Economics of Finance and Risk Management

lecon2331  2024-2025  Namur

Economics of Finance and Risk Management
5.00 credits
30.0 h
Q2
Teacher(s)
Language
English
Main themes
This course focuses on interest rates and credit risk modelling with a particular emphasis on yield curve theo-ries, Monte Carlo simulations and tree-based approaches. Regarding credit risk modelling we focus on ratings models, yield-spread models and credit scoring models.
Learning outcomes

At the end of this learning unit, the student is able to :

1 Gain a sound understanding of interest rates modelling (including the modelling of interest rates under uncer-tainty) and credit risk models.
 
Content
The course focuses mainly on the business model of banks as well as the risk management process which is increasingly subject to regulatory constraints. The course deals more particularly with :
- The role of banks in the financial system and their business model
- The impact of the ECB monetary policy on banks’ operations
- The major principles of risk management and the notion of risk
- The failure of risk management systems during the financial crises of 2007 and 2011
- The evolution of banking regulation: from Basel 1 to Basel 4 and the prudential control framework put in place by the European authorities.
- The management of credit risk (PD, LGD, EaD, M and RWA), market risk (Value at Risk and Expected Shortfall) and liquidity risk (LCR and NSFR)
Teaching methods
Ex Cathedra
No group work.
Evaluation methods
Classic 2-hour written exam consisting of a mix of multiple choice questions and open questions
Course taught at UNamur (Namur)
Other information
Objectives: Advanced course in the economics of finance from a risk management perspective aiming to discuss the notion of risk and the recent developments in banking regulation in a post financial crisis context.
Bibliography
Risk Management and Financial Institutions, 5th Edition, John Hull, 2018 (Wiley)
Santomero & Babbel: Financial markets, instruments and institutions (McGraw-Hill). Johnson
Faculty or entity


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

Title of the programme
Sigle
Credits
Prerequisites
Learning outcomes
Master [60] in Economics : General

Master [120] in Economics: General