Number of hours
- Lectures 18.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 2.0
Goal(s)
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.
Responsible(s)
Sonia JIMENEZ GARCES, Denis DUPRE
Content(s)
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
-Riskmetrics
Credit risk
-Credit risk models: CreditMetrics, CreditRisk+,
Securitization
-General presentation
Ethic of the banker profession
Presentation of the students work
-General presentation and presentation of the students work
None
Test
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.
N1=E1
N2=E2
où
E1 = examen final noté sur 20 points
E2 = examen final (session de rattrapage)
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : WMMF9M22
Course language(s): 
The course is attached to the following structures:
- Team Finance.
You can find this course among all other courses.
Bibliography
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
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.