Ce cours apparaît dans les formations suivantes :
• IÉSEG > IESEG Degree - Programme Grande École > Semester 2 > 2,00 ECTS

Pré requis

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.

Objectifs du cours

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,…

Contenu du cours

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,…

Modalités d'enseignement

Organisation du cours

Méthodes pédagogiques

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

Évaluation

The exam is based on 20 short questions which are often related to mini-case studies and for which a computation is typically required.

Bibliographie

• 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. -

Ressources internet

• IESEG ONLINE