Gestion du risque de taux d’intérêt global (Risk Management en anglais) (M24689PC)

(juillet 2024)

Programme de cours :

The objective of the course is to introduce the current financial-risk management framework for financial institutions and to familiarise students with the main quantitative tools on which market and credit risk management rely, e.g. Value-at-Risk ; Expected Shortfall ; Stress-testing ; Credit-scoring ; Loss-Given-Default.

Mots clés : market risk, crédit risk, basel regulation, value-at-risk, credit-scoring.