GERF2111 - Credit Risk Management
Credits :
6
Lecturer :
Mode of delivery :
Face-to-face , second term, 30 hours of theory.
Language of instruction :
French courses, Powerpoint support in English
Learning outcomes :
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.
Prerequisites :
None
Co-requisites :
None
Course contents :
• 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
Planned learning activities and teaching methods :
Presentation and multiple practical examples
Assessment methods and criteria :
Written examination
Recommended or required reading :
No recommended reading
Other information :
Hourly charge: 30h - 6 ECTS
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