Risk Management & Financial Regulation
I wrote these lectures notes for two courses given at the University of Paris-Saclay:
(1) Risk Management & Financial Regulation (51h) and (2) Systemic Risk (12h).
- Download the
lecture notes (Chapters 1-5, 12-13 & 15-17, 742 pages)
- Download the
companion book (Solutions of tutorial exercises, 264 pages)
- Download the
- Download examination
(solutions to examination are included in the companion book)
- Risk Management in the Banking Sector
- Market Risk
- Credit Risk
- Counterparty Credit Risk and Collateral Risk
- Operational Risk
- Liquidity Risk
- Asset/Liability Management Risk
- Risk Management in Other Financial Sectors
- The Insurance Regulation and Solvency II
- Asset Managers
- Asset Owners
- Market Intermediaries and Infrastructure
- Systemic Risk and Shadow Banking System
- Mathematical and Statistical Tools of Risk Management
- Model Risk of Exotic Derivatives
- Statistical Inference and Model Estimation
- Correlation, Copula and Dependence
- Extreme Value Theory
- Monte Carlo Simulation Methods
- Stress Testing and Scenario Analysis
- Credit Scoring Models
- Technical Appendix
- Numerical Analysis
- Statistical and Probability Analysis
- Stochastic Analysis
- Supervisory authorities
- International authorities
- European authorities
- US authorities
- National authorities
- Association for Financial Markets in Europe (AFME), Securitization division, (securitization, abs, cdo, clo)
- Bank for International Settlement (BIS), Statistics, (otc, option, forward, swaps, credit default swap, credit)
- Bank for International Settlement (BIS), Global liquidity indicators
- Board of Governors of the Federal Reserve System, Z.1 Financial Accounts of the United States, (credit, loans)
- Federal Reserve Bank of St. Louis, FRED Economic Data, (credit, loans)
- Securities Industry and Financial Markets Association (SIFMA), Statistics, (bonds, securitization, cdo, abs)
- Other useful links
- EBA, The Single Rulebook, (single set of harmonised prudential rules in the EU)
- European Commission, Financial Services Policy, (financial supervision, banking union, shadow banking)
- ISDA, Credit Default Swaps, (public policy, market structure, market practices)
- Markit, Credit Indices, (cdx, iTraxx, cmbx, abx)
- Markit, Markit Credit Indices -- A Primer
- Robert Engle's Volatility Institute, Real time systemic risk rankings, (SRISK, MES)
- Systemic Risk Hub, Website dedicated to systemic risk measurement
- Technical references
- Central counterparties (CCP)
- CCR & CVA
- Brigo, D. (2012), Counterparty Risk FAQ, SSRN.
- Canabarro, E. and Duffie, D. (2003), Measuring and Marking Counterparty Risk, Asset/Liability Management for Financial Institutions.
- Duffie, D. (2001), BankOne Case, Regarding Market Valuation of Swaps, 2001, United States Tax Court.
- Pykhtin, M. and Zhu, S.H. (2007), A Guide to Modeling Counterparty Credit Risk, GARP Review.
- Shadow banking
- Pozsar, Z., Adrian, T., Ashcraft, A.B., and Boesky, H. (2013). Shadow Banking. Federal Reseve Bank of New York, Economic Policy Review.
- Systemic risk
- Mathematical references
- Israel, R.B., Rosenthal, J.S. and Wei, J.Z. (2001), Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings, Mathematical Finance.
- Moler, C. and Van Loan, C. (2003), Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-five Years Later, SIAM Review.
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