TrainingsMasterFinanceParcours type : Financial risk management

Master FinanceParcours type : Financial risk management

Aim

The objective of the Master’s Degree Programme in Financial Risk Management is to educate high-level specialists in asset and financial risk management. The aim is to meet a high demand of managers specializing in asset and risk management in banks, insurance companies, audit or advisory firms and financial institutions.

The objectives of the Master’s Degree Programme in Financial Risk Management are therefore to bring theoretical and empirical skills (through mathematical, statistical, econometric and computer tools) allowing to :

1) Value and manage basic or sophisticated financial assets and/or asset portfolios ;

2) Identify and quantify the different types of financial risk faced by financial institutions, banks and businesses ;

3) Propose strategies to minimize financial risks and optimize risk performance.

This programme also aims to initiate students to research in the field of finance by developing their analytical, synthetic and critical skills.

In order to answer of the internationalization of professional opportunities in finance, the Master’s Degree Programme in Financial Risk Management is divided into two streams :

  • Classical stream specialized in financial risk management where a large part of the courses is taught in English
  • International stream where all courses are taught in English for non-French-speaking students.

Links with research

The teaching staff consists of Economists and Managerial Researchers working in the field of Finance, particularly in the field of Market Finance and International Finance. Professionals responsible of leading companies and financial institutions provide approximately half of the courses of the second year of Master degree.

A partnership is established with the SFAF (Société Française des Analystes Financiers) for the Second year of Master degree « Wealth Management » (Gestion de Patrimoine) or « Financial Risk Management ». These second year’s Master programs can be completed by Postgraduate Studies Diploma (DESU) untitled « Asset and Wealth Management » (Gestion d’Actifs et de Fortune).

This partnership allows to prepare students to the AMF Certification (Autorité des marches financiers) and allows to obtain, via equivalence and preferential conditions, the international professional diplomas CIWM (Certified International Wealth Manager) or CIIA (Certified International Investment Analyst).

Professional skills

Manage and value financial assets and/or asset portfolios

Moving in a complex and international context

Manage financial risks through the implementation of risk management tools

Analyze and evaluate in order to establish a financial expertise

Internships and supervised projects

An internship of about 24 weeks is mandatory for students who do not wish to pursue a doctoral thesis.

For students who wish write research dissertation (instead of an internship/minor dissertation) will be prepared in order to developpe their capacity of analysis, synthesis and critical thinking.

Volume of teachings

  • Lectures: 753 hours
  • Tutorials: 73 hours
  • Internship: 24 weeks

Specific teaching conditions

Academics and professionals in their respective field are in charge to give the courses in both languages : English and French. Theoretical concepts are illustrated by case study. It allows students to solve concrete risk management problems, to create risk management strategies and to discuss about the results.

Studies abroad

image externe

An International Partnership Diploma (IPD) covers different types of collaboration between AMU and one or more foreign institutions with a view to either issuing a double or multiple diploma (s), or a joint diploma, or relocating AMU training within a partner institution.

More information on DPI. | Consult the certified training courses.

Master 1 mention Finance Semestre 1 M1 mention Finance

[ details ]

  • Banque et finance internationale (9 ECTS)
    • Marchés des capitaux internationaux

      Code: BFIAV1A

      Content : unavailable.

      Hourly volume : 24 hours.

      More information

    • International Finance.

      Code: BFIAV1B

      Content : Goals : Knowing the main features of the global financial system Understanding currency risks Knowing how to hedge/speculate on currency risks Learning the main forecasting approaches Course outline : Global Financial Supervision Architecture Foreign Exchange Markets Forward Market and Transaction Exchange Risk Balance of Payments Exchange rate Systems and Optimum Currency Areas Interest Rate Parity Speculation and Risk in the Foreign Exchange Market Purchasing Power Parity and Real Exchange Rates Measuring and Managing Real Exchange Risk Exchange Rate Determination and Forecasting

      Hourly volume : 24 hours.

      More information

    • International banking

      Code: BFIAV1C

      Content : unavailable.

