RISK MANAGEMENT AND VALUE IN BANKING AND INSURANCE

Description

The course aims to analyse the main risk-related issues related to the management of banks and insurance companies by covering: - The role and peculiarities of risk management in financial institutions. - The objectives, applications and technical characteristics of models for risk measurement and management (with a special focus on interest rate risk, market risk, credit risk). – The regulation of financial risks. –The peculiarities of managing risks in insurance companies. - Where appropriate, the impact of climate and ESG risks. Introduction to the course Interest rate risk: the repricing gap model, the duration gap model, mapping and internal transfer rates Value at Risk models: the parametric approach, estimating volatilities and correlations, mapping risk positions, historical simulations, backtesting. The applications of VaR models. Expected shortfall. Risk adjusted performance measures in financial institutions Liquidity: funding risk and market liquidity risk Credit risk: discriminant analysis and other scoring models. Credit risk: estimating PDs from market data, the Merton model Loss given default and recovery risk . Climate risk impact on credit risk estimates Risk-adjusted p ricing of loans Credit portfolio models Regulation and supervision: the Basel I-III accords The EU banking resolution framework Risk management in insurance The intertwined nature of financial and underwriting risks in life insurance The Solvency II Rules and their implications for insurance risk management Asset-liability management under Solvency II (further topics may include operationa and ESG risks, as well as r eview and exercises ) Exchange/course-load context: The official incoming exchange catalogue states that 30xxx codes refer to undergraduate courses, 20xxx and 21xxx codes refer to graduate courses, and 50xxx codes refer to the Integrated Master of Arts in Law. Undergraduate exchange students are allowed to select undergraduate-level courses only; graduate students can choose both undergraduate and graduate level courses. Bocconi credits are ECTS-equivalent. Each Bocconi credit corresponds to 25 hours of workload, including 8 lecture hours.