CREDIT RISK MANAGEMENT

SECS-P/11 - 6 CFU - 2° semestre

Docente titolare dell'insegnamento

FRANCESCO MURIANA

Obiettivi formativi

Knowledge and understanding (Conoscenza e capacità di comprensione). Basic knowledge related to the recognition and management of financial risks from the core of the management processes of financial intermediaries.
Applying knowledge and understanding (Capacità di applicare conoscenza e comprensione). On completion, the student will be able to apply the measurement models of the main risks analyzed (credit risk, operational risk, interest rate risk on the banking book, liquidity risk)
Making judgements (Autonomia di giudizio). The ability to research, analyze and process public data and information also collected through scientific researches, with specific reference to the strategies up to the study of the problems concerning the assessment processes of the specific risks that banks incur in the activity of lending.
Communication skills (Abilità comunicative). On completion, the student will be able to communicate the results obtained, the problems encountered and the lessons learned, also based on independent judgment.
Learning skills (Capacità di apprendimento). On completion, the student will be able to individuate the components of credit risk, the organizational aspects of credit risk management and to choose the assessment tools for the diagnosis of credit risk.

Modalità di svolgimento dell'insegnamento

Lectures via slides, seminars, application exercises.

Prerequisiti richiesti

Basic notions in Economics, Banking and Finance.

Frequenza lezioni

Recommended.

Contenuti del corso

The reference context of credit risk management;
Credit risk assessment and market relationship segmentation;
The conceptual basis of credit risk management;
The organizational and process aspects of corporate lending;
The competitive diagnosis of the sector;
The competitive diagnosis of the company;
The performance evaluation of the company: information from the risk center;
Historical analysis: reclassification of accounts and analysis by indices;
The historical analysis: financial flows and financial dynamics of the company;
From historical analysis to review analysis: the prospective evaluation of the company.

Testi di riferimento

To be assigned

Programmazione del corso

	Argomenti	Riferimenti testi
1	Overview of Risk Management and banking activities	Bessis, J., Risk Management in Banking, chapter 1; Caselli, S., Gigante, G., and Tortoroglio, A., «Corporate and Investment Banking: a hands-on approach», chap. 1, 2 and 3;Hull, J. C., «Risk Management and Financial Institutions, chap. 2.
2	Credit Risk part one	Resti, A., and Sironi, A., «Risk management and Shareholders Value in Banking», Wiley, 2007, part III (Credit Risk): introduction, and part V: Regulatory Capital Requirements: chapter 20.
3	Credit Risk part two	Ganguin, B., and Bilardello, J., «Fundamentals of Corporate Credit Analysis», chap. 1 to 6; Yhip, T.M., and Alagheband, B.M.D., «The practice of lending», chap. 1 to 5; De Laurentis et al., "developing, validating, and using credit rating", chap. 3
4	Credit Risk part three	Resti, A., and Sironi, A., «Risk management and Shareholders Value in banking», Wiley, 2007, chapter 13, De Laurentis, G., Maino, R., and Molteni, L., «Developing, Validating and Using Internal Ratings», John Wiley & Sons, 2010 chapters 3,4, and 5.
5	Credit Risk part four	Resti, A., and Sironi, A., «Risk Management and Shareholders Value in Banking, chapter 10; De Laurentis, G., Maino, R., and Molteni, L., «Developing, Validating and Using Internal Ratings», chapters 3 and 4.
6	Credit risk part five	Resti, A., and Sironi, A., «Risk Management and Shareholders Value in Banking", chapter 11; De Laurentis, G., Maino, R., and Molteni, L., «Developing, Validating and Using Internal Ratings», chapter 3.
7	Credit risk part six	Erzegovesi, L., and Bee, M., "Modelli di portafoglio per la gestione del rischio di credito", chap. 4.
8	Credit Risk part seven	Resti, A., e Sironi, A., «Risk management and Shareholders value in banking», chapter 12; De Servigny, A., and Renault, O., «Measuring and managing credit risk», McGraw-Hill, 2004, chapter 4.
9	Interest rate risk on banking book	Resti, A., and Sironi, A., «Risk management and shareholders value», Wiley, 2007: part I: Interest Rate Risk.
10	Market risk	Resti, A., and Sironi, A., «Risk management and shareholders value», Wiley, 2007: part 2.
11	Liquidity risk	Resti, A., and Sironi, A., «Rischio e Valore nelle banche», Egea, parte I, capitolo 5; Vento, G., “Bank liquidity Risk Management and Supervision: which lessons from recent turmoil”, Journal of Money, Investment and Banking, Issue 10, 2009.
12	Operational risk	Resti, A., and Sironi, A., «Risk management and shareholders value», Wiley, 2007: part IV (chapter 17), and part V (chapter 21).
13	Other non-financial risks	Anolli, A., Rajola, F. (a cura di), «Il rischio reputazionale e di non conformità», Bancaria Editrice, chap. 1, 2, 3, and 7; Perry, J., de Fontnouvelle, P., “Measuring Reputational Risk", Federal Reserve Bank of Boston, 2005..
14	Notions of capital management	Resti, A., and Sironi, A., «Risk management and shareholders value in banking", part VI.

Verifica dell'apprendimento

MODALITÀ DI VERIFICA DELL'APPRENDIMENTO

The exam aims to evaluate the achievement of the learning objectives. It is carried out through a written exam that includes questions and exercises related to the program.

Learning assessment may also be carried out online, should the conditions require it.

ESEMPI DI DOMANDE E/O ESERCIZI FREQUENTI

The definition of risk and the classification of possibile risk measures; the characteristics of the main banking business lines; the definition of the main banking risks; the main phases of the risk management process; the risk appetite in the context of the risk management framework; the main components of the risk management framework; the banking regulatory and supervisory framework; the credit risk sources; the main phases of the credit risk process; the expected loss and its components; exercise on calculation of the EAD; the external and internal rating systems; the rating systems validation methods; the expert-based approach to borrower's creditworthiness analysis; the financial statement analysis; the financial ratio analysis; the estimate of PD with the actuarial approach; the PD quantification with statistical models; the bankruptcy prediction with non-parametric models; the PD estimate with market models; the calculation of the work out LGD; the unexpected loss measurement with discrete models; the credit risk capital requirements; the interest rates risk on banking book sensitivity measures; the regulatory requirement for interest rate risk; the market risk definitions and types; the market risk sensitivity measures; the Value-at-Risk of a portfolio of financial instruments; the funding liquidity risk definition and measurement; the market liquidity risk definition and measurement; the regulatory requirements for liquidity risk; the operational risk definition, drivers, and measurement; the regulatory requirements for operational risk; the legal and compliance risk definition and assessment; the reputational risk definition and assessment; the strategic risk for banks; the role of capital in banks; the capital allocation process; the Risk Adjusted Perfomance Measures.

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