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| FINA0023-1 | Financial Risk Management
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| Duration : | 24h Th |
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| Credits/ECTS : |
| Master in Economical Sciences, in-depth approach, 1st year | | Deuxième quadrimestre | | 5 |
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| Master in Economical Sciences, didactic approach, 1st year | | Deuxième quadrimestre | | 5 |
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| Master in Economical Sciences, Professional Focus in Economic Policies and Analysis, 1st year | | Deuxième quadrimestre | | 5 |
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| Master in Management Sciences, professional Focus, 2nd year | | Deuxième quadrimestre | | 4 |
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| Master in Management Sciences, professional Focus (Full english), 2nd year | | Deuxième quadrimestre | | 4 |
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| Master in Management Engineering, professional Focus, 2nd year | | Deuxième quadrimestre | | 4 |
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| Holder(s) : | Georges Hübner |
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| Language : | Langue anglaise |
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| Course contents : | This advanced finance course provides an overview of the management of market, credit and operational risks in the financial profession. It builds on the knowledge accumulated in previous finance courses such as Options & Futures, and Asset Management.
The theoretical course is divided in three parts, one for each source of risk.
Regarding market risk, the course reviews the sources of risk and the mechanisms to quantify and control them, as well as the hedging strategies available to the risk manager.
The analysis of credit risk goes through the assessment of individual and portfolio exposures, and the methods to manage this type of risk using credit derivatives. A critical assessment of the risks related to securitization is provided.
The course provides an introduction to operational risk within the financial industry.
To illustrate and practice the concepts, a set of interactive exercise sessions will be organized in the virtual trading room of HEC-ULg. A software specialized in financial risk management will be used to analyze specific portfolios. Furthermore, case studies representing virtual market situations will be analyzed using a financial game simulation software.
Finally, the course prioritizes contacts with market practitioners. During two evening sessions organized in collaboration with Deloitte Luxembourg, four senior executive will provide students with a practice-oriented view of a special topic in risk management. Selected guests will also intervene during classes. |
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| Course objective : | The course pursues three main objectives:
1. To provide students with the body of knowledge necessary to understand the challenges of financial risk management, with a strong quantitative focus, and to possibly prepare a professional certification in the area of risk management;
2. To train students to the application of risk management concepts in realistic situations through the intensive use of the trading room and professional risk management tools
3. To confront students with real issues through the experience of high-level market practitioners. |
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| Prerequisites : | - Options and Futures (or equivalent)
- Investments (or equivalent)
A good background in probability and statistics |
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| Workshops : | 1. 4 x 2 hours of exercise sessions in the Trading Room, featuring:
1.a. the appropriation of a risk management software
1.a. the resolution of a virtual case study
2. Two conferences (evening sessions) with each time two high-level practitioners |
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| Organization : | 18h Theory
8h Exercise sessions (in the Trading Room)
2x2h Practitioners' conference |
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| Written notes : | Main Textbook:
Jorion, Ph., Financial Risk Manager Handbook (4th Edition), 2008, John Wiley & sons, GARP Risk Management Library
Powerpoint slides will be made available to students |
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| Assessment : | - Case study to be handed in by the end of the course: 30% of total grade (for 1st and 2nd session)
- Written exam (70% of the grade) |
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| Contacts : | Teacher
Georges Hübner
N1, Office 111
g.hubner@ulg.ac.be
04/2327428
Assistants
Séverine Plunus
N1, Office 112
splunus@ulg.ac.be
Laurent Bodson (fro the trading room)
N1, Office 112
Laurent.Bodson@ulg.ac.be
04/2327429 |
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