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| Version 2011-2012 |
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| FINA0064-1 | Financial Risk Modeling
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| Durée : | 30h Th |
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| Nombre de crédits : |
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| Nom du professeur : | Aline Muller, Jean-Philippe Peters |
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| Coordinateur(s) : | Aline Muller |
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Langue(s) du cours :
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| Langue anglaise |
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Contenus du cours :
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| Financial Risk Modeling is divided in two parts. The first part of the course reviews credit risk models as implemented in major financial institutions and discusses the improvements that have been made (or could be made) in light of the financial crisis. Particular emphasis is given on the mathematical development of these models as well as on the foundations required to build the models.
The second part of the course focuses on market and liquidity risk. It provides a detailed introduction on how risk, return, and price behavior of securities may be analyzed in competitive markets and how risk may be characterized. The course focuses moreover on how investors and fund managers manage their myriad risk exposures. Key potential areas of model improvements as well as back / stress testing mechanisms are discussed in an interactive way.
It should be stressed that across both parts of the course participants will be continuously challenged via live case studies. |
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Acquis d'apprentissage (objectifs d'apprentissage) du cours :
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| Intended Learning Outcomes addressed by the courses :
- Strengthening knowledge and understanding of basic management disciplines in order to use them to perform a rigorous analysis of a management situation and provide pertinent solutions
- Gaining the knowledge and understanding of one of the following fields: supply chain management, financial engineering, performance management systems or intrapreneuriat; being able to mobilize them in order to solve concrete management problems or cases
- Ability to speak 2 foreign languages: C1 in English and B2 in one other language
- Capacity to research autonomously and methodically the information needed to solve a complex, transversal management problem, to perform a rigorous analysis of it and to suggest pertinent solutions
- Understanding and being capable of using modelization methods when seeking a solution for a concrete management problem
- Providing concrete solutions to a management problem, integrating a dimension of technology, innovation or production
- Being capable of professional team work
- Developing a critical sense (arguing)
- Developing a transversal, global vision
- Creative conception of solutions
- Professional capacity for oral communication
- Professional capacity for written communication
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Prérequis et corequis / Modules de cours optionnels recommandés :
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Activités d'apprentissage prévues et méthodes d'enseignement :
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Mode d'enseignement (présentiel ; enseignement à distance) :
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Lectures recommandées ou obligatoires et notes de cours :
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Modalités d'évaluation et critères :
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| Partie 1
-50% travaux collectifs (avec appréciation de la performance individuelle et collective)
-50% examen écrit (questions ouvertes)
Partie 2
100% examen écrit
Pondération relative de l'évaluation individuelle : 85%
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