      Hourly volume : 24 hours.

      More information

  • Gestion financière et fiscale (12 ECTS)
  • Compétences transversales 1 (9 ECTS)
    • Business English.

      Code: BFIAV3A

      Content : Goals : The English module is designed to familiarize students with the key language skills required for analysis and decision-making in a business environment with emphasis on financial and economic indicators. Course outline : Chapitre 1 : Money Managing money Budgeting Chapitre 2 : Success in business Chapitre 3 : Company finance, performance, results, forecast Chapitre 4 : Accounting in practice Negotiation Carrying out negotiations Chapitre 6 : Choosing a successful investment Report writing Chapitre 7 : International Business Location Chapitre 8 : The cultural factor Chapitre 9 : The real economy : Case study Chapitre 10 : Investment pitches Chapitre 11 : Ethics in Business

      Hourly volume : 30 hours.

      More information

    • Mathématiques financières

      Code: BFIAV3B

      Content : unavailable.

      Hourly volume : 24 hours.

      More information

    • Econométrie

      Code: BFIAV3C

      Content : unavailable.

      Hourly volume : 36 hours.

      More information

  • UE supplémentaire
    • Financial regulations 1
      • International financial regulation

        Code: BFIAV4A

        Content : Goals : Our goal is to obtain an overview of international financial regulation, with its different actors and the behaviors expected by regulators. The course will be completed with numerous articles written by specialists to increase our understanding. Therefore, our three sessions will provide a strong knowledge of the financial regulation environment and its adaptations in France. Course outline : Introduction 1. 1. Current regulation 2. 2. International regulation 3. 3. IMF 4. 4. The financial stability board 5. 5. International Organization of Securities Commissions (IOSCO) 6. 6. The Basel Committee 7. 7. The Joint Forum 8. 8. The European architecture of regulation 9. 9. European Banking Union 10 10. The supervision 11. 11.The resolution 12 12. Deposit guarantee 13 13. French organization framework 14 14. Prudential Supervisory Authority and Resolution Financial regulation and the actors of the economy Chapter 1 BASEL 3 I. General vew of BASEL AGREEMENT II. The Basel 2 agreements III. The agreements 3 Chapter 2. Actors in the insurance world Section 1 - Why an intervention in the insurance sector ? Section 2. THE RISKS OF THE INSURER'S BUSINESS Section 3. Solvency 1 to Solvency 2 Chapter 3. MIFID 2 Section1. How does MIFID II improve investor protection ? Section 2. How does MIFID II prevent the risks of high frequency trading ? Section 3. MiFID II – Timeline Article Chapter 4. EMIR Section 1. Who is impacted by EMIR ? Section 2. Counterparty Classification Section 3. The derived products Section 4. Typology of derivative instruments Chapter 5. UCITS Section 1. How do UCITS funds protect investors ? Section 2. Eligible assets Section 3. Diversification Section 4. Liquidity Section 5. Evaluation Section 6. Risk management Section 7. Surveillance and protection Chapter 6. AIFMD Section 1. The management and marketing passport Section 2. Who is affected by the regulations ? Section 3. What are the requirements ? Section 4. Consequences on management tools Article

        Hourly volume : 18 hours.

        More information

Master 1 mention Finance Semestre 2 M1 mention Finance

[ details ]

  • Finance d'entreprise (9 ECTS)
  • Finance de marché et gestion d'actifs (12 ECTS)
  • Compétences transversales 2 (9 ECTS)
    • Bases de données et logiciels

      Code: BFIBV3B

      Content : unavailable.

      Hourly volume : 18 hours.

      More information

    • Initiation à la recherche

      Code: BFIBV3C

      Content : unavailable.

      Hourly volume : 10 hours.

      More information

    • Débats économiques et financiers

      Code: BFIBV3D

      Content : unavailable.

      Hourly volume : 15 hours.

      More information

    • Droit des affaires

      Code: BFIBV3E

      Content : unavailable.

      Hourly volume : 24 hours.

      More information

    • Economic and financial policy.

