Le Grand Syllabus 2016/2017
each class (10%) ; 1 focused case study presentation (groups of 4 students, 30%), lecture note taking (groups of 4, 20%), active class participation (30%). Final MCQ in class (10%). Workload : 6 seminars of two hours each (12 hours). Credits : 2. Some preparation is required before each class : brief reading, lecture note taking and presentation for the case studies (group work). Pedagogical method : Mix of presentations, case studies (some done in classroom and some prepared by students as home work ; all groups prepare on different subjects of their choice from a list). Analysis and comments of documents (written and video). Active class participation is strongly encouraged. Course Description : Students will learn how to assess credit risk through the use of credit ratings and how a credit rating is made. Role of credit rating agencies, their functions on the capital markets, their relationships with other industry players (issuers, investors, regulators) and their limitations. Identify qualitative, quantitative and market indicators of vulnerability. The course will be based on case studies, in particular the current and previous crises in various regions of the world. The analytical overview will encompass the history of sovereign defaults and episodes of acute macroeconomic crises. The risk analysis will include macro-economic policies, public ﬁnance, external ﬁnances and ﬁnancial sector (systemic risk). See short video teaser : http ://youtu.be/iFa2POSKaQI Required reading : Rating methodologies on Sovereign Credits (available on the rating agencies websites) ; Allen, F., Gale, D., 2000, Bubbles and Crises, The Economic Journal, vol. 110 (January), 236-255 ; Fitch Macro-prudential Risk Monitor (to be distributed to registered students) ; 85th Annual Report (2014-2015, dated 28 June 2015), Bank for International Settlements ; "Is the unthinkable becoming routine ?".
Teachers : Jean-Michel BEACCO (Head of Institut Louis Bachelier), Laurent VALIGNY (Global Head Valuation Control, HSBC). Prerequisite : Microeconomics, macroeconomics, Financial markets. Pedagogical format : Elective Course validation : The course will be graded based on (i) a group presentation on case study (40%) (ii) a short mid-term exam (20%), and (iii) a ﬁnal exam in class (40%). Workload : 12 seminars of two hours each (24 hours). Credits : 4 Pedagogical method : Seminars are made of lectures, readings, group case studies (Bankers Trust vs Procter&Gamble, Enron, Amaranth, Rogue Trading at UBS&SocGen, LTCM, Lehman default, JPM "london whale", Derivatives Misselling to municipalities, Cdos mis Rating, Derivatives Mispricing at CIC) and presentations. Course Description : Business globalization, ﬁnancial crisis and giant monetary policies have generated increasing banking exposures and lower predictability of the markets whilst simultaneously, ﬁnancial markets innovation eases risk transfer through markets. This “marketization” of risks, notably credit risk, generated a systemic risk that led to 2008 crisis and maintains a high volatility. Regulators ask for more control and better risk management in order to prevent future crisis. The objective of the course is to familiarize students to these new risks (among which credit, market, valuation, model, liquidity, operational, legal and reputational risks) and to new regulations (e.g. Basel 3 and Solvency 2). The course is made of three parts : introduction to the major banking risks ; credit risk assessment and regulations ; Trading Book risk management. Required reading : Hull (John) : risk management and ﬁnancial institutions, Pearson 2013 3e édition ; De Servigny (Arnaud), Zelenko (Yvan), Le risque de crédit : nouveaux enjeux bancaires, Paris, Dunod 2003, réédition 2010 ; Beacco (JeanMichel) et Hubaud (Benoît), Titrisation : Maillon clé du ﬁnancement de l'économie, Paris, Eyrolles, mars 2013 ; Jacquillat (Bertrand), Solnik (Bruno), Pérignon (Christophe), Marchés ﬁnanciers : gestion de portefeuille et des risques, Paris, Dunod 2009,