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| RECH0009-1 | Advanced Research Studies in Banking
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| Duration : | 30h Th |
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| Credits/ECTS : |
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| Holder(s) : | Georges Hübner |
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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 students' 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 : | Banking or equivalent |
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| Organization : | Lecture (30h)
Case study (9h) |
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| Written notes : | Recommended:
Hübner, Joliet & Mélotte, syllabus 2004
Articles dstributed in class |
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| Assessment : | Written exam (75%) + Case Report(25%) |
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| Contacts : | Teacher:
G. HUBNER, Office 111
Tel. : 04/2327428
E-Mail : G.Hubner@ulg.ac.be
Assistants
Séverine Plunus
N1, Office 112
splunus@ulg.ac.be
Laurent Bodson
N1, Office 112
Laurent.Bodson@ulg.ac.be
04/2327429 |
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