Portale di Ateneo - En.Unibs.it

I Part:
- Processes and models of risk management in banks.
- Banking risks (definition, measurement, management and regulation): 1) Interest rate risk: gap, cash flow mapping, internal transfer rates.
2) Liquidity risk: funding risk, market liquidity risk.
3) Market risk: variance-covariance approach, simulation models.
4) Operational risk.
5) Credit risk: loan pricing, limits on risk-taking units, risk-adjusted performance measurement.
- Capital management: defining and measuring capital.
- Capital allocation: capital allocated vs. capital absorbed, risk-adjusted performance measurement, organizational aspects of the capital allocation process.

II Part:
I. Credit risk measurement: the basics
1. Theoretical framework 2. Structural models
3. Reduced-form models
II. Default Prediction
1. Statistical approaches
1.1. Discriminant analysis and Altman’s model 1.2. Qualitative response models
2. Credit risk factors
2.1. Probability of default
2.2. Recovery Rate
2.3. Exposure at Default
III. Rating and credit scoring
1. External vs. internal-based rating approach 2. Transitions in credit ratings
3. Credit scoring
3.1. Traditional approaches
3.2. Advanced methodologies
IV. Porfolio credit risk measurement
1. Risk-neutral vs. actual default probabilities 2. Merton model and the KMV approach
3. Measuring credit risk in a portfolio context 3.1. VaR models
3.2. Numerical simulations 3.3. Default correlations