      Code: BFIBV4A

      Content : Aims The course gives a general overview of the recent debates on economic and financial policies in the context of de-globalization and financial crises. It begins with some stylized facts on the pause in trade globalization, the causes and symptoms of recent financial crises : banking crises, currency crises, financial crises, sovereign debt crises. These events have changed the shape of public and international policies : the G20 has become a key actor that has surpassed WTO, some countries are coming back to protectionism, central banks and governments are confronted to the Minsky moment and must tackle financial bubbles to achieve financial stability. The course also presents these topics from the viewpoint of the emerging and developing countries. It presents the three historical lending booms, their reaction during the global crisis and shed some light on the policies conducted in China which has become a major actor of multilateralism. The discussions end with a comparative approach of monetary policies in the Eurozone and in the United States : how they have varied over time and the constraints of implementing monetary and financial policies in different macroeconomic contexts. Course outline : Chapter 1 .- The global economy in the 21st century 1.1.- A pause in trade globalization (slowdown in trade since the 2008 financial crisis, main explanations, changes in emerging economies’ fiscal policy) 1.2. - Financial globalization has slowed (home bias behaviours, failure of the interest rate parity) 1.3 -Inequalities, globalization and crises (relationships between inequalities, indebtedness and globalization, empirical evidence) 1.4. - Policy implications (protectionism, bilateral agreements, the role of WTO) Chapter 2 .- Financial crises are back 2.1 .- Overview of the financial system (banks’ balance sheets, financial risk, role of the financial markets) 2.2 - Causes and symptoms of financial crises in the developed countries (theories of financial crises, the Minsky moment and bubbles, multi-facets of crises : banks, sovereign debt and equity markets). 2.3 .- Financial crises in the emerging and developing countries (historical perspectives : the 3 lending booms, the emerging countries in the global crisis, lessons from past crises). 2.4 .- Policy implications (global governance : the G20, multilateralism, the new role of the Renminbi). Chapter 3 .- Monetary policy : comparing the Federal Reserve and the European Central Bank 3.1 .- General overview (historical background, tasks of respective central banks, structure of the central banking systems). 3.2 .- Differences and similarities (operational procedures, monetary policy strategies) 3.3 - The Fed and ECB : comparing their quantitative easing (QE) policy.

      Hourly volume : 18 hours.

      More information

Master 2 Finance Parcours type Management des Risques Financiers (MRF) Semestre 3 M2 Finance Parcours type Management des Risques Financiers (MRF)

[ details ]

  • Numerical technics in finance (8 ECTS)
    • Financial software

      Code: BFICV10A

      Content : 1) Goals : This course aims at introducing students without Computer Science background to programming, algorithms, data structures, Big Data and Financial Data Science. The programming language employed during these lectures is Python. 2) Course outline : · Programming 101 o The “why this ?” question o Understanding concepts : algorithms, algorithmics, programming language, program vs. algorithm o Python o Variables o Operators o Printing o Input · · Python2 o Reading from files o Writing to files o Lists · · Python3 o Lit comprehension o Loops o Comparisons · · Python4 o Tests : definition, types, multiple tests o Modules : Import, help, sys, os · · Python5 o Dictionaries and tuples o Functions : principles, definitions, argument passing o numpy : presentation, useful functions

      Hourly volume : 30 hours.

      More information

    • Optimization methods in finance

      Code: BFICV10B

      Content : 1) Goals : The course aims at introducing the students to the practice of optimizing their use of the available data for financial decision making. The decision is the solution to an optimization problem with parameters that are data-driven. Examples includes optimal portfolio allocation, estimation of time-varying volatility and calibration of trading rules. The input data is noisy and optimization is needed to extract the relevant signal for financial decision making. The course requires students to get their hands dirty in the R software environment with the ideas. 2) Course outline : 1. 1. General introduction to optimization of a non-linear function (LP, QP, quasi-newton, heuristics) 2. 2. Introduction to data analysis and numeric optimization in R 3. 3 Modelling financial returns and optimization to obtain maximum likelihood estimates of GARCH models. 4. 4. Optimization of financial portfolios. 5. 5. Problem of estimation error (garbage in, garbage out) 6. 6. Optimization of a trading rule.

