Risk Management of Financial Institutions

Teacher(s)

Henrard Luc;

Language

English

Main themes

The two main themes addressed in this course are :

1. 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)
2. 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	knowledge and reasoning (apply the acquired knowledge accordingly to solve a problem) a scientific approach (consider problems using a systemic and holistic approach) teamwork (join in and collaborate with team members). These learning outcomes will crystallize through a set of workshops and interactions with the teacher during the class.

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.

Teaching methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

• 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

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

2 workshops to be solved in groups of 4 students maximum . When : before or after the class ( 30 % of the points ) / written exam ( 70 % of the points ) with physical presence in the classroom 

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