After completing this course, students will be able to conduct in depth risk analysis.
Risk is a very broad notion. For some people, it refers to the performance variance, for others it corresponds to the likelihood of a negative outcomes, others are even mainly concerned with the potential failure of achieving a given target performance level. The aim of this course entitled "Financial risk management" is among other things, to clarify the notion of risk and to offer an in-depth presentation of the main techniques and methods designed to measure, analyze and forecast risk. Two types of risk will be especially scrutinized : the 'credit risk' and the 'market risk' through the VaR analysis (Value at Risk).
Written exam + case study + oral presentations
Value at Risk (Philippe Jorion)