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KFIN 2555A - Risk analysis

Type d'enseignement : Seminar

Semester : Spring 2017-2018

Number of hours : 24

Language of tuition : English


Financial Mathematics Banks regulation

Course Description

MACRO & MICRO RISKS by Pierre SORBETS - Risk Management by Financial Institutions by Lamia LIABES. The 1st part starts with a mapping out of “macro risks” (at least those bearing economic or financial consequences) and of the many ways to handle them: measuring, mitigating, transferring, insuring, provisioning, living with it). Then it deals with micro economic risks - seen 75% from a bankers' perspective and 25% from other players' (corporate, insurers etc.) perspective - in order to show how generic and idiosyncratic risks interact and how executives – be they policy makers, regulators or operational managers – can navigate efficiently in the volatile and complex today's world. The 2d part focuses on Risk Weighted Assets (RWA) calculation of Capital Markets. The target is to have a knowledge of the new regulation in this area and future challenges. The course starts with a description of a market risk management function. Then it focuses on the drivers of the RWAs: Value at Risk, Back Testing, Stress Testing as part of Basel II regulation, then Stressed VaR and Incremental Risk Charge as part of Basel II.5 and finally CVA VaR and EMIR regulation as part of Basel III. The course covers also the future regulation based on the Fundamental Review of the Trading Book.


  • LIABES, Lamia (Vice Chairman, Public Sector – Global Banking HSBC)
  • SORBETS, Pierre (European Head of Public Sector - Managing director, HSBC)

Pedagogical format

Seminars will be made up of presentations made by students in small groups on risk related topics (30 minutes max including Q&A and comments) then 90 minutes of interactive teaching supported by a detailed syllabus.

Course validation

Validation will be based upon group presentations (2 to 4 students) done during the seminars weighted 60 % (30% for the first part and 30% for the second part) and an individual take home paper taking place at the end of the sessions and weighted 40%.


12 seminars of two hours each (24 hours). Credits: 4.

Required reading

  • HULL, Risk Management and financial institutions, Pearson, Second Edition, 2010
  • HULL, Options Futures and other Derivatives
  • Basel Fundamental Review of the Trading Book

Additional required reading

  • BERNSTEIN, Against the gods : the remarkable story of risk, John Wiley & Sons
  • VOSE, Risk analysis : a quantitative guide, John Wiley & Sons, 2008
  • N.N. Taleb, The Black Swain