Speaker:
Michele Bonollo e Luca Di Persio
- M.Bonnolo (IMT Lucca - IASON) ; L. Di Persio (UniVr-Dept. Computer Science)
Wednesday, December 2, 2015
at
9:00 AM
Programme of the Workshop ( in collaboration with BCC - Rovereto)
Risk & Return. A general framework
The model for loans pricing: revenues, absorbed capital, cost of funding, operational costs
A discussion about the relevant input parameters:
Expected Loss, PD and LGD
Unexpected loss and the cost of capital.
Regulatory approach vs. quantitative approach
Equlibrium pricing and mark up
A model for the credit portfolio risk. CreditVaR and ComponentVaR. Concentration and Correlation.
A global integrated model for the pricing monitoring. Parameters stress and sensitivity.
Practical applications, discussion and conclusions.
- Programme Director
-
Luca
Di Persio
-
External reference
-
- Publication date
-
November 16, 2015