International Financial (Risk) Management (intensive course)

EM3E5M07A1

Program
PGE
Visitants
UE
International Financial (Risk) Management
Semester
A
Discipline
Finance
Contact hours
27 H
Number of spots
45
ECTS
5
Open to visitors
Yes
Language
Coordinator
Mihail Busu


Pedagogical contribution of the course to the program

Développer un management à impact grâce aux connaissances et aux outils les plus récents dans les domaines du management

Design solutions adapted to organizational problems by applying relevant methodologies

Développer des compétences managériales de niveau avancé se traduisant par un leadership responsable

Co-build a managerial and organizational culture through collaborations and team projects
Effectively argue his ideas orally and in writing with a professional posture

Pratiquer un management à impact dans un environnement multiculturel et international, porté par un "European mindset"

Communicate in a professional context in (foreign) languages, in writing and/or orally

Description

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.

Teaching methods

Face-to-face

- Lectures
- E-learning

In group

- Exercises
- Oral presentations
- Case studies/texts

Interaction

- Discussions/debates

Others

No items in this list have been checked.

Learning objectives

Cognitive domain

Upon completion of this course, students should be able to
  • - (level 3) apply the risk management concepts in practical problems
  • - (level 3) solve basic option valuation problems
  • - (level 4) analyze how specific board aspects may strengthen the CSR dimension of a firm’s governance setting
  • - (level 5) assess hedging with futures and forward contracts
  • - (level 6) construct an efficient portfolio

Affective domain

Upon completion of this course, students should be able to
  • - (level 3) explain the basic of derivatives
  • - (level 4) compare Back-testing and stress testing market risk

Outline

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)

No prerequisite has been provided

Knowledge in / Key concepts to master

Knowledge of : - Basic knowledge of portfolio theory - Credit analysis models Key concepts to understand: - risk management - future contracts - options contracts - portfolio risk

Teaching material

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

No items in this list have been checked.

Recommended reading


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.


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.

EM Research: Be sure to mobilize at least one resource

Textbooks, case studies, translated material, etc. can be entered
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).

Assessment

List of assessment methods

Intermediate assessment / continuous assessment 1Other (date, pop quiz, etc.) : -
Written and oral / Individual / English / Weight : 20 %
Details : Class activity + attendance
Final evaluationLast class
Written (90 Min.) / Individual / English / Weight : 80 %
Details : -
No assessment methods have been attributed to this course yet.