Marialuisa RESTAINO | CREDIT RISK MODELLING
Marialuisa RESTAINO CREDIT RISK MODELLING
cod. 0222400042
CREDIT RISK MODELLING
| 0222400042 | |
| DEPARTMENT OF ECONOMICS AND STATISTICS | |
| EQF7 | |
| STATISTICAL SCIENCES FOR FINANCE | |
| 2024/2025 |
| YEAR OF COURSE 2 | |
| YEAR OF DIDACTIC SYSTEM 2014 | |
| SPRING SEMESTER |
| SSD | CFU | HOURS | ACTIVITY | |
|---|---|---|---|---|
| SECS-S/01 | 5 | 30 | LESSONS |
| Exam | Date | Session | |
|---|---|---|---|
| RESTAINO | 14/04/2025 - 12:00 | SESSIONE ORDINARIA | |
| RESTAINO | 04/06/2025 - 09:30 | SESSIONE ORDINARIA | |
| RESTAINO | 25/06/2025 - 09:30 | SESSIONE ORDINARIA | |
| RESTAINO | 08/07/2025 - 09:30 | SESSIONE ORDINARIA | |
| RESTAINO | 09/09/2025 - 09:30 | SESSIONE DI RECUPERO |
| Objectives | |
|---|---|
| KNOWLEDGE AND UNDERSTANDING THE COURSE AIMS TO INTRODUCE STUDENTS TO THE TOPIC AND ISSUES OF CREDIT RISK, ANALYZING ITS MAIN COMPONENTS, AND THEN FOCUSING ON THE MAIN STATISTICAL TOOLS THAT CAN BE USED TO STUDY AND FORECAST THE INSOLVENCY OF FINANCIAL AND NON-FINANCIAL COMPANIES. IT WILL ALSO BE ILLUSTRATED HOW THESE METHODOLOGIES ARE THE BASIS OF MODERN BANKING MANAGEMENT AND ARE RECOGNIZED IN THE REGULATORY ENVIRONMENT AS TOOLS FOR MEASURING THE CAPITAL ADEQUACY OF FINANCIAL INTERMEDIARIES IN ORDER TO GUARANTEE THE STABILITY OF THE BANKING SYSTEM. THESE INSTRUMENTS AND METHODOLOGIES WILL THEN BE APPLIED TO SOME CASE-STUDIES. PARTICIPATING IN EDUCATIONAL ACTIVITIES, TOGETHER WITH CARRYING OUT PROJECT WORKS AND ANALYSIS OF CASE STUDIES, INCREASE THE STUDENT'S ABILITY TO AUTONOMOUSLY PROCESS THE TYPE OF "STATISTICAL DATA" THAT CHARACTERIZES THE BANKING, INSURANCE AND FINANCIAL FIELDS. APPLYING KNOWLEDGE AND UNDERSTANDING AT THE END OF THE COURSE, THE STUDENT WILL HAVE ADEQUATE KNOWLEDGE OF THE TECHNICAL TERMINOLOGY AND THE ABILITY TO UNDERSTAND THE TYPICAL THEORETICAL ASPECTS OF CREDIT RISK. THEY WILL HAVE THE ABILITY TO APPLY THE PRACTICAL-THEORETICAL NOTIONS ACQUIRED TO REAL CASES, IN ORDER TO TRANSFORM KNOWLEDGE INTO WORKING SKILLS. HE WILL BE ABLE TO INDEPENDENTLY IDENTIFY AND IMPLEMENT THE STATISTICAL TECHNIQUE SUITABLE FOR THE CASE HE/SHE WILL BE ANALYZING. THEY WILL HAVE INDEPENDENT JUDGMENT AND THE CONSEQUENT POSSIBILITY OF DEVELOPING ANALYTICAL CONSIDERATIONS ON CREDIT RISK MANAGEMENT ISSUES. AND FINALLY, HE/SHE WILL HAVE COMMUNICATION SKILLS TO DISSEMINATE THE RESULTS OF THE ANALYZES CONDUCTED IN WRITTEN AND ORAL FORM, FOR EXAMPLE IN THE FORM OF REPORTS AND ORAL PRESENTATIONS. |
| Prerequisites | |
|---|---|
