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Risk Management of Financial Institutions (Part 1) (in English) [ LLSMS2019 ]


5.0 crédits ECTS  30.0 h   2q 

Teacher(s) Henrard Luc (compensates Grégoire Philippe) ; Henrard Luc ; Grégoire Philippe ;
Language English
Place
of the course
Louvain-la-Neuve
Main themes Two main themes are addressed in this course. The course starts with a balanced sheet approach for risk and performance. Then an economic view is adopted to measure the bank risk-return trade-off. Calculation of the level of economic capital is studied in the case of market risk and credit risk.
Aims Students should be able to read and understand bank financial statements and to realize a UBPR (Unified Bank Performance report). Bank economic performance and risk management are covered in the second part of the course with a focus on interest rates and credit risk management
Content The course gives an overview of the different item of the bank balance sheet and the link between the income statement and the actual assets and liabilities. Performance is first analyzed with standard methods based on ratios. Then an economic approach is taken to estimate the bank and the business units performance (RAROC, RORAC). Measures such as Expected Loss, Unexpected Loss and Value at Risk are developed. Students will have to complete a business case related to risk management. Content Asset and liabilities Off balance sheet Income statement Performance analysis Economic capital Return adjusted to risk (RAROC, RORAC) Interest rate risk Credit risk Asset Liability Management (ALM) Methods In-class activities - Lectures - Project based learning At home activities - Paper work
Other information Prerequisites (ideally in terms of competiencies) Basic economics, financial markets and financial instruments Evaluation : Class participation and oral examination, in French or English Final evaluation is based on the paper work for 1/3 of the final note. 2/3 of the final note results from an written exam. Support : Books and articles available at the library (either paper or electronic review). Slides that summarize lecture contents are available on i-campus. References : Provide during the class Internationalisation - international content (does the course tackle international issues related to the course content ?) - international case study Corporate features - corporate guest Skills - team work
Cycle et année
d'étude
> Master [120] in Management
> Master 120 of arts in Business engineering
> Master 120 in Management
> Master [120] in Business Engineering
Faculty or entity
in charge
> CLSM


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