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 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.

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.

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