Risk Management of Financial Institutions (Part 1) (in English) [ LLSMS2019 ]
5.0 crédits ECTS
30.0 h
2q
| Teacher(s) |
Henrard Luc ;
|
| 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] in Business engineering
> Master [120] in Management
> Master [120] in Business Engineering
|
Faculty or entity
in charge |
> CLSM
|
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