5 credits
30.0 h
Q2
Teacher(s)
Henrard Luc;
Language
English
Prerequisites
- portfolio theory,
- basic understanding of probability theories,
- statistics,
- financial markets and financial instruments.
Main themes
The two main themes addressed in this course are :
- how do Financial Institutions quantify and manage their risks ( through the concepts of Economic Capital, RARORAC and EVA with a special focus on Credit and Counterparty risks, ALM risk, Trading risk, Operational risk and Securitization)
- the impact of the new banking regulations on the risk appetite, the business model and the governance of these Institutions.
Aims
At the end of this learning unit, the student is able to : | |
| 1 |
These learning outcomes will crystallize through a set of workshops and interactions with the teacher during the class. |
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
An economic approach is taken to estimate performance ('risk adjusted return on risk adjusted capital' 'RARORAC- and 'economic value added' 'EVA).
Measures such as Expected Loss, Unexpected Loss, Value at Risk, Fair Value and Economic/Regulatory Capital are developed.
Students will have also to complete business cases related to risk management issues.
Measures such as Expected Loss, Unexpected Loss, Value at Risk, Fair Value and Economic/Regulatory Capital are developed.
Students will have also to complete business cases related to risk management issues.
Teaching methods
- oral presentation of the workshops (including Q&A)
- interactions with the teacher in class
- activities on hot topics,
- project based learning,
- at home activities
Evaluation methods
Continuous evaluation
- Date: will be specified later
- Type of evaluation: 2 workshops per group of 4
- Comments: 30% of points + Q & A points per course
- Oral: No
- Written: 3h
- Unavailability or comments: 70% of points
- Oral: No
- Written: 3h
- Unavailability or comments: 70% of points
Bibliography
- Support : books and articles available at the library or on internet.
- Slides that summarize lecture contents will be available on Moodle.
- Reference books : 'Risk management in Banking' by Joel Bessis (John Wiley and Sons, Ltd) - ' Risk Management and Financial Institutions' by John Hull ( Pearson)
Faculty or entity
CLSM
