Valutami
Scheda programma d'esame
FINANCIAL RISK MANAGEMENT
FRANK ANDREAS SCHITTENHELM
Anno accademico2022/23
CdSBANCA, FINANZA AZIENDALE E MERCATI FINANZIARI
Codice650PP
CFU6
PeriodoSecondo semestre
LinguaInglese

ModuliSettore/iTipoOreDocente/i
FINANCIAL RISK MANAGEMENTSECS-P/11LEZIONI42
ANJA BETTINA BLATTER unimap
DIETMAR ERNST unimap
FRANK ANDREAS SCHITTENHELM unimap
Learning outcomes
Knowledge

The learning target of this lecture is to understand

  • the specific aspects of operative risk management,
  • the different types of risk measure,
  • how to calculate risk measures,
  • the pro and cons of different company risk measures,
  • the impact of solvency regulations.
Prerequisites

Financial Math
Teaching methods

Lectures, Business Cases, Software Application
Programma (contenuti dell'insegnamento)

Introduction to Financial Risk Management (Schittenhelm)

1.Operative Risk Management

  1. Risk Identification
  2. Risk Evaluation
  3. Risk Controlling
  4. Risk Supervision and Reporting

2.Price / Market Risk Measures

3.Asset Liability Matching

4.Credit Risk Measures

5.Total Risk Measures

6.Solvency Regulations

  1. Basel Accord
  2. Solvency
Bibliografia e materiale didattico

Slides: Available on MS-teams

Basic Literature

  • Lam: Enterprise Risk Management, John Wiley & Sons
  • Crouhy/Galai/Mark: The essentials of Risk Management, McGraw-Hill
  • Wengert/Schittenhelm: Corporate Risk Management, SpringerGabler

Additional Literature

  • Bodie/Kane/Marcus: Investments, McGraw-Hill
  • Hull: Options, Futures and Other Derivatives, Financial Times
  • https://www.coso.org/Pages/erm-integratedframework.aspx
  • https://www.iso.org/iso-31000-risk-management.html
Bibliography

Lecture notes

Basic Literature

  • Lam: Enterprise Risk Management, John Wiley & Sons
  • Crouhy/Galai/Mark: The essentials of Risk Management, McGraw-Hill
  • Wengert/Schittenhelm: Corporate Risk Management, SpringerGabler

Additional Literature

  • Bodie/Kane/Marcus: Investments, McGraw-Hill
  • Hull: Options, Futures and Other Derivatives, Financial Times
  • Schittenhelm: Solvency II, Euroforum
  • www.risknet.de
  • https://www.coso.org/Pages/erm-integratedframework.aspx
  • https://www.iso.org/iso-31000-risk-management.html
Assessment methods

Oral exam, Case studies, mid-term
Ultimo aggiornamento 27/02/2023 10:23