Risks in Banking

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 21 h

Description du contenu de l'enseignement

The course studies :
  • Credit Risk and Regulation
  • Credit marketisation
  • Economicand regulatory capital

Planning course :
  • Valuations
- Accounting Fair value versus Regulatory prudent value
- Mark to Market versus Mark to Model
- Banking Book versus Trading Book
- Dynamic hedging versus Static warehousing
- One asset, multiple pricings

 
  • Model risk
- Definition
- Past events
- Theoretical examples
- Measurement
- Mitigation

 
  • Case study : Product Analysis
- Single Stock range accrual
- Option on Basket

 
  • Risk metrics
- Sensitivities
- First order greeks
- Convexity and gamma effect
- Market dependancy and cross gammas
- Reporting

 
  • Value at risk
- Definition
- Numerical examples
- Regulatory usage
- Risk factors selections
- Dynamic of risk fcator assumption
- Numerical resolution: istorical, variance / covariance, Monte-Carlo
- Limitations
- Back testing

 
  • Stress Test
- Statistics beyond value at risk
- Historical stress tests
- Hypothetical stress tests
- Adverse stress test
- Calibration
- Internal versus External

 
  • Credit Derivatives and Securitisation
- Product inventory
- CDS usages
- Regulatory treatment
- Securitisation : regulatory capital arbitrage (Case study)

Mode de contrôle des connaissances

Final exam.

Bibliographie, lectures recommandées

  • A. De Servigny, Y. Zelenko, Le risque de crédit : Nouveaux enjeux bancaires, Dunod 2003.
  • R . Gallati, Risk Management and capital Adequacy.
  • R. Bruyère, Les produits dérivés de crédit, Economica 2004.
  • Brealey/Myers Principles of Corporate Finance, Mc Graw Hill, last edition ; Chapters on the International Finance (27 and 28).
  • Copeland Exchange Rates and International Finance, Addisson Wesley , 1994 (Chapter 10).

Enseignant responsable

LAURENT VALIGNY

Enseignant responsable

JEAN MICHEL BEACCO



Année universitaire 2016 - 2017 - Fiche modifiée le : 09-03-2017 (11H30) - Sous réserve de modification.