Head of market risk and P&L analysis, Crédit Agricole CIB
Stratégiste Cross-Asset, Global Market Research, Natixis, Paris
Gestion des risques
Les objectifs du cours
Instructor 1 : Laurent Dahan
Instructor 2 : Florent Pochon
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 management is to consider portfolio risk and multivariate models.
Plan du cours
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)
Counterparty risk for market operations: MtF, CVaR, Collateralization, margin call
Basel II Capital Requirements
Consequences of Basel III improvements for risk management
Covariance and Correlation Models: Portfolio Variance and Covariance, Shrinkage, EWMA, Dynamic Conditional Correlation, Regime-switching
Copulas for Risk Management: Correlation pitfalls, Copula modelling approach, Risk management using copula
Portfolio risk management: Coherent measures of risk (VaR vs. CVaR, CDaR…), Risk budgeting (marginal, incremental, component, risk contribution), Portfolio construction applications (minimum CVaR and risk parity)
Other Risk Management Topics: VaR backtesting: the main test for VaR validation, Review of some key systemic risk indicators (TED spread, swap spreads, spread off-the-run/on-the-run…)
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.
1 final exam