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GERF2111 - Gestion du risque crédit
USL-B
Crédits :
6
Professeur :
Mode d'enseignement :
Deuxième quadrimestre, 30 heures de théorie.
Langues d'enseignement :
Courses delivered in French or in English, Powerpoint support in English
Objectifs d'apprentissage :
To enable students to understand best practices, challenges and trends in credit portfolio and balance-sheet management in various types of financial institutions within the European regulatory environment
Prérequis :
Aucun
Corequis :
Aucun
Contenu de l'activité :
Part 1 / Theories of Credit Portfolio Risk Management o Introduction : - Megatrends and perspectives on risk and resilience in 2023 - Basics of risk, capital and economic value creation - From shareholders economic value to to stakeholders sustainable value creation - A comprehensive risk appetite on financial and sustainability objectives (economic, human, social and natural capital) - Resilience to extreme risks: Grey Rhinos and Black Swans in 2023
o Loan portfolio management - Transaction vs portfolio risk - the loss distribution - Cost of risk vs cost of uncertainty or capital - RAROC - Managing concentrations: event vs systemic risks, tolerances in CaR, EaR, LaR - Balance-sheet (TTC) vs market (PIT) risk and value benchmarks - Optimization of portfolio value: steps, benchmarks - Instruments for risk transfer (CDS, credit insurance, cash and synthetic securitizations)
o ESG portfolio strategies - Difference between sustainability and resilience - ESG strategies and risk appetites - Components of ESG scores and taxonomies - Event vs transition risk and opportunities: the example of climate risk - Scenario-based management of sustainability and resilience
o Counterparty risk in treasury and trading (derivatives, treasury and investment products) - Credit risk in lending vs counterparty risk in capital markets: contractual differences - Exposure measurement and mitigants (close-out netting, CSA, break clauses, Central Clearing Counterparties) - Active exposure management and mitigation, real time management systems
o CPM mandate and governance - Typical mandates up to integrated balance sheet management - Organization alternatives - Internal transfer prices and Chinese walls
Part 2 / Case study - The financial crisis of 2007-2008, comparison with COVID-19 o Analysis of root causes and consequences of each stage of the crisis o Critical analysis of prudential remedies and cures effectiveness o Implications for economic growth and role of banks and institutional investors o Similitudes and differences between the GFC and the COVID-19 Great Lockdown/Great Transformation o Drivers of short, medium and long-term scenarios after 2022
Part 3 / Regulations applicable to credit portfolios in banking, insurance and asset management o Global and EU architectures for prudential regulations (Financial Stability and Capital Markets) o Comparison of prudential regulations - Basel 3 / CRD 4 (Banks): the three pillars principles, conditions for solvency and liquidity adequacy, illustrations on loan portfolios - Solvency II (Insurers): principles and differences with Basel 3 for banks - Funds (Mifid II) and investment firms o The European Green Deal, European Capital markets Union and Sustainable Finance regulatory framework (CSRD, Taxonomy, SFDR) o Trends in climate and ESG risk prudential regulations in the EU o Impact on business model of financial institutions
Activités d'apprentissages prévues et méthodes d'enseignement :
Physical and on-line teaching, multiple practical examples
Méthodes d'évaluation :
Written examination (3h) in French, Dutch or English, on the main concepts and practices presented during the courses; sessions in June and in September
Bibliographie :
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