      Hourly volume : 18 hours.

      More information

    • Financial Econometrics

      Code: BFICV10C

      Content : 1) Goals : • Become familiar with the range of risks facing corporations, and how to measure and manage these risks • Become familiar with the salient features of speculative asset returns • Apply state-of-the-art risk measurement and risk management techniques • Critically appraise commercially available risk management systems and contribute to the construction of tailor-made systems • Understand the current academic and practitioner literature 2) Course outline : Part 1 – Background Risk Management and Financial Returns Historical Simulations, Value-at-Risk and Expected Shortfall A Primer on Financial Time Series Analysis Part 2 – Univariate Risk Models Volatility Modeling Using Daily Data Volatility Modeling Using Intraday Data Nonnormal Distributions Part 3 – Multivariate Risk Models Covariance and Correlation Models Simulating the Term Structure of Risk Distributions and Copulas for Integrated Risk Management Part 4 – Backtesting and Stress Testing

      Hourly volume : 18 hours.

      More information

  • Une filière à choisir parmi deux (22 ECTS)
    • Filière classique (22 ECTS)
      • Valorisation et gestion d'actifs (12 ECTS)
        • Numerical Option Pricing

          Code: BFICV11A

          Content : 1) Goals : The objective of the lecture is twofold : - Familiarize students with the mechanics of option markets and the different trading strategies involving stocks options (spread, combination,…) - Familiarize students with the pricing and hedging of vanilla and some exotic options. To do so, two methods are presented : the numerical method using binomial trees and analytical method of Black and Scholes. For this last method, mathematical fundamentals are addressed. We present the Black Scholes framework using the replication portfolio argument and the non-arbitrage rule. Then, after a presentation of the limits of the BS framework, we introduce some stochastic volatility models and some ways to build the local volatility. We deal with parameters calibration, Monte Carlo simulations, numerical issues. Illustrations are on simulated or real data. Then, we discuss the link between vanilla options and real options. 2) Course outline : 1. Mechanics of option markets 2. 2. Properties of stock options 3. 3. Trading strategies involving options 4. 4. Binomial trees 2. 5. Black Scholes framework 3. 6. Exotic equity derivatives 4. 7. Real options

          Hourly volume : 30 hours.

          More information

        • Portfolio management and performance measures

          Code: BFICV11B

          Content : 1) Goals : Numerous methods are used by academics and practitioners for measuring and comparing funds or portfolio’s manager performances. These methods are mainly based on the concept of risk-adjusted performances and they differ in how risk is measured. This course presents a review of these methods with numerous examples and practical cases. 2) Course outline : I. Regression-based performance measures : one factor model, time-varying parameters, multifactor models II. Performance measurement based on usual risk measures : Sharpe, Roy and extensions III. Performance measurement based on alternative risk measures : Sharpe-VaR, Omega, Kappa, Sortino, Calmar,… IV. Performance attribution

          Hourly volume : 18 hours.

          More information

        • Bonds and Risk Management

          Code: BFICV11C

          Content : Course outline : 1. Bond Prices and Yields (Present value formula / Price yield relationship) 1. Yield as a discount rate 2. Pricing the cash flows of a bond 3. Zero-coupon and coupon bonds / Re-investment risk 4. Coupon rate and current yield 5. Yield to maturity 6. Yield curves (different shapes and types) 7. Forward rate 8. Bond par yield 2. Bond Price Sensitives 1. Overview on measuring price sensitivity 2. Duration, modified duration 3. Convexity 4. Immunization 3. Interest rate risk (Risk measures and hedging) 1. Nature of interest risk 2. What is interest risk ? 3. Types of risk ? 4. Interest rate exposure policy 5. Measure of interest rate risk (maturity gap analysis/duration analysis) 6. Hedging, Speculating and Arbitrage 4. Managing interest rate risk 1. FRA 2. Futures 5. Interest rate options 6. Interest rate swaps

          Hourly volume : 18 hours.

