Course 2012-2013 a.y.

Obiettivi formativi del corso

Il corso si propone di analizzare i problemi connessi alla gestione - finanziaria e non - delle banche e delle imprese di assicurazione. In particolare, l'analisi si sviluppa lungo i seguenti principali filoni:

• Il ruolo e le peculiarità della gestione dei rischi nelle istituzioni finanziarie.
• Gli obiettivi, le applicazioni e le caratteristiche tecniche dei modelli per la misurazione e la gestione dei rischi.
• La gestione del capitale e il processo di creazione di valore all'interno delle istituzioni finanziarie.
• Le peculiarità gestionali delle compagnie assicurative.
• La politica di vigilanza sulle istituzioni finanziarie e assicurative, con particolare riferimento al sistema dei controlli interni e all'adeguatezza organizzativa e patrimoniale.

Programma sintetico del corso

• La gestione attivo-passivo e il rischio di interesse nelle istituzioni finanziarie.
• I tassi interni di trasferimento dei fondi.
• I rischi di mercato: modelli di misurazione e logiche di gestione.
• Il rischio di credito: modelli di misurazione e logiche di gestione.
• La regolamentazione del capitale: da Basilea I a Basilea II.
• La gestione del capitale e la creazione di valore nelle istituzioni finanziarie.
• Le basi dell'assicurazione, la formazione del premio, la formazione delle riserve, il loro investimento e il suo ruolo di intermediario finanziario.
• La vigilanza assicurativa e i vincoli alla gestione.
• Elementi per il governo delle imprese di assicurazione.
• I rischi tipici delle imprese di assicurazione e l'impatto sul capitale.

Descrizione dettagliata delle modalità d'esame

Each student can choose between two alternative options:

• take two written exams, one midway through the course, covering the first 12 sessions, the other at the end of the course, covering the second part of the course. The final grade is a simple average of the two grades. A minimum of 16 for each of the two exams is needed to get the final grade. The average is rounded to the next integer (for example 21.5 becomes 22). The grade of the first partial is valid up until the last session of the academic year (November session). If you hand in the second partial exam, then you are not allowed to use the grade of the first partial for future exam sessions.
• Take only a final written exam, based on the material covered during the entire course.

Testi d'esame

• a. Resti, A. Sironi, Risk Management and Shareholders' Value in Banking, John Wiley, 2007.
• To do: chapters 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14 (paragraphs 1, 2, 3, 6, 7, 8), 15, 17, 18, 19, 20 (paragraphs 1, 2, 3, 4.1, 4.2, 5, 6, 7).
• Not to do: chapters 13, 16, 22, 23, 24. 
• A. Beltratti,  G. Corvino, Why are insurance companies different? The limits of convergence among financial institutions, Geneva Papers on Risk and Insurance: Issues and Practice, Volume 33, Issue 3, July 2008 (excluding Appendix).

Prerequisiti

Il corso richiede la conoscenza delle nozioni fondamentali di:

• statistica descrittiva e inferenziale (media, deviazione standard, correlazione, matrici varianze-covarianze, principali distribuzioni, regressioni lineari multivariate, ecc.);
• economia del mercato mobiliare (duration e convessità di titoli obbligazionari, capital asset pricing model, ecc.);
• matematica finanziaria (regimi di capitalizzazione);
• economia degli intermediari finanziari (ruoli, attività e principali caratteristiche del bilancio delle banche, concetti base relativi alla politica di vigilanza, ecc.);
• strumenti derivati (concetti base relativi a operazioni a termine, opzioni, futures, ecc.);
• concetti base di economica delle assicurazioni.

Course Objectives

The course aims at analyzing the problems connected with both the financial and the non-financial management of banks and insurance companies. Namely, this analysis is carried out along the following streams:

• The role and peculiarities of risk management in financial institutions.
• The objectives, applications and technical features of risk measurement and management models: interest rate risk, market risk, liquidity risk, credit risk and operational risk.
• Capital regulation: recent evolution and problems posed by the recent financial crisis.
• Capital management and the process of value creation in financial institutions.
• Management peculiarities of insurance companies.
• Supervisory policies on financial and insurance institutions, with a focus on internal controls and organizational and capital adequacy.

Course Content Summary

• The role and peculiarities of risk management in financial institutions
• Interest rate risk in banking book: repricing gap, duration gap and clumping models
• Internal transfer rates in banking
• Liquidity risk
• Value at risk models for market risks: parametric approach, historical simulations and Monte Carlo simulations
• Credit risk: scoring models, capital market based models, recovery rate estimation models, credit portfolio models and their applications
• Capital regulation: recent evolution and problems posed by the recent financial crisis
• Management peculiarities of insurance companies
• Supervisory policies on financial and insurance institutions, with a focus on internal controls and organizational and capital adequacy

Detailed Description of Assessment Methods

Each student can choose between two alternative options:

• take two written exams, one midway through the course, covering the first 12 sessions, the other at the end of the course, covering the second part of the course. The final grade is a simple average of the two grades. A minimum of 16 for each of the two exams is needed to get the final grade. The average is rounded to the next integer (for example 21.5 becomes 22). The grade of the first partial is valid up until the last session of the academic year (November session). If you hand in the second partial exam, then you are not allowed to use the grade of the first partial for future exam sessions.
• Take only a final written exam, based on the material covered during the entire course.

Textbooks

• a. Resti, A. Sironi, Risk Management and Shareholders' Value in Banking, John Wiley, 2007.
• To do: chapters 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14 (paragraphs 1, 2, 3, 6, 7, 8), 15, 17, 18, 19, 20 (paragraphs 1, 2, 3, 4.1, 4.2, 5, 6, 7).
• Not to do: chapters 13, 16, 22, 23, 24. 
• A. Beltratti,  G. Corvino, Why are insurance companies different? The limits of convergence among financial institutions, Geneva Papers on Risk and Insurance: Issues and Practice, Volume 33, Issue 3, July 2008 (excluding Appendix).

Prerequisites

In order to successfully attend and complete this course, students are expected to know the basics of:

• descriptive and inferential statistics (mean, standard deviation, correlation, variance-covariance matrices, main statistical distributions, linear multivariate regressions, etc.);
• investments (bond duration and convexity, capital asset pricing model, etc.);
• financial mathematics (different compounding regimes, etc.);
• financial markets and institutions (roles and activities of banks and main features of their balance-sheet, basic concepts of financial institutions supervisory policy, etc.);
• derivatives (basic concepts related to forward transactions, options, futures, etc.).