The two main themes addressed in this course are : 1)  how do Financial Institutions quantify and manage their risks (through  the concepts of Economic Capital, RARORAC and EVA with a special focus on Credit and Counterparty risks, ALM risk, Trading risk, Operational risk and Securitization) 2) the impact of the new banking regulations on the risk appetite, the business model and the governance of these Institutions.


An economic approach is taken to estimate performance ( “risk adjusted return on risk adjusted capital” – RARORAC - and “ economic value added” – EVA). Measures such as Expected Loss, Unexpected Loss, Value at Risk, Fair Value and Economic/Regulatory Capital are developed. Students will have also  to complete business cases related to risk management issues.