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| GEST0249-1 | Advanced Studies in Banking
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| Duration : | 30h Th, 15h Pr |
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| Credits/ECTS : |
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| Holder(s) : | Georges Hübner |
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| Substitute(s) : | Benoît Schaus |
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| Language : | Langue anglaise |
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| Course contents : | PART 1 : RISK MANAGEMENT IN FINANCIAL INSTITUTIONS
A : TRADITIONAL METHODS
B : MODERN METHODS (FOR CREDIT, MARKET AND OPERATIONAL RISKS)
PART 2 : INTEREST RATE RISK
A : TERM STRUCTURE MEASUREMENT
B : DURATION AND CONVEXITY PRINCIPLES
C : SPECIAL INSTRUMENTS
PART 3 : TERM STRUCTURE THEORIES
A : NOTIONS OF CONTINUOUS-TIME FINANCE
B : TRADITIONAL THEORIES
C : ARBITRAGE THEORIES
PART 4 : PRICING AND HEDGING FINANCIAL RISKS
A : PRICING OF CONTINGENT CLAIMS
B : DYNAMIC RISK MANAGEMENT TECHNIQUES |
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| Course objective : | To deepen student¿s knowledge in the field of risk management for financial institutions. The course begins with a review of the types of risks to be managed and the traditional and modern tools used for these purposes. It then turns to the particular treatment of interest risk. The course addresses the measurement of the term structure of interest rates, the sensitivity of financial instruments and the theories used to calibrate the term structure in a dynamic environment |
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| Prerequisites : | Gestion Bancaire (30h) |
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| Organization : | Lecture (30h)
Case study (9h)
Specialized seminars (6h) |
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| Written notes : | Recommended:
Hübner, Joliet & Mélotte, syllabus 2004 |
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| Assessment : | Written exam (75%) + Case Report(25%) + mandatory attendance to seminars |
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| Contacts : | Teachers:
G. HUBNER, bureau II.49,
Tel. : 04/366.27.65 - Fax : 04/366.27.67
E-Mail : G.Hubner@ulg.ac.be
B.SCHAUS
Deloitte SA
E-Mail : bschaus@deloitte.lu
Assistant :
S. Plunus, bureau II.51,
Tel. : 04/366.27.40
E-Mail : splunus@ulg.ac.be |
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