Risk Management of Financial Institutions (Part 2) (in English) [ LLSMS2020 ]
5.0 crédits ECTS
30.0 h
2q
| Teacher(s) |
Henrard Luc ;
|
| Language |
English
|
Place
of the course |
Louvain-la-Neuve
|
| Main themes |
The course covers bank regulation regarding credit and market risk (Basle II) .Economic capital and business units performance are studies through concepts such as Loss Given Default, Expected Loss, Unexpected Loss and Value at Risk.
|
| Aims |
Students should be able to accomplish a deep analysis of the assets and liabilities risks. From this analysis, based on specific risk measure, the level of economic capital needed for the bank is estimated.
|
| Content |
The course is based on a real life cases study. It starts with Basle II banking regulation to estimate the level of capital required to cover the risks undertaken by the bank. The measure of the risks are based on an economic approach that uses concepts such as Expected Loss and Unexpected Loss for credit risk and Value at Risk for market risk.
Content
Banking regulation : Basle II
Economic capital
Credit risk : Loss Given Default, Expected Loss, Unexepected Loss
Market risk: Value at Risk
ALM risk (Asset Liability Management)
Methods
In-class activities
- Interactive seminar
- Project based learning
At home activities
- Readings to prepare the lecture
- Paper work
|
| Other information |
Prerequisites (ideally in terms of competiencies)
Basic economics, financial markets and financial instruments, introduction to bank management
Evaluation :
Evaluation is based on student participation to the seminar and on their presentations of the case study. A final written report enters also in the evaluation.
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
- case study
- corporate guest
Skills
- presentation skills
- team work
|
Cycle et année
d'étude |
> Master [120] in Management
> Master [120] in Management
> Master [120] in Business engineering
> Master [120] in Business Engineering
|
Faculty or entity
in charge |
> CLSM
|
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