Gestion du risque et du crédit

Crédit : 4 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 24 h

Compétences à acquérir

Participants will use a structured and systematic approach to evaluate creditworthiness of a borrower and assess risk-return profile of the lending proposal. This will be an interactive course, where case studies will be used to illustrate key learning points, and allow participants to apply concepts acquired during the course to a real-life case. Specifically, participants will learn to :
  • Identify key factors that drive a company's future performance and ascertain its ability to service/refinance its debt when it comes due
  • Understand rating agencies role and rating methodologies
  • Structure transaction to mitigate risk
  • Understand systems and procedures used to manage credit risk

Description du contenu de l'enseignement

Planning course :
  • Fundamental analysis
- Business risk assessment : social, political and macroeconomic factors that may impact business sustainability, industry drivers and key and success actors to sustain a competitive advantage, business profile and strategy's adequacy to the above factors , and risks arising from ownership and management structure
- Financial analysis : ability to generate sustained earnings and free cash flows, in view of debt services requirements, capital structure adequacy, liquidity and refinancing risks, main adjustments to ensure comparability
- Credit rating : rating agencies role and organization, rating methodology, use of market data as alternate measure of credit risk
- Recovery : ranking in the debt structure, contractual subordination , junior/senior debt and structured finance transactions, exposure to structural subordination when lending to holdings
 
  • Credit risk management
- Transaction risk assessment : nature of risk (Committed or not, funded or contingent, etc.), exposure at risk, counterparty credit risk in derivative transactions
- Structuring : legal documentation, financial and non financial covenants, risk mitigation (Guarantees, credit derivatives, collateralization, margin call mechanism), risk transfer (Syndication, securitization)
- Risk management framework : limits and safeguards, transaction approval process, monitoring and control
 
  • Quantitative approach
- Credit instruments : loans vs bonds, CDS, CDO
- Default risk : Information, scores, market-driven analysis
- Transition risk
- Modeling credit risk : structural models, reduced-form models
- Credit risk dependency

Enseignant responsable

VALERIE LEFEBVRE

Enseignant responsable

OLIVIER TOUTAIN



Année universitaire 2017 - 2018 - Fiche modifiée le : 12-07-2017 (10H18) - Sous réserve de modification.