Face-to-face , second term, 30 hours of theory.

Second term
Monday and Thursday from 18:00 to 21:00 at 119 Marais 3100

French courses, Powerpoint support in English

Familiarise students with the theories and practices of credit portfolio management, understand the prudential banking policies as well as the causes and consequences of changes that occured following the 2007-2008 financial crisis.

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• Part 1 / Theories of Credit Risk Portfolio Management
o Measurement of credit risk (PD, EAD, LGD, correlations)
o Measurement of risk-adjusted profitability (RAROC, hedging cost)
o Concentration risks: types, principles for defining the appetite for risk of a financial institution (CaR, EaR)
o Active management of credit portfolios, to optimize their value within risk appetite constraints: steps, objectives, performance measurement tools, market instruments used
o Counterparty risk in treasury and trading (derivatives, treasury products, investment products): types of contracts, exposure measurement, risk mitigation (close-out netting, CSA, break clauses, etc.), real time exposure management systems
o Organizational options for credit portfolio management, links with treasury and ALM for an integrated balance sheet management

• Part 2 / Regulatory developments
o Organization for Financial Stability and Financial Markets control globally and in the European Union
o Basel 2.5 and 3 / CRD 3 and 4 (Banks)
o Solvency II (Insurance)
o Comparison of prudential regulations, emergence of "Shadow banks"
o Impact on business model of financial institutions and on distribution of credit products

• Part 3 / Case study - The financial crisis of 2007-2008
o Analysis of causes and consequences of each stage of the crisis
o Critical analysis of new prudential regulations effectiveness
o Implications for economic growth and role of banks and institutional investors

Presentation and multiple practical examples

Written examination

No recommended reading

Hourly charge: 30h - 6 ECTS