Risk Management & Financial Regulation

This is an advanced course on financial risk management. The course is offered at the University of Evry/Paris-Saclay.

Description

• 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

Materials

• 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
  1. Lecture 1 (Introduction to Financial Risk Management)
  2. Lecture 2 (Market Risk)
  3. Lecture 3 (Credit Risk)
  4. Lecture 4 (Counterparty Credit Risk and Collateral Risk)
  5. Lecture 5 (Operational Risk)
  6. Lecture 6 (Liquidity Risk)
  7. Lecture 7 (Asset Liability Management Risk)
  8. Lecture 8 (Model Risk)
  9. Lecture 9 (Copulas and Extreme Value Theory)
  10. Lecture 10 (Monte Carlo Simulation Methods)
  11. Lecture 11 (Stress Testing and Scenario Analysis)
  12. 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 TS1, TS2, TS3, TS4 and TS5.
• Download the tutorial session slides
  1. Session 1 (Market Risk)
  2. Session 2 (Credit Risk)
  3. Session 3 (CCR & CVA)
  4. Session 4 (Operational Risk & ALM Risk)
  5. Session 5 (Copulas, EVT & Stress Testing)
• Download the Merged PDF File of the 5 tutorial sessions

• Download examination 2016, 2017, 2018, 2019, 2020, 2021, 2024, 2025.

References

• Supervisory authorities
  • International authorities
    • Basel Committee on Banking Supervision (BCBS)
    • Financial Stability Board (FSB)
    • International Association of Insurance Supervisors (IAIS)
    • International Organization of Securities Commissions (IOSCO)
  • European authorities
    • European Banking Authority (EBA)
    • European Central Bank/Single Supervisory Mechanism (ECB/SSM)
    • European Insurance and Occupational Pensions Authority (EIOPA)
    • European Securities and Markets Authority (ESMA)
    • European Systemic Risk Board (ESRB)
  • US authorities
    • Commodity Futures Trading Commission (CFTC)
    • Federal Reserve Board (FRB)
    • Federal Deposit Insurance Corporation (FDIC)
    • Federal Insurance Office (FIO)
    • Financial Stability Oversight Council (FSOC)
    • Office of the Comptroller of the Currency (OCC)
    • Securities and Exchange Commission (SEC)
  • National authorities
    • China Banking Regulatory Commission (CBRC), China
    • Financial Services Agency (FSA), Japan
    • Financial Conduct Authority (FCA), United Kingdom
    • Prudential Regulation Authority (PRA), United Kingdom
• Statistics
  • 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)
• Reports
  • Bank of England (BoE), Systemic Risk Survey Results
  • Bank for International Settlements (BIS), BIS Quarterly Review
  • European Securities and Markets Authority (ESMA), Trends, Risks and Vulnerabilities in Financial Markets, (TRV & Risk dashboard)
  • Financial Stability Board (FSB), Global Shadow Banking Monitoring Report 2015
  • International Monetary Fund (IMF), Global Financial Stability Report (GFSR)
• 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)
    • Brigo, D., and Pallavicini, A. (2013), CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ, SSRN.
  • 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.
  • Leverage
    • Geanakoplos, J. (2010), The Leverage Cycle, NBER Macroeconomics Annual 2009.
  • Liquidity
    • Brunnermeier, M. and Pedersen, L.H. (2009), Market Liquidity and Funding Liquidity, Review of Financial Studies.
  • 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
    • Acharya, V.V., Pedersen, L.H., Philippon, T., and Richardson, M. (2010). Measuring Systemic Risk. SSRN.
  • General
    • Duffie, D. Policy and Testimony, Policy Reports.
• 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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