Risk Management of Financial Institutions

llsms2009  2020-2021  Louvain-la-Neuve

Risk Management of Financial Institutions
Due to the COVID-19 crisis, the information below is subject to change, in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).
5 credits
30.0 h
Q2
Teacher(s)
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.
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.

 

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.
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.

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
Evaluation week
  • Oral: No
  • Written: 3h
  • Unavailability or comments: 70% of points
Examination session
  • 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


Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Sigle
Credits
Prerequisites
Aims
Master [120] in Management

Master [120] in Management