The impacts of Covid-19 on risk management

Anselmo, Giuseppe Giacomo (A.A. 2019/2020) The impacts of Covid-19 on risk management. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Francesco Cerri, pp. 90. [Master's Degree Thesis]

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Macroeconomic data. 2020, the year of the lockdown. The 2020 recession: some macroeconomic data. Regulations and impacts on risk. Banking regulations in 2020. The impact on risk management. Credit risk. Introduction: the impact of Covid-19 on credit risk. Segment bank’s portfolios with new data. New scenarios for stress-tests. Exploit the governments’ incentives. Streamline and digitalize underwriting. Update migration risk and early warning system frameworks. The recognition of forbearance. ECL situation in 2020: “wait and see” practices. IFRS 9: top-down approach. Avoid future cliff effects, PIT and TTC. Liquidity risk. The importance of dynamic modelling and contingency plans. Pay attention to all sources of liquidity risk. Risk of interest rate. The duties of risk management. Measure the risk better: alternative models. Market risk. Measuring market risk in 2020. The limits of the VaR measure: ES and EVT. Short-term fixes for market risk. Operational risk. The era of smart working. The cyber threat. Banks dependencies and rising costs.


Bibliografia: pp. 86-90.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Risk management
Thesis Supervisor: Cerri, Francesco
Thesis Co-Supervisor: Vulpiani, Marco
Academic Year: 2019/2020
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 18 Jun 2021 09:45
Last Modified: 18 Jun 2021 09:45


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