Risk Management & Financial Regulation
It is an advanced course in financial risk management. The course is given at the University of Evry/Paris-Saclay.
- Market Risk
- Credit Risk
- Counterparty Credit Risk and Collateral Risk
- Operational Risk
- Liquidity Risk
- Asset Liability Management Risk
- Model Risk
- Copulas and Dependence Modeling
- Extreme Value Theory
- Stress Testing and Scenario Analysis
- Credit Scoring Models
- Textbook: Roncalli, T. (2020), Handbook of Financial Risk Management, Chapman & Hall/CRC Financial Mathematics Series
- Download the Presentation Slides on Financial Risk Management
and the Tutorial Slides on Financial Risk Management
- Download the presentation slides
- Lecture 1 (Introduction to Financial Risk Management)
- Lecture 2 (Market Risk)
- Lecture 3 (Credit Risk)
- Lecture 4 (Counterparty Credit Risk and Collateral Risk)
- Lecture 5 (Operational Risk)
- Lecture 6 (Liquidity Risk)
- Lecture 7 (Asset Liability Management Risk)
- Lecture 8 (Model Risk)
- Lecture 9 (Copulas and Extreme Value Theory)
- Lecture 10 (Monte Carlo Simulation Methods)
- Lecture 11 (Stress Testing and Scenario Analysis)
- Lecture 12 (Credit Scoring Models)
- Download the Merged PDF File of the 12 lectures
- Download the TeX Source of the slides
- Download the tutorial sessions
- Download the tutorial session slides
- Session 1 (Market Risk)
- Session 2 (Credit Risk)
- Session 3 (CCR & CVA)
- Session 4 (Operational Risk & ALM Risk)
- Session 5 (Copulas, EVT & Stress Testing)
- Download the Merged PDF File of the 5 tutorial sessions
- Download examination
- Supervisory authorities
- International authorities
- European authorities
- US authorities
- National authorities
- Association for Financial Markets in Europe (AFME), Securitization, (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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