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RISK MANAGEMENT

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-MBK1S2-FIN-MBKCI12UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
MSc in Investment Banking and Capital Markets1S2English
Professeur(s) responsable(s)S.ANIAKOU
Intervenant(s)S.ANIAKOU


Pré requis

To ease understanding, students may be required to have taken preliminary courses or to have knowlege on Financial Accounting and on quantitative tools for finance (probability and statistics concepts).

Objectifs du cours

Financial Risk Management (FRM) is an integral factor to the vitality of any business. By implementing an effective FRM strategy, organisations can successfully evaluate, control, and reduce risks to the minimal acceptable level (AACSB Learning Goal). Even if the course is concerned mostly with the ways risks are managed by financial institutions, approaches are equally applicable to nonfinancial corporations.This course provides an overview of the range of resources and techniques of financial risk which help a company to identify specific vulnerabilities in its operations, particularly those which cause it to lose money. On completion of this course students should be able to identify, measure and evaluate financial vulnerabilities which range from:
•Credit risk: this causes an organization to lose money when its customers are unable to pay back debts.
•Market risk: Vulnerability that arises from negative movements or trends in material prices.
•Operational Risk, Entreprise Risk Management (ERM) etc.

Contenu du cours

Programme content will cover:

•Banking Risk Management Overview
•Asset Liability Management
•Credit Risk: Exposure, loss, credit migration and credit risk models
•Introduction computing standard risk measures (VaR, CVaR) for multi-asset class portfolios using parametric and empirical approaches
•Operational risk: differentiation between the various approaches, assess impact of risk mitigation
•Understand the risk management processes
•Entreprise Risk Management (ERM) Economic Capital
•Risk management lessons learned from recent risk events


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture20,00  
Interactive class4,00  
Independent study
Group Project15,00  
Estimated personal workload36,00  
Charge de travail globale de l'étudiant75,00  

Méthodes pédagogiques

  • Presentation
  • Interactive class
  • Case study


Évaluation

The evaluation of the students will be done via a final exam at the end of the course, an individual written assessment provided in the middle of the sessions and case studies .

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00160,00
Others
Case study2,00230,00
Written Report2,00110,00
TOTAL     100,00

Bibliographie

  • Risk Management and Financial Institutions / John C. Hull -

  • The essentials of Risk Management / Michel Crouhy -

  • Operational Risk Management in Banks / Giuliana Birindelli -

  • Entreprise Risk Management / James Lam -


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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