News
Our Degree Programs
Establishment
Language of instruction
English
Teaching content
FINANCE
This course occurs in the following program(s)
IESEG Degree - Programme Grande École
- Crédits ECTS:
Training officer(s)
M.PETITJEAN
Stakeholder(s)
Y.BRAOUEZEC
Présentation
Prerequisite
Risk Analysis and Finance (S1)
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.
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.
Goal
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,…
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,…
Presentation
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,…
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
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours magistral | 8,00 | ||
| Cours interactif | 8,00 | Discussion based on problem-solving MCQs | |
| Travail personnel | |||
| Charge de travail personnel indicative | 16,00 | ||
| Distanciel | |||
| Video-Conferences | 8,00 | Prerequisites for each interactive course | |
| Autoformation | |||
| Lecture du manuel de référence | 10,00 | ||
| Overall student workload | 50,00 | ||
Evaluation
The exam is based on 20 short questions which are often related to mini-case studies and for which a computation is typically required.
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Examen (final) | |||
| Examen écrit | 2,00 | 0 | 90,00 |
| Contrôle continu | |||
| QCM | 4,00 | 0 | 10,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliography
Hull, J. (2015), Risk Management and Financial Institutions, Fourth Edition, Wiley -
Jorion, P. (2011), Financial Risk Manager Handbook, Chapters 19 to 24, Sixth Edition, Wiley. -
Jorion, P. (2011), Financial Risk Manager Handbook, Chapters 19 to 24, Sixth Edition, Wiley. -
Internet resources