| KNOWLEDGE OF: - MAIN TOOLS OF MATHEMATICAL ANALYSIS - ALGEBRA OF MATRICES - PROBABILITY - ELEMENTS OF DESCRIPTIVE STATISTICAL ANALYSIS AND DATA VISUALIZATION - STATISTICAL INFERENCE - R AND PYTHON |
| Contents | |
|---|---|
| INTRODUCTION TO CREDIT RISK AND ITS COMPONENTS INTRODUCTION TO CREDIT RISK LEGISLATION STATISTICAL MODELS FOR CREDIT RISK MEASUREMENT AND MANAGEMENT LINEAR REGRESSION LOGISTIC REGRESSION AND ITS EXTENSIONS DISCRIMINANT ANALYSIS SEGMENTATION TECHNIQUES ANALYSIS OF CASE STUDIES |
| Teaching Methods | |
|---|---|
| THE COURSE PROVIDES 30 HOURS OF TEACHING, OF WHICH 20 HOURS OF LESSONS AND 10 OF LABORATORY TYPES. DURING THE HOURS OF TEACHING IN THE CLASSROOM, THE PRESENTATION OF THEORETICAL TOPICS IS ALONGSIDE THE PRESENTATION OF CASE STUDIES THAT FACILITATE THE UNDERSTANDING OF THE TOPICS. THE LABORATORY ACTIVITIES HAVE THE OBJECTIVE OF CLARIFYING THE MAIN FUNCTIONS OF STATISTICAL SOFTWARE FOR THE APPLICATION OF THE MAIN STATISTICAL TOOLS, AND FOR THEIR USE IN THE STUDY OF PRACTICAL CASES. THERE IS NO OBLIGATION TO ATTEND. |
| Verification of learning | |
|---|---|
| THE FINAL EXAM CONSISTS OF CARRYING OUT A PROJECT WORK AND AN ORAL EXAMINATION. BOTH TESTS ARE EVALUATED ON A SCALE OUT OF THIRTIERS. THE PROJECT WORK CONSISTS IN THE ANALYSIS OF A REAL DATASET AGREED WITH THE TEACHER. THIS PROJECT MUST BE DELIVERED 48 HOURS BEFORE THE ORAL EXAMINATION. THE ORAL EXAMINATION (APPROXIMATELY 20 MIN) FOCUSES ON THE PROJECT WORK AND ARGUMENTS RELATED TO IT. IT AIMS TO VERIFY THE LEVEL OF KNOWLEDGE, THE AUTONOMY OF ANALYSIS AND JUDGMENT, AS WELL AS THE STUDENT'S EXPOSITION CAPABILITIES. THE EVALUATION OF THE TESTS TAKES INTO ACCOUNT THE EFFECTIVENESS OF THE METHODS USED, THE COMPLETENESS AND ACCURACY OF THE ANSWERS, AS WELL AS THE CLARITY OF THE PRESENTATION. THE FINAL MARK, EXPRESSED OUT OF THIRTY WITH POSSIBLE LAUD, TAKES INTO ACCOUNT THE OUTCOME OF THE PROJECT WORK AND THE ORAL EXAMINATION. |
| Texts | |
|---|---|
| TEACHING NOTES AND BIBLIOGRAPHICAL REFERENCES AVAILABLE ONLINE PROVIDED BY THE TEACHER DURING THE COURSE |
| More Information | |
|---|---|
| THERE WILL BE EXTRA SEMINARS (FROM 4 TO 8 HOURS) HELD BY EXPERTS IN THE MANAGEMENT, ANALYSIS AND EVALUATION OF CREDIT RISK. THE TOPICS COVERED DURING THE SEMINARS WILL BE AN INTEGRAL PART OF THE EXAM. ADDITIONAL INFORMATION WILL BE AVAILABLE ONLINE ON THE TEACHER'S WEB PAGE DEDICATED TO THE COURSE. ATTENDANCE, ALTHOUGH IT IS NOT MANDATORY, IS STRONGLY RECOMMENDED. |
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