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MARKET RISK MANAGEMENT

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-M1S1S2-FIN-MA-EI50UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S1S2English
Professeur(s) responsable(s)R.BEAUPAIN
Intervenant(s)R.BEAUPAIN, Benoît DETOLLENAERE


Pré requis

Introduction to Financial Data Services;
Statistics and Probability in Finance

Objectifs du cours

At the end of this course, students will be able to:
Critically describe the characteristics of the basic techniques for measuring market risk;
Determine the exposure of financial positions to market risk and estimate their Value-at-Risk and Expected Tail Loss;
Backtest market risk models;
Stress-test market risk estimates

Contenu du cours

This course develops a framework for the identification and management of market risks. The first part of the course surveys the estimation of the Value-at-Risk (VaR) and of the Expected Tail Loss (ETL) of positions in single securities or portfolios. After a detailed introduction to nonparametric methods such as historical simulation, age-weighted and volatility-weighted historical simulations, the focus of the course moves to the parametric estimation of market risk measures. An examination of Monte Carlo simulation techniques concludes this survey. The second part of the course assesses the validity of VaR models through backtesting and stress-testing. A significant part of the course is devoted to empirical issues in the estimation of the VaR or of the ETL and the use of Bloomberg data and analytics to monitor market risk is carefully considered.

Course outline:
1. Introduction to market risk management;
2. Estimation of the Value-at-Risk (VaR);
a. Nonparametric estimation;
b. Parametric estimation;
i. Forecasting the volatility;
ii. High-frequency methods for forecasting volatility;
iii. VaR at the portfolio level;
iv. Forecasting the covariance.
c. Simulating the VaR.
3. Backtesting VaR models;
4. Stress testing;
5. Concluding remarks and references


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent study
Group Project16,00  
Estimated personal workload16,00  
Independent work
E-Learning2,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • E-learning
  • Project work
  • Interactive class


Évaluation

The assessment for this course consists of one team project to assess your understanding of the concepts presented during the lectures

Type de ContrôleDuréeNombrePondération
Others
Group Project10,001100,00
TOTAL     100,00

Bibliographie

  • Christoffersen, P. F. (2003): Elements of Financial Risk Management, Academic Press, Elsevier Science -

  • Dowd, K. (2008): An Introduction to Market Risk Measurement, John Wiley and Sons, Inc. -


Ressources internet



 
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