Risk Management and Capital Requirements - C. Ceci
Professor(s):
Claudia Ceci (claudia.ceci@uniroma1.it)
Stefano Galiani (stefano.galiani@uniroma1.it)
Office:
Stefano Galiani 107 - 1° piano – Ala 1 (107 - 1st floor)
Claudia Ceci 111 - 1° piano – Ala 1 (111 - 1st floor)
Office Hours: to be confirmed by email.
Class Hours (day, time, room):
Monday 10:00-12:00 a.m DIDALAB computer lab classroom
Tuesday 10:00-12:00 a.m DIDALAB computer lab classroom
Thursday 10:00-12:00 a.m, class 6B
Total Module Hours: 72hrs / 9 CFU
24hrs/3 CFU Claudia Ceci
48hrs/3 CFU Stefano Galiani
Course website:
https://web.uniroma1.it/memotef/risk-management-and-capital-requirements...
Recommended Textbooks (24hrs/3 CFU Claudia Ceci)
McNeil, A., Frey, R. and Embrechts, P. (2015) Quantitative Risk Management: Concepts, Techniques and Tools, Wiley
Additional Materials
Lecture notes provided by the instructor.
The additional materials will be available in a dedicated Google ClassRoom/Drive folder reserved for the students attending the course only.
Prerequisites (24hrs/3 CFU Claudia Ceci):
Probability theory and financial mathematics concepts concerning basic understanding and pricing of contingent claims.
Final and grade policy:
The total exam consists in two parts:
- the first one consists in a series of assignments covering empirical aspects and it is aimed at testing applied skills.
- the second one includes review questions to test theoretical knowledge and critical understanding.
Course Objectives:
Credit risk is a topic of fundamental importance in modern banking systems. Quantitative credit risk methodologies play a fundamental role in the risk-management units of major investment banks. The recent crisis has led to numerous regulatory reforms requiring banks to comply with capital requirements. This can only be achieved via the implementation of a sophisticated and mathematically sound credit risk framework.
The first part of the course (24 hrs/3 cfu Claudia Ceci) focus on theoretical results and quantitative modeling. Precisely, it will focus on the main default models: structural and intensity-based. You will learn how to price financial instruments, whose payoff is contingent to the realization of a credit event. In particular, pricing of (defaultable) Bonds, Credit Default Swap (CDS) and general credit risk derivatives will be discussed.
Preliminary Weekly Course Calendar
Week 1-4 (Claudia Ceci):
-Introduction: OTC Markets, Credit Risk and Measuring Credit Quality;
-Structural model of default: Merton Model (Geometric Brownian motion);
-Intensity based (or hazard rate) models: Conditional expectation and conditional survival probability.
-Pricing of (defaultable) Bonds: DZCB with and without recovery, Defaultable Coupon Bonds. Credit spread.
-Credit Default Swap pricing and calibration.
EXAM Calendar:
27/04/2023;
20/06/2023;
17/07/2023;
15/09/2023;
20/10/2023.