Italian lessons. There may be teaching materials in English or other European languages.
Course Content
The course intends to provide an introduction to risk management issues for risk perception, assessment and management. In particular, credit, operational, environmental, catastrophic, cyber risks will be treated. The program aims to provide a set of knowledge for risk analysis consistent with the training objectives of the CD. The transversal and interdisciplinary skills provided are useful tools both in the economic and complex economic systems.
The course will provide students basic quantitative tools to manage risk in different sectors.
Prerequisites
There is no indication of propedeuticity, but a strong preliminary knowledge of general mathematics, financial mathematics and basic statistics is strongly required.
Teaching Methods
The course includes lecture lessons and activities in the classroom. Depending on the number of students, group work can be done. Seminars are also provided.
Lecture lessons: total 46 hours.
Seminars: total hour 2.
Further information
Students acquire specific risk analysis skills that have been particularly appreciated by key economic operators in recent years facilitating their placement after the degree.
Type of Assessment
Written and oral test.
The written test consists of four open-ended questions on the various topics of the course. Duration of the test: one hour and thirty minutes. Weight 50% of the vote. If the written test is sufficient, access the oral interview. Weight 50% of the vote.
Course program
Introduction to the concept of risk and analysis of the risk manager functions. The Modern Portfolio Theory (MPT), trade-off between risk and return, the efficient frontier (the Bullet Markowitz). The asset pricing by MPT. Systematic risk and specific risk. The Capital Asset Pricing Model (CAPM) and different ratios (Sharpe ratio, Sortino, Downside Risk, notes on the autoregressive model to model conditional heteroskedasticity or ARCH (Autoregressive Conditional Heteroskedasticity), Treynor ratio, Modigliani, metric risk-return (RAPM), Return on capital (ROC), Return on invested capital (ROIC), RAROC). The Economic Value Added (EVA), the WACC (Weighted Average Cost of Capital). Risk measures and the axioms on acceptable sets. The “coherent” risk measures. The Value-at-Risk (VaR). The risk in the credit sector. The Basel Accord. Credit risk, market and operational. The credit rating. The credit risk. Different types. Standard approach. IRB approach. Probability of Default (PD). The loss given default (LGD) and exposure at default (EAD). Computational models of credit risk: Actuarial Models (CreditRisk +), the Merton Model, econometric models. The risk in the insurance sector. The Solvency regulations. SCR, MCR and technical Provisions (best estimate and risk margin). The insurance company financial statements in order to Solvency II and IAS / IFRS. The QIS5. Analysis of the quantitative impact study. Quantitative analysis of the sub-modules of risk. Catastrophe risk. The CAT risk in life, non-life, health. The management of catastrophe risk in the reinsurance market. Catastrophe risk. The CAT BOND. The transfer of catastrophe risk in the financial market. The reinsurance treaty. Different types of reinsurance. The environmental risk. Tools for decisions. Source of contamination and potential receptors. Exposure assessment and consequences. Estimation of the environmental risk. The reputational risk. The reputational risk management. The reputational risk management for credit institutions.