5.00 credits
30.0 h
Q2
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 :
- 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.
Learning outcomes
At the end of this learning unit, the student is able to : | |
1 |
|
Content
The course aims at better understanding and measuring risks present in financial institutions.
It will cover the following topics:
- The typology of risk (credit, market, liquidity, operational, systemic).
- The different statistical methods to measure the risks.
- Bank regulation: history and actual implementation.
It will cover the following topics:
- The typology of risk (credit, market, liquidity, operational, systemic).
- The different statistical methods to measure the risks.
- Bank regulation: history and actual implementation.
Teaching methods
Lectures (in presence or at distance), inverted classrooms, workshops, interventions by experts, assigments, final project
Evaluation methods
Lectures, MCQ, workshop assigment, project
Other information
This course requires a good understanding of the statistical methods at the bachelor level.
Workshops consist of empirical cases, illustrated via R. Basic knowledge of R is not required and will be acquired during the course.
Workshops consist of empirical cases, illustrated via R. Basic knowledge of R is not required and will be acquired during the course.
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.
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
Programmes / formations proposant cette unité d'enseignement (UE)
Title of the programme
Sigle
Credits
Prerequisites
Learning outcomes
Master [120] in Management