Seminar: "Financial Risk Management for Central Banks"Rome, 15-17 June 2016

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In recent years, the Bank of Italy has put considerable effort into developing a comprehensive framework, both methodological and organizational, that encompasses the different risks for a central bank posed by its institutional and investment functions. Further effort has been devoted to creating an In-house Credit Assessment System consistent with Basel II principles and Eurosystem standards.

The system, which has been operational since 2013, was developed with the contribution of experts from several sectors of the Bank with experience in credit risk assessment (Supervision, Research, Risk Management and Monetary Policy). The seminar illustrated how risk analysis is carried out at the Bank of Italy, providing ample illustration of modelling techniques for market, credit, liquidity, and operational risk; the scope for strategic asset allocation by central banks within an asset and liability management framework; and the use of the credit risk framework in monetary policy operations.