Risk Management and Financial Institutions

Teacher(s)

Lassance Nathan (compensates Platten Isabelle); Platten Isabelle;

Language

English

Main themes

The course introduces, analyses and quantifies the risks
managed by financial institutions. On completion of this
course, students will have knowledge of the main financial
institutions and the regulations governing them. They will
understand how market, credit, liquidity and operational
risks are managed.

Aims

At the end of this learning unit, the student is able to :
1	At the end of this course, students will be able to: - Identify and describe the main risks faced by financial institutions (banks, insurance companies and pension funds, mutual funds). - Explain the trade-off between risk and return and how financial institutions make money by taking on and managing risk. - Identify and describe the main techniques banks use to measure and manage risks (credit risk, market risk, operational risk, liquidity risk). - Explain the prudential regulation framework of the financial sector and its effect on financial institutions' risk taking.

Content

Content of lectures (in english):

• Part 1: Introduction, Financial Institutions and Trading in Financial Markets
• Part 2: Market Risk – Volatility, Dependence, Value-at-Risk, Expected Shortfall
• Part 3: Basel Regulation and Credit Risk

The group assignment is composed of theoretical and practical exercices that apply the different concepts covered in the lectures.

Teaching methods

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

• Lectures
  
• Group assignment

Evaluation methods

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

Written exam (80%) + group assignment (20%)

Online resources

Student corner

Bibliography

John C. Hull, Risk Management and Financial Institutions (5th edition), Wiley, 2018

Faculty or entity

CLSM