          More information

        • Produits financiers dérivés

          Code: BFICV7B

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

        • Produits structurés et obligations

          Code: BFICV7C

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

      • Gestion des risques financiers (10 ECTS)
        • Risk management practices

          Code: BFICV12A

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

        • Banking Risk Management

          Code: BFICV12B

          Content : 1) Goals : The aim of the course will help students to understand the : · Various banking activities and financial statement structures · Way banks function and are able to generate value · Risks faced by banks and their measurement · Banking regulation and risk management in light of the recent credit crunch · Current regulatory challenges and the impact on the banking business conduct · Risk management governance and enterprise risk management 2) Course outline : a. UNDERSTANDING BANKING FINANCIAL STATEMENT STRUCTURE MANDATORY : BEFORE THE SESSION PREPARE THE BANKING DETECTIVE CASE. · Understanding a financial institution business model o Understanding the funding of a bank (equity, debt, wholesale funding, deposits, repo,…) o Understanding the revenue producing activities of a bank (consumer loans, mortgage loans, long term investment, securitization, banking and trading books, asset financing, etc…) o Understanding the differences between the different types of financial institutions (retail bank, saving and postal banks, investment bank, hedge fund, UCITS funds, insurance, microfinance institutions, consumer credit institution etc…) o Understanding the risks faced by a financial institution b. UNDERSTANDING RISKS IN BANKING OPERATIONS, THEIR SOURCES ANS IMPACTS KEY LEARNING POINTS AND SESSION OUTLINE The following items will be discussed : · Definition of risk o What are the different types of risks ? o What is the importance of theses risk for a bank ? · Measurement of risk o What are the different measures of risk ? o What do they really measure (uses and pitfalls) o What is normal ? What is extreme ? · Risk management (first overview) o What is risk management about ? o What does it imply in terms of organization and performance ? c. STRATEGIC RISK : A VALUE CREATION PERSPECTIVE MANDATORY : KAUPTHING CASE STUDY TO BE PREPARED IN GROUP (PPT deliverable) KEY LEARNING POINTS AND SESSION OUTLINE Based on various examples, the following items will be discussed : · Where does the bank value come from ? · What does the bank value consist of ? o Distinction between profit and free cash-flows o Liquidity vs. solvency vs. company’s value o What are the differences between profit and value creation ? o Why generating profits does not imply getting cash-inflows ? · What are the key challenges of Basel II/III regarding bank’s performance ? o What are the uses and pitfalls of Basel Accords ? o What is (and is not) the role of regulatory/economic capital ? o What are the uses and pitfalls of Basel Accords ? · Strategic risk : Back to value thinking o How to manage value in a sustainable way ? § What to do when actual growth is below the sustainable growth ? § What to do when actual growth is above the sustainable growth ? o What are the key lessons in managing growth ? Lessons from top 50 world banks · What are the impacts of Basel II/III on business conducts for financial institutions ? · What are the key challenges of Basel II/III for a fast growing financial institution ? o What are the uses and pitfalls of Basel Accords ? · Event vs. Cause-effect approach when managing risks · Lessons learnt from the current crisis : case studies d. ENTERPRISE RISK MANAGEMENT IN BANKING : BUILDING UP A RISK MANAGEMENT FRAMEWORK KEY LEARNING POINTS AND SESSION OUTLINE Focus on the impact of governance and reporting structure on the efficiency of risk management in financial institutions. An effective enterprise risk management includes : · Strategy and risk appetite · Risk policies & use test · Modelling & data collection processes · Stress test · Organisational challenges & functional components of ERM framework · Compliance and governance · Roles and responsibilities regarding risk management of : o The Board, Executive committee o Internal controls o Risk management o Business development o Sales people o HR Lessons learnt from the current crisis : case studies

          Hourly volume : 18 hours.

          More information

        • Mesure du risque financier

          Code: BFICV12C

          Content : unavailable.

