Christian Berbé

Managing Director & CAIA, Kurtosis Risk Management Ltd

Laurent Dahan

head of market risk and P&L analysis, Crédit Agricole CIB

Gestion des risques

Les objectifs du cours

Instructor 1 : Laurent Dahan

Instructor 2 : Christian Berbé

Part 1 : Instructor 1 (18h)
The course objective is to understand the issue of risk management. The principal ways of understanding and learning about risk are considered.
Greeks computation is used to explain the daily P/L in a normal trading environment. The VaR is used to take into account market tail events while stress testing highlights performance under extreme market conditions. In a similar measure the course attempts to present the counterparty risk for market operations. This course shows also how all these measures come within the framework of the Basel Accords (3 pillars, regulatory capital requirements...)

Part 2 : Instructor 2 (12h)
Another important issue in risk managment is to consider portfolio risk and multivariate models.

Plan du cours

Part 1

• Introduction to Risk-Management: key concepts
• Derivatives, hedging delta P&L, break even
• Greeks: measures and limits
• The VaR (parametric, Monte Carlo, historical) and Back testing
• Stress test (hypothetic, historical, specific, extremes)
• Liquidity risk
• Counterparty risk for market operations: MtF, CVaR, Collateralization, margin call
• Basel II Capital Requirements
• Consequences of Basel III improvements for risk management

Part 2

• Introduction
• What a copula does and does not do
• Some basic definitions from the copula world
• Bivariate copulas
• Survival copulas
• The concept of association. There is life beyond correlation.
• Multivariate copulas
• Further issues: The equation that killed Wall Street
• Application to the pricing of credit derivatives and basket consisting of exotic options

Bibliographie

Cherubini U., E. Luciano and W. Vecchiato, 2004, Copula Methods in Finance, Wiley, 310 pages.
Roncalli T., 2009, La Gestion des Risques Financiers, Economica (2ème édition), Collection Gestion, 455 pages.
 

Examen

1 final exam