Introduction to the Risk Management of Financial Institutions

The course is devoted to the regulation and risk management of banks and insurance companies. The goal of its first part is to learn about the nature and management of the main risks that impact financial institutions. Market, credit and operational risks are its main objects. An introduction to the risks associated with derivatives is also offered. Securitization is studied in a special session. This class offers key conceptual tools to tackle the preparation of the FRM. Useful complements in terms of ERM, multivariate risks… are given in the consecutive block of classes. In the second part, the general principles of insurance are introduced and the notion of risk for insurers is developed. This part ends with the presentation of Solvency 2, which is the equivalent of the Basle agreements in the insurance sector. Part I of this class is made of: introduction to market risks, basic statistical tools, Value-at-Risk and Expected Shortfall, introduction to credit risk, rating transitions, structural models, introduction to operational risk, introduction to options, Greeks, smile, securitization. The details of part II of this class are not given here, as it was taught by a colleague.