          Hourly volume : 15 hours.

          More information

        • Déontologie et réglementation financière

          Code: BFICV4D

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

    • Filière internationale (accessible uniquement aux étudiants n'ayant pas suivi le M1 Finance) (22 ECTS)
      • Valuation and asset management (12 ECTS)
        • International banking

          Code: BFIAV1C

          Content : unavailable.

          Hourly volume : 24 hours.

          More information

        • International financial regulation

          Code: BFIAV4A

          Content : Goals : Our goal is to obtain an overview of international financial regulation, with its different actors and the behaviors expected by regulators. The course will be completed with numerous articles written by specialists to increase our understanding. Therefore, our three sessions will provide a strong knowledge of the financial regulation environment and its adaptations in France. Course outline : Introduction 1. 1. Current regulation 2. 2. International regulation 3. 3. IMF 4. 4. The financial stability board 5. 5. International Organization of Securities Commissions (IOSCO) 6. 6. The Basel Committee 7. 7. The Joint Forum 8. 8. The European architecture of regulation 9. 9. European Banking Union 10 10. The supervision 11. 11.The resolution 12 12. Deposit guarantee 13 13. French organization framework 14 14. Prudential Supervisory Authority and Resolution Financial regulation and the actors of the economy Chapter 1 BASEL 3 I. General vew of BASEL AGREEMENT II. The Basel 2 agreements III. The agreements 3 Chapter 2. Actors in the insurance world Section 1 - Why an intervention in the insurance sector ? Section 2. THE RISKS OF THE INSURER'S BUSINESS Section 3. Solvency 1 to Solvency 2 Chapter 3. MIFID 2 Section1. How does MIFID II improve investor protection ? Section 2. How does MIFID II prevent the risks of high frequency trading ? Section 3. MiFID II – Timeline Article Chapter 4. EMIR Section 1. Who is impacted by EMIR ? Section 2. Counterparty Classification Section 3. The derived products Section 4. Typology of derivative instruments Chapter 5. UCITS Section 1. How do UCITS funds protect investors ? Section 2. Eligible assets Section 3. Diversification Section 4. Liquidity Section 5. Evaluation Section 6. Risk management Section 7. Surveillance and protection Chapter 6. AIFMD Section 1. The management and marketing passport Section 2. Who is affected by the regulations ? Section 3. What are the requirements ? Section 4. Consequences on management tools Article

          Hourly volume : 18 hours.

          More information

        • Numerical Option Pricing

          Code: BFICV11A

          Content : 1) Goals : The objective of the lecture is twofold : - Familiarize students with the mechanics of option markets and the different trading strategies involving stocks options (spread, combination,…) - Familiarize students with the pricing and hedging of vanilla and some exotic options. To do so, two methods are presented : the numerical method using binomial trees and analytical method of Black and Scholes. For this last method, mathematical fundamentals are addressed. We present the Black Scholes framework using the replication portfolio argument and the non-arbitrage rule. Then, after a presentation of the limits of the BS framework, we introduce some stochastic volatility models and some ways to build the local volatility. We deal with parameters calibration, Monte Carlo simulations, numerical issues. Illustrations are on simulated or real data. Then, we discuss the link between vanilla options and real options. 2) Course outline : 1. Mechanics of option markets 2. 2. Properties of stock options 3. 3. Trading strategies involving options 4. 4. Binomial trees 2. 5. Black Scholes framework 3. 6. Exotic equity derivatives 4. 7. Real options

          Hourly volume : 30 hours.

          More information

        • Portfolio management and performance measures

          Code: BFICV11B

          Content : 1) Goals : Numerous methods are used by academics and practitioners for measuring and comparing funds or portfolio’s manager performances. These methods are mainly based on the concept of risk-adjusted performances and they differ in how risk is measured. This course presents a review of these methods with numerous examples and practical cases. 2) Course outline : I. Regression-based performance measures : one factor model, time-varying parameters, multifactor models II. Performance measurement based on usual risk measures : Sharpe, Roy and extensions III. Performance measurement based on alternative risk measures : Sharpe-VaR, Omega, Kappa, Sortino, Calmar,… IV. Performance attribution

          Hourly volume : 18 hours.

