Risk Management

Teacher(s)

Vrins Frédéric;

Language

French

Prerequisites

None (at the master level)

The prerequisite(s) for this Teaching Unit (Unité d’enseignement – UE) for the programmes/courses that offer this Teaching Unit are specified at the end of this sheet.

Main themes

The goal of this course is to teach students the foundations of portfolio construction and performance measurement.
Key topics include:
- Return and risk measurement (for equity, fixed-income, and derivative portfolios)
- Portfolio construction and management techniques
- Performance attribution
- The principles of private wealth management (Wealth Allocation Framework)

Learning outcomes

At the end of this learning unit, the student is able to :
1	At the end of this course, students will be able to: - calculate the risk and return of financial assets using a calculator and a spreadsheet; - select the most apporpriate return and risk computation methods when evaluatinfg the portfolio management strategy followed by investor risk; - analyze the composition of the portfolio held by wealthy individuals when making any necessary recommendation for change; - assess the strengths and weaknesses of active and passive management strategies; - construct and evaluate one's portfolio by selecting and combining several securities.

Bibliography

• John C. Hull , Risk Management and Financial Institutions, 5th edition, Wiley (2018) 
• Frey and Mc Neil & Embrechts, Quantitative Risk Management: : Concepts, Techniques and Tools - Revised Edition, Princeton Series in Finance

Teaching materials

• Slides en format pdf ou ppt

Faculty or entity

CLSM