Visualisation plan de cours
2026 / 2027
EM1F4MNG
Next-Gen Risk Management: AI and Global Financial Transactions (Intensive course)
Programme
PGE VISITANTS
Semestre
B
Coefficient
5
Volume horaire
Face à face : 27 H
Travail personnel indicatif : 54 H
Discipline
Finance
Nombre de places
45
Cours ouvert aux étudiants visitants
Oui
Langue d'enseignement
Anglais
Responsable
BUSUProfesseur international invité
Discipline
Finance
Descriptif
The lecture aims to offer students an overview about the growing importance of risk management as a major tool of sustainable and value-based management and to familiarize them with its most common mechanisms. Participants will get into the risk management value perspective, discuss its assumptions and discover major monitoring and incentive tools by putting a special focus on the sustainability aspect of existing financial instruments.To bridge the gap between theory and practice, students will deal with examples and case studies that tackle risk management issues (hedging, options and future contracts).
The interactive organization of the lecture allows to quickly acquire the skills and techniques needed for analyzing the efficiency of financial instruments and judging about the effectiveness of risk management computational tools with respect to a sustainability-oriented and value-driven management approach.
MAC
Auditer et évaluer des pratiques managériales/Audit and evaluate managerial practices
5 ECTS
Objectifs pédagogiques - COGNITIVE DOMAIN
A l'issue du cours, l'étudiant(e) devrait être capable de / d'...
- Describe the concept of risk management and the reasons explaining its growing relevance in an internationalized world of business
- Discuss the relevance and usefulness of the Risk Management
- Analyze how specific board aspects may strengthen the CSR dimension of a firm’s governance setting
- Construct an efficient portfolio
Objectifs pédagogiques - AFFECTIVE DOMAIN
A l'issue du cours, l'étudiant(e) devrait être capable de / d'...
- Choose the most appropriate method for analyzing a portfolio risk
- Answer forwards, pricing of forward contracts under assumptions of dividends, carrying costs sentences
- Explain the basics of derivatives
- Compare back-testing and stress testing market risk
- Solve basic option valuation problems
Plan / Sommaire
I. Introduction to Financial Risk Management (4h)
1. Motivation for risk management
2. Why risk management?
3. Creating value with risk management
4. Measuring risk for a single asset and for a portfolio of assets
II. Financial Engineering & Hedging (4h)
1. Basics of derivatives
2. Forwards, pricing of forward contracts under assumptions of dividends, carrying costs, etc
3. Futures, settlement mechanism, clearing house concept
4. Hedging with futures and forwards
5. Basic, and exotic options
6. Basics of option valuations, valuation options using Black-Scholes Model
7. Duration hedging
III. Measuring volatility and Correlations (4h)
1. Conditional and unconditional volatility
2. Weighted and unweighted conditional volatility
3. EWMA and CARCH (1,1) approaches to volatility
4. Estimating covariance
IV. Market Risk (4h)
1. Value at Risk (VaR) measurement
2. Historical and Monte Carlo Simulation approaches
3. Back-testing
4. Stress-testing
5. Capital charge for market risk under Basel rules
V. Credit Risk (4h)
1. Credit analysis models (expert system, credit scoring and rating models, artificial neural networks
2. Capital charge for credit risk under Basel rules
3. Calculating default probabilities with actuarial and market prices based methods
4. Measuring loss given defaults with actuarial methods
5. Credit Derivatives
VI. Operational Risk (4h)
VII. Case study presentations (2h30)
VIII. General conclusion (0h30)
1. Motivation for risk management
2. Why risk management?
3. Creating value with risk management
4. Measuring risk for a single asset and for a portfolio of assets
II. Financial Engineering & Hedging (4h)
1. Basics of derivatives
2. Forwards, pricing of forward contracts under assumptions of dividends, carrying costs, etc
3. Futures, settlement mechanism, clearing house concept
4. Hedging with futures and forwards
5. Basic, and exotic options
6. Basics of option valuations, valuation options using Black-Scholes Model
7. Duration hedging
III. Measuring volatility and Correlations (4h)
1. Conditional and unconditional volatility
2. Weighted and unweighted conditional volatility
3. EWMA and CARCH (1,1) approaches to volatility
4. Estimating covariance
IV. Market Risk (4h)
1. Value at Risk (VaR) measurement
2. Historical and Monte Carlo Simulation approaches
3. Back-testing
4. Stress-testing
5. Capital charge for market risk under Basel rules
V. Credit Risk (4h)
1. Credit analysis models (expert system, credit scoring and rating models, artificial neural networks
2. Capital charge for credit risk under Basel rules
3. Calculating default probabilities with actuarial and market prices based methods
4. Measuring loss given defaults with actuarial methods
5. Credit Derivatives
VI. Operational Risk (4h)
VII. Case study presentations (2h30)
VIII. General conclusion (0h30)
Prérequis nécessaires
Connaissances en / Notions clés à maîtriser
Knowledge of : - Basic knowledge of portfolio theory - Credit analysis models Key concepts to understand: - risk management - future contracts - options contracts - portfolio riskSupports pédagogiques
Mandatory tools for the course
- Computer- Calculator
Documents in all formats
- Case studies/textsMoodle platform
- Upload of class documents- Interface to submit coursework
- Assessments
- Coaching/mentoring
Manuels/ouvrages obligatoires
Hopkin, P. (2018). Fundamentals of risk management: understanding, evaluating and implementing effective risk management. Kogan Page Publishers.Bouchaud, J. P., & Potters, M. (2003). Theory of financial risk and derivative pricing: from statistical physics to risk management. Cambridge university press.
Omenn, G. S. (2003). On the significance of “The Red Book” in the evolution of risk assessment and risk management.