          More information

        • Alternative management

          Code: BFICV13A

          Content : unavailable.

          Hourly volume : 12 hours.

          More information

      • Financial risk management (10 ECTS)
        • Risk management practices

          Code: BFICV12A

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

        • Banking Risk Management

          Code: BFICV12B

          Content : 1) Goals : The aim of the course will help students to understand the : · Various banking activities and financial statement structures · Way banks function and are able to generate value · Risks faced by banks and their measurement · Banking regulation and risk management in light of the recent credit crunch · Current regulatory challenges and the impact on the banking business conduct · Risk management governance and enterprise risk management 2) Course outline : a. UNDERSTANDING BANKING FINANCIAL STATEMENT STRUCTURE MANDATORY : BEFORE THE SESSION PREPARE THE BANKING DETECTIVE CASE. · Understanding a financial institution business model o Understanding the funding of a bank (equity, debt, wholesale funding, deposits, repo,…) o Understanding the revenue producing activities of a bank (consumer loans, mortgage loans, long term investment, securitization, banking and trading books, asset financing, etc…) o Understanding the differences between the different types of financial institutions (retail bank, saving and postal banks, investment bank, hedge fund, UCITS funds, insurance, microfinance institutions, consumer credit institution etc…) o Understanding the risks faced by a financial institution b. UNDERSTANDING RISKS IN BANKING OPERATIONS, THEIR SOURCES ANS IMPACTS KEY LEARNING POINTS AND SESSION OUTLINE The following items will be discussed : · Definition of risk o What are the different types of risks ? o What is the importance of theses risk for a bank ? · Measurement of risk o What are the different measures of risk ? o What do they really measure (uses and pitfalls) o What is normal ? What is extreme ? · Risk management (first overview) o What is risk management about ? o What does it imply in terms of organization and performance ? c. STRATEGIC RISK : A VALUE CREATION PERSPECTIVE MANDATORY : KAUPTHING CASE STUDY TO BE PREPARED IN GROUP (PPT deliverable) KEY LEARNING POINTS AND SESSION OUTLINE Based on various examples, the following items will be discussed : · Where does the bank value come from ? · What does the bank value consist of ? o Distinction between profit and free cash-flows o Liquidity vs. solvency vs. company’s value o What are the differences between profit and value creation ? o Why generating profits does not imply getting cash-inflows ? · What are the key challenges of Basel II/III regarding bank’s performance ? o What are the uses and pitfalls of Basel Accords ? o What is (and is not) the role of regulatory/economic capital ? o What are the uses and pitfalls of Basel Accords ? · Strategic risk : Back to value thinking o How to manage value in a sustainable way ? § What to do when actual growth is below the sustainable growth ? § What to do when actual growth is above the sustainable growth ? o What are the key lessons in managing growth ? Lessons from top 50 world banks · What are the impacts of Basel II/III on business conducts for financial institutions ? · What are the key challenges of Basel II/III for a fast growing financial institution ? o What are the uses and pitfalls of Basel Accords ? · Event vs. Cause-effect approach when managing risks · Lessons learnt from the current crisis : case studies d. ENTERPRISE RISK MANAGEMENT IN BANKING : BUILDING UP A RISK MANAGEMENT FRAMEWORK KEY LEARNING POINTS AND SESSION OUTLINE Focus on the impact of governance and reporting structure on the efficiency of risk management in financial institutions. An effective enterprise risk management includes : · Strategy and risk appetite · Risk policies & use test · Modelling & data collection processes · Stress test · Organisational challenges & functional components of ERM framework · Compliance and governance · Roles and responsibilities regarding risk management of : o The Board, Executive committee o Internal controls o Risk management o Business development o Sales people o HR Lessons learnt from the current crisis : case studies

          Hourly volume : 18 hours.

