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CREDIT RISK MANAGEMENT

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-M1S1S2-FIN-MA-EE54UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S1S2English
Professeur(s) responsable(s)P.MAZZA
Intervenant(s) Mikael PETITJEAN


Pré requis

Students who register for this course should
1. have a good knowledge of statistics and probability theory;
2. have a good understanding of quantitative methods;
3. be familiar with financial derivatives such as forward and option contracts.

Objectifs du cours

At the end of the course, the student should be able to :
1. define credit risk and distinguish from other type of risks;
2. explain its different components such as Default Probability, Loss Given Default or Recovery Rate;
3. understand the growing importance of credit risk in the financial markets since financial crisis has emerged and inside of a bank;
4. compare notions and approaches of internal and external ratings;
5. use the different credit risk models from a single and portfolio perspective;
6. define and calculate the expected and unexpected loss;
7. identify and compute different hedging tools using to manage credit risk;
8. describe the recent developments in the credit risk industry and the current regulatory framework: notion of CVA, EMIR,…

Contenu du cours

1. Introduction (origin and history of credit risk)
2. Definition of credit risk. Distinguish credit risk from other types of risk and identify its determinants
3. Credit Risk inside of a financial institution
4. Credit Risk Models: Determinants (Default Probability, Recovery Rate and Loss Given Default), Ratings (Internal vs External Ratings, Rating Agencies), Pricing (Yields, Spreads,…), Credit Risk Models (single and portfolio), Expected and unexpected loss, exercices
5. Credit Risk Management Tools: Plain Vanilla Products, Derivatives, Structured, Risk Mitigation and others, exercices
6. Recent development and Regulatory framework: Basel 3, CVA/DVA, EMIR
7. Q&A, Exercices and Conclusion1. Define credit risk and distinguish from other type of risks;
2. Explain its different components such as Default Probability, Loss Given Default or Recovery Rate;
3. Understand the growing importance of credit risk in the financial markets since financial crisis has emerged and inside of a bank;
4. Compare notions and approaches of internal and external ratings;
5. Use the different credit risk models from a single and portfolio perspective;
6. Define and calculate the expected and unexpected loss;
7. Identify and compute different hedging tools using to manage credit risk;
8. Describe the recent developments in the credit risk industry and the current regulatory framework: notion of CVA, EMIR,…


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture8,00  
Interactive class8,00   Discussion based on problem-solving MCQs
Independent study
Estimated personal workload16,00   Preparation for the interactive course
Independent work
Reference manual 's readings10,00  
Distance learning
Video-Conferences8,00   Prerequisites for each interactive course
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Presentation
  • E-learning
  • Interactive class
  • Case study


Évaluation

The exam is based on 20 short questions which are often related to mini-case studies and for which a computation is typically required.

Type de ContrôleDuréeNombrePondération
Continuous assessment
QCM4,00010,00
Final Exam
Written exam2,00090,00
TOTAL     100,00

Bibliographie

  • Jorion, P. (2011), Financial Risk Manager Handbook, Chapters 19 to 24, Sixth Edition, Wiley. -

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


Ressources internet



 
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