This class exists in these courses :
• IÉSEG > MSc in Investment Banking and Capital Markets > Semester 2 > 3,00 ECTS

Prerequisites

To ease understanding, students may be required to have taken preliminary courses or to have knowlege on Financial Accounting and on quantitative tools for finance (probability and statistics concepts).

Learning outcomes

At the end of the course, the student should be able to:
Financial Risk Management (FRM) is an integral factor to the vitality of any business. By implementing an effective FRM strategy, organisations can successfully evaluate, control, and reduce risks to the minimal acceptable level. This course provides an overview of the range of resources and techniques of financial risk, which help a company to identify specific vulnerabilities in its operations, particularly those which cause it to lose money.
On completion of this course, students should be able to identify, measure, evaluate financial vulnerabilities and to communicate them to senior executives using state of the art management technique.
Students during the course will have to resolve business cases in small groups. They will have to propose creative, strategic and appropriate solutions to complex and ethical dilemmas concerning the risk management in financial organizations and to assess the sector changes in values since the 2008 crisis.
The course will be also a great opportunity for the students to demonstrate their leadership skills by composing constructive feedback and guidance of their work to their peers via effective presentations.
In order to introduce students to risk management technique, students will learn specialized knowledge of the financial risk which ranges from credit to operational risk. Students will have to understand those specialized knowledge to formulate strategical and appropriate solutions to complex and unfamiliar challenges in the domain.

Course description

Programme content will cover:

•Banking Risk Management Overview
•Asset Liability Management
•Credit Risk: Exposure, loss, credit migration and credit risk models
•Introduction computing standard risk measures (VaR, CVaR) for multi-asset class portfolios using parametric and empirical approaches
•Operational risk: differentiation between the various approaches, assess impact of risk mitigation
•Understand the risk management processes
•Entreprise Risk Management (ERM) Economic Capital
•Risk management lessons learned from recent risk events

Class type

Class structure

Teaching methods

• Case study
• Interactive class
• Presentation

Assessment

The evaluation of the students will be done via a final exam at the end of the course, an individual written assessment provided in the middle of the sessions and case studies .

Recommended reading

• Risk Management and Financial Institutions / John C. Hull -

• The essentials of Risk Management / Michel Crouhy -

• Operational Risk Management in Banks / Giuliana Birindelli -

• Entreprise Risk Management / James Lam -

Internet resources

• Standard & Poor's

• Alison

• Edx Introduction to credit risk management