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| FINA0023-1 | Financial Risk Management
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| Duration : | 24h Th |
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| Credits/ECTS : |
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| Holder(s) : | Georges Hübner |
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| Language : | English language |
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| Course contents : | This advanced finance course provides an overview of the management of financial risks: Market Risk, Interest-Rate Risk, Credit Risk, Operational Risk... Basic risk management concepts will also be detailed (stochastic processes, hedging, copulae, Basel Accords, Value-at-Risk ...)
- Introduction to risk management
- Introduction to stochastic processes
- Principles of hedging, volatility, correlations and copulae
- Interest-Rate risk
- Basel Accords and Value-at-Risk
- Economic Capital and RAROC
- Credit risk
- Operational 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 computer and virtual trading room of HEC-ULg. Furthermore, case studies representing virtual market situations will be analyzed during these exercises sessions.
Finally, the course prioritizes contacts with market practitioners. During two evening sessions organized in collaboration with Deloitte Luxembourg, 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 exercises sessions in the trading room and case studies
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 strong background in probability theory, statistics and econometrics is required. |
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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 high-level practitioners |
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| Organization : | 18h Theory
8h Exercise sessions (sessions in the Trading Room included)
2x2h Practitioners' conference |
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| Written notes : | Powerpoint presentations (available on the university's website).
While building mainly on John C. Hull's book "Risk Management and Financial Institutions" (Pearson Educ. Edition), this course will also include material not found in the book so that students will benefit from practical illustrations and experiences from risk professionals. |
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| Assessment : | The final assessment will be in two parts:
- the written exam
- the participation to two seminars "Deloitte Seminar in Financial Markets" to be held in April or May 2009 and the resolution of a term paper related to one of these seminars
The grade will be decomposed as follows:
- 30-40% exam - exercices
- 40-50% exam - theory (open questions)
- 10-20% term paper
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| Contacts : | Teacher
Georges Hübner
N1, Office 111
g.hubner@ulg.ac.be
04/2327428
Assistants
Arnaud Cavé & Thomas Lejeune
N1, Office 101
tlejeune@ulg.ac.be
04/2327432 |
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