FORMATIONS |
Fiche détaillée d'un cours
CREDIT RISK MANAGEMENT | |||
2023-2024 | FrIESEG School of Management
(
IÉSEG
)
| ||
Code Cours : | 2324-IÉSEG-MFI1S2-FIN-MFIEI02UE | FINANCE |
Niveau | Année de formation | Période | Langue d'enseignement |
---|---|---|---|
MSc in Finance | 1 | S2 | FrEnglish |
Professeur(s) responsable(s) | J.Wienbelt |
---|---|
Intervenant(s) | Johan Wienbelt |
- Ce cours apparaît dans les formations suivantes :
- IÉSEG > MSc in Finance > Semestre 2 > 2,00 ECTS
Pré requis
- 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.
Objectifs du cours
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.
Contenu du cours
- 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
Modalités d'enseignement
Organisation du cours
Type | Nombre d'heures | Remarques | |
---|---|---|---|
Independent work | |||
Reference manual 's readings | 4,00 | ||
Independent study | |||
Estimated personal workload | 10,00 | ||
Group Project | 20,00 | ||
Face to face | |||
Interactive class | 16,00 | ||
Charge de travail globale de l'étudiant | 50,00 |
Méthodes pédagogiques
- Case study
- E-learning
- Interactive class
- Presentation
- Research
Évaluation
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%.
Type de Contrôle | Durée | Nombre | Pondération |
---|---|---|---|
Others | |||
Written Report | 1,00 | 9 | 20,00 |
Group Project | 4,00 | 1 | 40,00 |
Continuous assessment | |||
QCM | 2,00 | 6 | 40,00 |
TOTAL | 100,00 |
Bibliographie
- John Hull - Risk Management and Financial Institutions, (2012), Wiley -
- Jon Gregory - Counterparty Credit Risk (2010), Wiley Finance -
Ressources internet
- www.garp.org/#1/frm by the Global Association of Risk Professionals
- Support materials available on the course website
- www.bionicturtle.com - library of document and video tutorials
- www.risk.net/journal-of-credit-risk
* Informations non contractuelles et pouvant être soumises à modification