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CREDIT RISK MANAGEMENT

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-MFI1S2-FIN-MFI-CE06UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
MSc in Finance1S2English
Professeur(s) responsable(s)J.Wienbelt
Intervenant(s)Johan Wienbelt


Pré requis

- basic knowledge of bonds, derivatives and other plain vanilla financial instruments;
- familiaritty with mathematical notations and modelling;
- familiarity with basic accounting, P&L, balance sheet;
- basic knowledge of probibility theory (discrete and continuous random variable, density and distribution function;
- working with Bloomberg, Reuters and Excel;
- have a Kahoot! account.

Objectifs du cours

At the end of the course, the student should be able to :
- understand what Credit Risk and Counterparty Credit Risk are;
- understand the difference between Credit Risk and Counterparty Credit Risk;
- understand what a default probability is, (counterparty) credit risk exposure and a recovery rate;
- understand which tools are available to mitigate credit risk such as Credit Default Swaps;
- understand which tools are available to mitigate counterparty credit risk, such as netting, collateralisation and central clearing;
- understand recent developments in the financial industry to improve the (systemic) stability of the system and the role of regulation (Basel accords);
- understand what a Credit default swap is and how one can imply the term structure of the default probability using a probablistic model;
- understand how banks trat credit risk on their balance sheets and make credit value adjustments;
- work with Bloomberg/Reuters on practical cases, implementing their understanding in practice.

Contenu du cours

- Sessions 1 and 2 - Introduction to Credit Risk and Counterparty Creit Risk;
- Session 3 - The CDS market;
- Session 4 - Bloomberg/Reuters lab;
- Session 5 - Mitigating Counterparty Credit Risk;
- Session 6 - Presentation of a Paper


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent work
Reference manual 's readings4,00  
Independent study
Individual Project20,00  
Estimated personal workload10,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

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


Évaluation

The course assessment is made as follows:
- 6 quizzes taken in class in Kahoot!, testing understanding of the previous session and reading materials and 2 exercises, totaling to 60%;
- research on an actual topic or paper, with a presentation in class, 40%.

Type de ContrôleDuréeNombrePondération
Continuous assessment
QCM2,00640,00
Oral presentation0,30140,00
Others
Written Report1,00220,00
TOTAL     100,00

Bibliographie

  • www.bionicturtle.com - library of document and video tutorials -

  • John Hull - Risk Management and Financial Institutions, (2012), Wiley -

  • Jon Gregory - Counterparty Credit Risk (2010), Wiley Finance -


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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