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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
Professeur(s) responsable(s)Y.BRAOUEZEC
Intervenant(s)Yann Braouezec Mickael petitjean

Pré requis

This course requires.
Basic knowledge on bond markets, and with bond pricing.
Basic knowledge of derivatives (e.g., call, put, swaps, swpations….)
Basic knowledge of probability: random variable (discrete and continuous), density and cumulative distribution function. Special discrete random variable such a binomial and Poisson. Special densities such as normal, uniform and exponential. Student must of course be able to read in a normal table. Knowledge about Poisson process is a plus but is not needed, it will be explained in class.
Familiarity with mathematical notations and modeling.
Familiarity with basic accounting (balance sheet, income statement)

Objectifs du cours

should understand the difference between credit risk and counterparty credit risk.
should understand why counterparty risk is an important but difficult topic.
should understand what a default probability (for a fixed horizon) is, what a credit or counterparty exposure is, and what a recovery rate is.
should understand the various tools to mitigate credit risk (credit derivatives such as CDS) and counterparty risk (netting, collateralization, CCP, credit derivatives such as CCDS).
should understand what a credit default swap is and why credit derivatives more generally are important with risk management in view.
should understand the main feature of the market for CDS, how one can imply the term structure of the default probability using a probabilistic model given the (equivalent) spread, and how one can price a non-standard CDS, e.g., with a non-standard maturity.
should understand what wrong-way risk is for credit derivatives.
should understand what CVA and bilateral CVA are.

Contenu du cours

This course will be divided into tree chapters.

Chapter 1 An introduction to credit and counterparty risk.
Chapter 2 The market for CDS.
Chapter 3 Mitigating counterparty credit risk.

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class8,00   Discussion based on problem-solving MCQs
Independent study
Estimated personal workload5,00  
Individual Project5,00  
Independent work
Reference manual 's readings5,00  
Charge de travail globale de l'étudiant36,00  

Méthodes pédagogiques

  • Tutorial
  • Presentation
  • Interactive class


Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00060,00
Continuous assessment
Oral presentation0,20140,00
TOTAL     100,00


  • Hull, J. (2015), Risk Management and Financial Institutions, Fourth Edition, Wiley -

Ressources internet

* Informations non contractuelles et pouvant être soumises à modification
Vidéo : Un campus à vivre
Notre chaîne Youtube