CREDIT RISK MANAGEMENT
Année du cours : 1 année(s)
Etablissement : IÉSEG School of Management
Langue : English
Formation(s) dans laquelle/lesquelles le cours apparait :
Période : S2
– basic knowledge of bonds, derivatives and other plain vanilla financial instruments;
– familiaritty with mathematical notations and modelling;
– familiarity with basic accounting, P&L, balance sheet;
– basic knowledge of probibility theory (discrete and continuous random variable, density and distribution function;
– working with Bloomberg, Reuters and Excel;
– have a Kahoot! account.
At the end of the course, the student should be able to :
– Breakdown complex organizational problems using the appropriate methodology
– Propose creative solutions within an organisation
– Compose constructive personal feedback and guidance
– Understand what Credit Risk and Counterparty Credit Risk are;
– Understand the difference between Credit Risk and Counterparty Credit Risk;
– Understand what a default probability is, (counterparty) credit risk exposure and a recovery rate;
– Understand which tools are available to mitigate credit risk such as Credit Default Swaps;
– Understand which tools are available to mitigate counterparty credit risk, such as netting, collateralisation and central clearing;
– Understand recent developments in the financial industry to improve the (systemic) stability of the system and the role of regulation (Basel accords);
– Understand how banks treat credit risk on their balance sheets and make credit value adjustments;
– Work with Bloomberg/Reuters on practical cases, implementing their understanding in practice.
– Sessions 1 and 2 – Introduction to Credit Risk and Counterparty Creit Risk;
– Session 3 – The CDS market;
– Session 4 – Bloomberg/Reuters lab;
– Session 5 – Mitigating Counterparty Credit Risk;
– Session 6 – Presentation of a Pape
