Ensimag Rubrique Formation 2022

Bank management: risks, regulation and ethics - WMMF241

  • Number of hours

    • Lectures 36.0


    ECTS 3.75


This course enables students to discover an overview of the management of risks in the banking sector and professional ethics of banking.

The theoretical aspects are illustrated by case. Computing is used to make understand the growing importance of this type of approach in modern finance :
Evolution of modern finance, financial crisis, banking regulations, asset-liability management, interest rate risk, market risk, credit risk and securitization

Ethical aspects of banking are illustrated by research students. They analyze the uses of financial products and their impacts on economy and the effects of past and present regulations. Each student must be able to form a personal opinion through the study of the detailed knowledge of the mechanisms and uses of financial tools.



Bank management and risks

Banking Overview
-Overview of quantitative finance, banks presentation.

Financial and banking crisis
-Analysis of the mechanisms during financial crisis.

Banking ALM
-ALM (TCI) and performance indicators ( KPI, RAROC).
-Exercice: hedging a loan in a bank balance sheet.

Bankruptcy risk
-TD : bank bankruptcy risk

Basel III reform
-Objectives and main aspects of the solvency ratio.

Interest rate risk
-Interest rate models
-Interest rate risk management la gestion du risque de taux (duration and convexity)
-The hedging concept
-Exercice: valuation of a loan with Monte-Carlo methodology

Market risk
-VaR, Lower Partial moments, Sortino, TailVar

Credit risk
-Credit risk models: CreditMetrics, CreditRisk+,

-General presentation

Ethic of the banker profession

Presentation of the students work
-General presentation and presentation of the students work




A final exam graded on 10 points.
A continuous assessment on 10 points based on the 10 to 20 pages written summary student write about the ethical question of their choice.


E1 = examen final noté sur 10 points
CC = contrôle continu noté sur 10 points portant sur la synthèse écrite de 10 à 20 pages remise à l’enseignant sur la question éthique de leur choix
E2 = examen final (session de rattrapage)

Additional Information

Curriculum->For Financial Engineering->Semester 5


Crouhy, M., Galai D., et Mark R. (2001), “Risk management: comprehensive chapters on market, credit and operational |risk ; features an integrated VaR framework ; hedging strategies for reducing risk. ” - New-York : McGraw-Hill, 2001. - 717 p. - ISBN 0-07-135731-9

Jorion P. (2001), “Value at risk : the new benchmark for managing financial risk.” Philippe Jorion. - 2nd ed. - New-York : McGraw-Hill, 2001. - 544 p. - ISBN 0-07-135502-2

Dumontier, P. et Dupré, D. (2005), “Pilotage bancaire : les normes IAS et la réglementation Bâle II. ” - Paris : Revue Banque Editeur, 2005. - 298 p.

www.gloriamundi.org : site de référence sur la VAR (derniers articles de recherche en ligne).
www.defaultrisk.com : site de référence sur le risque de crédit (derniers articles de recherche en ligne).
www.bis.org : site de référence pour les documents officiels de la BRI édicté par le comité de Bâle.
www.banque-France.fr : site de la commission bancaire contenant la réglementation française.

https://sites.google.com/site/financeresponsable/ : mon site internet « crises et éthique de l’action ».