EM3E5M31

Semestre
A
Discipline
Finance
Volume horaire
22 H
Nombre de places
45
Ouvert aux visitants
Oui
Langue
EN
Responsable
Régis BLAZY

Liste des intervenants

Intervenant(s) Email Volume horaire CM
Régis BLAZY regis.blazy@unistra.fr 22 h

Contribution pédagogique du cours au programme

Aucune contribution pédagogique associé à ce cours pour ce programme.

Descriptif

This course aims at providing a panorama of the main techniques involved in credit risk management. After having presented the context of those techniques, this module mainly focuses on the prediction tools, such as credit scoring methods (discriminant analysis). The students are then given the opportunity to work on a real database made of bankrupt SMEs.

Organisation pédagogique

Face-to-face

- Lectures
- Tutorials

In group

- Exercises
- Other : XlStat application

Interaction

- Discussions/debates
- Games (educational, role play, simulation)

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. 2) Describe the legal environement of bankrupty.
  • - (niv. 2) Summarize the context of credit risk management.
  • - (niv. 3) Use XLSTAT(c) software.
  • - (niv. 4) Examine the quality of financial reports.
  • - (niv. 5) Arrange financial ratios.
  • - (niv. 6) Discriminate between good and bad firms.
  • - (niv. 6) Appraise the risk of default.

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

1) Understanding the context of credit risk management - Definitions: (1) what is lending? (debt contract, collaterals), (2) what are (a) ratings, (b) credit scoring models, (c) credit risk management? - Predicting "default" or "bankruptcy"? A short view of corporate bankruptcy systems (Europe) - The importance of information in credit lending: main issues (adverse selection, rationing, collaterals) - The role of rating agencies in acquiring systematic information (presentation of the main agencies) - What does happen when ratings are wrong? (the role of the rating agencies in the 2008 financial crisis) - The rating, as a central element of the Basel agreements (Basel 2 & 3, pillars 1 to 3, expected loss). 2) Acquiring the technique of credit risk prediction (scoring) - Introduction through a practical example: the National Banks’ scoring functions. - Presentation of linear discriminant analysis: theory & assignments. - Credit scoring is the central element of credit risk management (elements on: credit migration, correlation of defaults, transition matrixes, portfolio risk management...) 3) Managing credit scoring in "real life" - Preparing a scoring (a question of point of view, accounts reprocessing, most common financial ratios used to build a scoring). - Presentation of a software dedicated to discriminant analysis: XlStat© - The students build their own credit scoring, using real corporate datasets. - Extensions: beyond credit scoring issues (financial marketing, surveys...).

Prérequis nécessaires

Connaissances en / Notions clés à maîtriser

- EXCEL(c) - Statistics - Linear algebra - Financial analysis & Corporate reporting

Supports pédagogiques

Mandatory tools for the course

- Computer
- Calculator
- Other :

Documents in all formats

- Photocopies
- Newspaper articles
- Worksheets

Moodle platform

- Upload of class documents
- Assessments
- Other : Access to tutorial videos

Software

- Pack Office (Word, Excel, PowerPoint, Access)
- Other : XlStat (Excel)

Additional electronic platforms


- Other : Unistra Cloud

Bibliographie recommandée

Ouvrages principaux

In English: - Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring (2005). N. Siddiqi (John Wiley & Sons ed). - Credit Scoring Methods: cf. your forwarded document #1. M. Vojtek and E. Kocenda. In French: Analyse discriminante (Dunod). M. Bardos (Dunod). Mesure et gestion du risque de crédit dans les institutions financières. J. Petey and M. Dietsch (Revue Banque Ed.).

Littérature complémentaire

Several PDF documents uploaded on Moodle (Credit Risk Management class).

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…
“Building legal indexes to explain recovery rates: An analysis of the French and English bankruptcy codes”, R. Blazy, B. Chopard, N. Nigam. Journal of Banking and Finance, 2013. Vol.37, n°6, pp 1936–1959.

Modalités d'évaluation

Liste des modalités d'évaluation

Evaluation finaleSemaine d'examens
Ecrite (120 min) / individuelle / Anglais / pondération : 100 %
Cette évaluation sert à mesurer LO1.1, LO1.2, LO1.3, LO4.1, LO4.2
Aucune modalité d'évaluation n'a pour le moment été attribuée à ce cours.