Risk: regulation, measure and management

Lecturers:  A. El Alami and S. Scotti
Period:  Term 1
ECTS:  3
Schedule: 3 hours per week

 


Material and informations about the course at:

https://moodle.u-paris.fr/course/view.php?id=6160

 

Objectives

 

Course 1 (A. El Alami): Introduction : Identification, measure and risk management 

 

1. Global Intro to Risk Management  

    a. Risk taking

    b. Key classes of risk, their origins and potential impacts

    c. Tools and procedures used to measure and manage risk (Quantitative measures, Qualitative assessment, Integrated risk management …)

 

2. Financial Disasters (case studies)

 

3.   Model Risk

       a. Sources of Model Risk

       b.  Mitigation methods and procedures

       c.   Case studies of Model Risk

 

Courses 2, 3, 4  (A. El Alami) : Market and Counterparty Risks Measurement and Management

 

1. . Market Risk

a..  Hedging linear risk

b.   Trading and hedging Strategies using options

c.   Hedging Vanilla vs Exotic Options

d.   Complements of VaR measurement and Backtestin

 

2. Credit Risk

a.  Credit Risks and Credit Derivatives

b.  Counterparty risk 

Courses 5, 6 et 7 (S. Scotti): Basic concepts for quantitative analysis of financial risks 


- Valuation of financial risk. Factor risks. 

- Risk measures:  VaR, Expected Shortfall

- Agreggation of risk and coherent risk measures 

- Capital allocation, Euler principle 

- Multivariate distribution and dependence 


Course 8  (S. Scotti): Statistical aspects of risk measures    


- Empirical Quantile 

- Nonparametric estimation by historical simulation 

- Semiparametric estimation by Monte-Carlo

- Parametric estimation by analytical method 

- Extreme quantile estimators:  Hill, POT

  


Bibliography

1. P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath, Coherent measures of risk, Mathematical Finance, (1999).

2. R. Cont, Model uncertainty and its impact on the pricing of derivative instruments, Mathematical Finance, 16 (2006), pp. 519–542.

3. M. Crouhy, D. Galai, and R. Mark, The Essentials of Risk Management, McGraw-Hill, 2005.

4. P. Embrechts, A. McNeil and R. Frey, Quantititative Risk Management, Princeton University Press, 2006.

5. T. Roncalli, La Gestion des Risques Financières, Editions Economica, 2009

6. T. Roncalli, Lecture notes on risk management and financial regulation, 

http://www.thierry-roncalli.com/download/Financial_Risk_Management.pdf

7. W. Schoutens, E. Simons, and J. Tistaert, A perfect calibration ! now what ?, Wilmott Magazine, March (2004).