International Financial (Risk) Management (intensive course)

EM3E5M07A1

Semestre
A
Discipline
Finance
Volume horaire
27 H
Nombre de places
45
Ouvert aux visitants
Oui
Langue
EN
Responsable
Mihail Busu

Liste des intervenants

Intervenant(s) Email Volume horaire CM
Mihail BUSU mihail.busu@fabiz.ase.ro 27 h

Contribution pédagogique du cours au programme

Aucune contribution pédagogique associé à ce cours pour ce programme.

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.

Organisation pédagogique

Face-to-face

- Lectures
- E-learning

In group

- Exercises
- Oral presentations
- Case studies/texts

Interaction

- Discussions/debates

Others

Aucun élément de cette liste n'a été coché.

Objectifs pédagogiques

Cognitive domain

A l'issue du cours, l'étudiant(e) devrait être capable de / d'...
  • - (niv. 1) recognize good practices of treasury management in industry
  • - (niv. 2) summarize the language and the practice of treasury management industry by reading professional treasury journals
  • - (niv. 3) demonstrate an understanding of Foreign exchange theory and its applications in risk management
  • - (niv. 4) analyze practical risk management problems using a case study approach (assignment)
  • - (niv. 4) relate academic theories to the practice of risk management
  • - (niv. 5) interpret and evaluate financial problems posed both in quantitative and non-quantitative terms.

Affective domain

A l'issue du cours, l'étudiant(e) devrait être capable de / d'...
Aucun affective domain n'a pour le moment été associé à ce cours.

Objectifs de développement durable abordés

Aucun objectif de développement durable n'a été coché.

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)

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 risk

Supports pédagogiques

Mandatory tools for the course

- Computer
- Calculator
- Reference manuals

Documents in all formats


- Case studies/texts
- Syllabus

Moodle platform

- Upload of class documents
- Interface to submit coursework
- Assessments

Software

- Pack Office (Word, Excel, PowerPoint, Access)

Additional electronic platforms

Aucun élément de cette liste n'a été coché.

Bibliographie recommandée

Ouvrages principaux

Borghesi, A., & Gaudenzi, B. (2013). Risk management : How to assess, transfer, and communicate critical risks. Springer. Omenn, G. S. (2003). On the significance of “The Red Book” in the evolution of risk assessment and risk management.

Littérature complémentaire

opkin, 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. Hull, J. (2012). Risk management and financial institutions,+ Web Site (Vol. 733). John Wiley & Sons.

Travaux de recherche de l'EM : Veillez à mobiliser au moins une ressource

Peuvent être renseignés les manuels coordonnés, les traductions de manuel, les études de cas traduites etc…
CHEHBI-GAMOURA, F. S., DERROUICHE, S. R., MALHOTRA, T. M., & DAMAND, F. D. PREDICTIVE CROSS-MANAGEMENT OF DISASTER PLANS IN BIG DATA SUPPLY CHAINS: FUZZY COGNITIVE MAP APPROACH. Gueye, D. (2021). Some Contributions to Quantitative Financial Risk Management (Doctoral dissertation, Université de Strasbourg).

Modalités d'évaluation

Liste des modalités d'évaluation

Evaluation intermédiaire / contrôle continu 1Autre (date, contrôle surprise...) : -
Ecrite et orale / individuelle / Anglais / pondération : 20 %
Précisions : Class activity
Evaluation finaleDernière séance
Ecrite (90 min) / individuelle / Anglais / pondération : 80 %
Précisions : -
Aucune modalité d'évaluation n'a pour le moment été attribuée à ce cours.