carried-out by the students (homework based on materials published on the course’s webpage).
3. Making judgments: students will be stimulated to make ajudgemets on relevant cases, also through assignments and presentations.
4. Communication skills: the meaning of the terms used by professionals in the field of risk management will be adequately explained.
5. Learning skills: every topic will be discussed beginning from the illustration of the problem and then analyzing the various possible solutions.

Further information can be found in the Course official web page at the following link: https://www.dir.uniupo.it/course/view.php?id=19417.

Students with physical disabilities, Learning Disabilities or Special Education Needs can request specific services and tools via the Staff Sviluppo e Coordinamento Carriere e Servizi alle Studentesse e agli Studenti, consulting the University webpage: https://www.uniupo.it/en/services/servicesstudents-physical-or-learning-disabilities Students with disabilities, learning disabilities or special education needs, once they have contacted the University Staff, can refer to the tutor in charge of the course to define the examination modalities, concerning academic aspects.
The Course is compliant with the standards established by the Italian Association of Financial Industry Risk Managers (AIFIRM).

One compulsory written exam consisting of six questions (closed books and closed notes), covering the whole course syllabus and including exercises, with a 60-minute duration. During the period of teaching, all students may sit for a mid-term written exam (30-minute duration) covering the first part of the course contents and a final written exam (30-minute duration) covering the residual part of the course contents.
1. Knowledge and understanding: by written open questions.
2. Applying knowledge and understanding: through exercise.
3. Making judgements: by written open questions.
4. Communication skills: by written open questions.
5. Learning skills: by a mid-term exam during the course.

- Introduction on the course: objectives, program, assessment.
- The role of Risk Management for an effective control of risks: lessons from the crisis
- The types of risks faced by financial intermediaries.
- Analysis, measurement and valuation of the interest rate risk: the repricing gap model, the duration gap model, models based on cash-flow mapping, internal transfer rates.
- The market liquidity risk and the funding risk
- Analysis, measurement and valuation of market risks: the variance-covariance approach; VAR models: applications and limitations; Basel 2.5 capital charge and TRIM assessment; the Fundamental Review of Trading Book (FRTB); the FRTB methodology.
- Analysis, measurement and valuation of the credit risk: probability of default, exposure at default, loss given default, credit scoring models, recovery risk and loss given default.
- Rating models.
- Loan pricing models.
- The basic features of operational risk.
- Risk management, capital requirements and prudential supervision of banks: from Basel 1 to Basel 3.
- The process of capital allocation in banks.
- Risk-adjusted performance measures.
- Cost of capital and value creation in banks.

At the end of the course students should show:
KNOWLEDGE- to know the factors determining the different types of risk faced by the management of financial institutions and their potential consequences; - to know the underlying logic, the fundamental technical features and the limits of the various models and instruments used to measure financial risks; - to know the logic foundations and the managerial and organizational implications of risk-adjusted performance evaluation models; - to know both the objectives and the structure of the relevant regulation for risk management in financial institutions.
COMPETENCES -- to be able to apply the main models for the measurement of financial risks; - to be able to understand the impact of financial regulation on the managerial choices of financial institutions; - to be able to apply the acquired knowledges for the pricing of financial intermediaries’ products and services; - to be able to assess the different solutions aimed at the efficient allocation of capital among the various business units within a financial institution.
TRANSVERSAL SKILLS - to be able to interconnect among each other’s topics faced in different chapters of the course;
- to be able to present a set of clear and structured arguments dealing with the role of risk management in financial institutions and specific profiles of the relevant regulation;
- to be able to read, comprehend and comment technical material from books, financial journals or other sources;
- to know the technical terminology used by professionals, at both the domestic and the international level.