Laboratory of Bank Loan Pricing

A.Y. 2024/2025
3
Max ECTS
20
Overall hours
SSD
SECS-P/01 SECS-P/02
Language
English
Learning objectives
Students will gain a thorough understanding of the practices currently used by banks when originating (pricing) a bank loan. The course will offer insight into the various areas of the bank involved when pricing a bank loan (Finance department for funding, Chief Risk Officer area for loans balancesheet provisioning, CFO area for capital allocation). The course will then present students the case for the impact on the Bank Loan Pricing of the new Securitization Framework and advanced Machine Learning techniques for default prediction (internal PD model) and projection (satellite PD model).
Expected learning outcomes
At the end of the course students will gain an overview of the various departments at work within a bank when originating a loan. They will also get a measure of the impact on loan pricing of alternative Machine Learning methodologies for default prediction and the impact of the new securitization framework for loan portfolio capital allocation.
Single course

This course cannot be attended as a single course. Please check our list of single courses to find the ones available for enrolment.

Course syllabus and organization

Single session

Responsible
Lesson period
First trimester
SECS-P/01 - ECONOMICS
SECS-P/02 - ECONOMIC POLICY
Laboratory activity: 20 hours
Professor: Torresetti Roberto
Professor(s)
Reception:
all Fridays 18:00-19:00, from 23rd April to 25th June