          More information

        • Business ethics

          Code: BFICV14A

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

        • Introduction to econometrics

          Code: BFICV15A

          Content : unavailable.

          Hourly volume : 18 hours.

          More information

  • UE supplémentaire

Master 2 Finance Parcours type Management des Risques Financiers (MRF) Semestre 4 M2 Finance Parcours type Management des Risques Financiers (MRF)

[ details ]

  • Advanced corporate finance (6 ECTS)
    • International Corporate Financial management

      Code: BFIDV5A

      Content : 1). Goals : At the end of the course students should be able to : · Define, describe and differentiate the components of the cash flows from the operating activities. More precisely, the students should be able to define, describe and differentiate the different computation methods of the working capital need. · Define, describe and differentiate the components of the cash flows from the investment activities and more precisely the components of the investment in a new inventory and the investment in the credit policy. · Compute and interpret the notion of “return on investment” (ROI) · Define, describe and differentiate the components of the cash flows from the financing activities and compute the return on equity, the cost of equity, the financial leverage and the cost of debt 2) Course outline : Cash flows from the operating activities Cash flows from the investment activities Cash flows from the financing activities Cash flow statement

      Hourly volume : 18 hours.

      More information

    • Financial analysis

      Code: BFIDV5B

      Content : • Common growth financing options. • Corporate finance and strategy fundamentals with exercises on real-life deals. 1) Goals : Corporate finance fundamentals will be tackled as a firm/corporate’s growth pursuing means. Mock-up strategic and financing decision opportunities will also be provided in this course. The main objective of this course is to familiarize participants with an analytical financial opinion forming process which will be built on : • the application of strategic and financial theoretical inputs, • research and analytical framework, • making good use of publicly available data at the moment of exercise. 2) Course outline : 05/02/2019 • 1 : Strategic issues in a global context • 2 : Business development through Mergers and Acquisitions 20/02/2019 • 3 : Case study 1 (multinational deal, strategic and integration challenge analysis) • 4 : Common financing options for growth pursuing (seed, early stage & scale-up) 06/03/2019 • 5 : Case study 2 (crowdfunding projects analysis) • 6 : Common financing options for growth pursuing (LBO, IPO) 13/03/2019 • 7 : Case study 3 (IPO analysis) • 8 : Financial communication and corporate governance (“Are you a good board member” in-course exercise)

      Hourly volume : 24 hours.

      More information

    • FINANCIAL ENGINEERING

      Code: BFIDV5C

      Content : 1) Goals : This course is intended to provide students with theoretical concepts of financial engineering and specific problems applied to risk management in financial markets. As financial markets have expanded over recent decades, the risk management function has become more important. Risk that can be measured can be managed better. This covers the assessment of main financial risks, namely, market, liquidity and credit risk. Students are expected to understand risk management and hedging concepts and approaches and how they would apply to a risk manager’s day-today activities. This material is derived from a combination of theory, and “real-world” work experience. 2) Course outline : 1. 1. General Typology of Financial Risks and Instruments, liquid and Illiquid instruments (Private Equity / Real Estate). 2. 2. Types of financial risk (market, liquidity, credit, operational) 3. 3. Financial risk management methodology : i. Global ii. hedging techniques – use of derivatives iii. The case of market risk 1. General 2. Currency risk 3. Volatility risk iv. The case of liquidity risk v. The case of credit risk 4 4. Risk management reporting 5. 5. Investment Funds’ regulations with respect to risk management : a. UCITS IV management guidelines : i. Analysis of guidelines : 1. Commitment 2. VaR 3. netting, hedging, EPM 4. other UCITS Directives, about concentration rules, cover rules b. KIID, PRIIP c. AIFMD about risk management : i. General provisions ii. Main specific provisions (liquidity, leverage) These topics are illustrated by real market examples and real market exercises or case studies.

      Hourly volume : 18 hours.

      More information

  • Option : 1 UE à choisir parmi 2 (24 ECTS)

How to apply and register

Applications must be submitted on the online application platform of Aix-Marseille University entitled “E-candidat”.