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Language of instruction
English
Teaching content
FINANCE
This course occurs in the following program(s)
MSc in Finance
- Crédits ECTS: 2.00
Training officer(s)
J.Wienbelt
Stakeholder(s)
Johan Wienbelt
Présentation
Prerequisite
- 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.
- 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.
Goal
At the end of the course, the student should be able to :
- Breakdown complex organizational problems using the appropriate methodology
- Propose creative solutions within an organisation
- Compose constructive personal feedback and guidance
- 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 how banks treat credit risk on their balance sheets and make credit value adjustments;
- Work with Bloomberg/Reuters on practical cases, implementing their understanding in practice.
- Breakdown complex organizational problems using the appropriate methodology
- Propose creative solutions within an organisation
- Compose constructive personal feedback and guidance
- 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 how banks treat credit risk on their balance sheets and make credit value adjustments;
- Work with Bloomberg/Reuters on practical cases, implementing their understanding in practice.
Presentation
- 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 Pape
- Session 3 - The CDS market;
- Session 4 - Bloomberg/Reuters lab;
- Session 5 - Mitigating Counterparty Credit Risk;
- Session 6 - Presentation of a Pape
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | ||
| Autoformation | |||
| Lecture du manuel de référence | 4,00 | ||
| Travail personnel | |||
| Group Project | 20,00 | ||
| Charge de travail personnel indicative | 10,00 | ||
| Overall student workload | 50,00 | ||
Evaluation
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%.
- 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%.
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Contrôle continu | |||
| QCM | 2,00 | 6 | 40,00 |
| Autres | |||
| Rapport écrit | 1,00 | 9 | 20,00 |
| Projet Collectif | 4,00 | 1 | 40,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliography
John Hull - Risk Management and Financial Institutions, (2012), Wiley -
Jon Gregory - Counterparty Credit Risk (2010), Wiley Finance -
Jon Gregory - Counterparty Credit Risk (2010), Wiley Finance -