Risk Management of Financial Institutions

Teacher(s)

Candelon Bertrand;

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 :

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.

Learning outcomes

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

The course aims at better understanding the risks present in financial institutions.
It will cover the following topics:
                     - Financial Institutions and Trading in Financial Markets
                     - Market risk
                     - Bank regulation and credit risk
                     - Liquidity, Operational and model risk
                     - Systemic risk

Teaching methods

Lectures, inverted classrooms, workshops, interventions by experts, assigments, final project

Evaluation methods

Lectures,  MCQ, workshop assigment, project

Online resources

Moodle and teams

Bibliography

John C. Hull (2018) “Risk Management and Financial Institutions”, 5th edition.
Roncalli, T. (2020), "Handbook ofFinancial Risk Management", Chapman Hall/CRC Financial Mathematics Series,which is available at http://thierry-roncalli.com/RiskManagement.html.

Faculty or entity

CLSM