Risk and Return in portfolio management: from Funding to CreditVaR to loans Pricing

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

Studying

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