Insegnamento a.a. 2023-2024

• Introduction: concepts, methodologies and tools of credit risk management.
• Building statistical-based scoring systems of probability of default: definition of default to be used and its implications.
• Sampling, data mining and data transformations (Case study based on SPSS).
• Univariate analysis. Monotonicity, statistical requirements and predictive power of individual financial ratios (Case study based on SPSS).
• Transformations of financial ratios in order to maximize their predictive power (Case study based on SPSS).
• Models estimation (Case study based on SPSS).
• Models performance measurements, comparability of different models; from scorings to ratings: choosing cut-offs. Scoring calibration and rating quantification (Case study based on SPSS).
• Internal validation and regulatory validation. Quantitative and qualitative model validation; benchmarking.
• Credit risk measures taxonomy and their impacts on portfolio models structure
• Portfolio models.
• Credit risk pricing and risk adjusted performance measures. Internal data and market data.

• Get the state of the art of methodologies and practices of credit risk management in financial institutions, as well as in finance departments of large non-financial corporations.
• Link risk measurement models and management policies  in a comprehensive picture of key methodologies and tools that are currently under implementation in banks, non-financial institutions, and rating agencies. Both rating systems and portfolio models development stages will be considered.  

• Capitalizing on large real-world databases and statistical software tools such as SPSS, students will learn how to to build, to manage and to validate risk models, both statistical based rating systems and credit portfolio models.

• Face-to-face lectures
• Exercises (exercises, database, software etc.)
• Case studies /Incidents (traditional, online)
• Group assignments

The course is located in a computer room in order to provide a hands-on approach to credit risk models building and validation. This feature of the course is based on lectures, in-class exercises, incidents and case studies, both as individual or small-groups work. Almost each topic involves (class or home) exercises and incidents. A unique case study, based on a real world database of SMEs financial data, is used for building and validating a statistical based rating system during many class sessions; SPSS is used as statistical tools, because it is used in real world risk departments, it is quite friendly also for newcomers, and the textbook published by Wiley is based on the same case study and SPSS application . IBM-SPSS will be download on students laptop by Bocconi help desk facilities. A group assignment is optional; each student in a group may earn from 0/30 to 2/30 additional points to those earned in the written exam.

• A written exam based on three short essays tries to check the proper understanding of areas of credit risk management that have been covered in class. The final mark is expressed in thirties (X/30).
• A group assignment is optional. Each student in a group may earn from 0/30 to 2/30 additional points to those earned in the written exam; these additional points can be used up to the end of September 2023. The group assignment is devoted to enhance not only how-to-do capabilities, but also team management, project management and (written) presentation skills.

• DE LAURENTIS, MAINO, MOLTENI, Developing, Validating, and Using Internal Ratings. Methodologies and case studies, Wiley, 2010 (this book also has an Italian translation: DE LAURENTIS, MAINO, I rating a base statistica. Sviluppo, validazione, funzioni d’uso per la gestione del credito, Bancaria Editrice, 2009).
• RENAULT DE SERVIGNY, Measuring and managing credit risk, McGraw-Hill 2004, (chapter 6).
• Slides sets, SPSS print-outs and case studies (available on the course web site).