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(juillet 2024)
Programme de cours :
The objective of the course is to introduce the current financial-risk management framework for financial institutions and to familiarise students with the main quantitative tools on which market and credit risk management rely, e.g. Value-at-Risk ; Expected Shortfall ; Stress-testing ; Credit-scoring ; Loss-Given-Default.
Mots clés : market risk, crédit risk, basel regulation, value-at-risk, credit-scoring.
