Duration
30h Th
Number of credits
| Specialised master in financial risk management | 4 crédits |
Lecturer
Language(s) of instruction
French language
Organisation and examination
Teaching in the second semester
Schedule
Units courses prerequisite and corequisite
Prerequisite or corequisite units are presented within each program
Learning unit contents
* Introduction : définitions. * Typologie de risques. * Réglementation. * Un commun dénominateur de risque financier : la volatilité. * Produits et facteurs de risques financiers. * Modèles d'évaluation des actifs financiers. * Méthodes analytiques et statistiques d'estimation des risques financiers. * Economic Capital et Internal Capital Adequacy Assessment Process (ICAAP). * L'Asset and Liability Management (ALM) et le risque de liquidité. * Gouvernance et organisation du Risk management financier.
Learning outcomes of the learning unit
Prerequisite knowledge and skills
Planned learning activities and teaching methods
Mode of delivery (face-to-face ; distance-learning)
Face-to-face
Recommended or required readings
Assessment methods and criteria
Work placement(s)
Organizational remarks
Contacts
Adaptation of teaching commitments following the COVID-19 pandemic for the May-June 2020 session
Teaching methods implemented : distance-learning
Assessment subjects
Assessment methods
Contacts
Adaptation of teaching commitments following the COVID-19 pandemic for the Aug-Sept 2020 session
Assessment subjects
Introduction to Financial Risk Management and risk taxonomy
Banking regulations, Basel 2, 2.5, 3 ... and 4 ?
The notions of volatility, dependence and correlation
The Value at Risk concept (VaR)
Characteristics and limits of VaR
The different Value at Risk approaches
Assets & Liabilities Management: Interest rate
Assets & Liabilities Management: Liquidity
Bank Management: Excel simulations 1
Bank Management: Excel simulations 2
Value at Risk: Excel Exercise
Assessment methods
Open book written exam in the form of a Moodle Test lasting 1h30. The exam consists of multiple choice questions and calculation questions with a numerical answer to be given. This is an individual certification assessment.
Contacts
Laurent Balthazar : Laurent.Balthazar@ulg.ac.be
Pascal Van Wynendaele : Pascal.VanWynendaele@ulg.ac.be
Laurent Balthazar : Laurent.Balthazar@ulg.ac.be
Pascal Van Wynendaele : Pascal.VanWynendaele@ulg.ac.be
Items online
HEC- Part 1 Introduction V2016
Part 1 - Introduction