Subject
Finance
Program
Master of Science (MSc)
Location
Côte-des-Neiges
Instruction mode
Credits
3
Description
The course is intended for graduate students in finance and financial economics. It aims to provide a detailed presentation of the advanced literature on corporate risk management.
The course is mainly dedicated to the corporate finance dimension of risk management by presenting different theoretical models that justify risk management, and by performing empirical verification of different theoretical propositions. It also proposes statistical modeling to identify the importance of different risks and of their variations according to economic cycles. Default, liquidity and operational risks during the financial crisis that began in 2007 are analyzed in detail.
Themes covered
1. Risk management: definition and historical development
2. Theoretical determinants of risk management in non-financial firms
3. Risk management and investment financing
4. Significant determinants of risk management of non-financial firms
5. Choice of hedging instruments and maturities in the oil industry
6. Value at risk: measurement implications and back-testing
7. CVaR or conditional VaR
8. Market risk VaR in portfolios with options
9. Regulation of bank risk and use of VaR
10. Bank credit risk: scoring of individual risks
11. Portfolio management of credit risk
12. Quantification of banks' operational risk 13. Liquidity risk
14. Structured finance risk management and financial crisis of 2007-2009
15. Risk management and corporate governance 16. Value of risk management
17. Optimal financial contracts and incentives for borrowers 18. Climate risk: measurement management and climate derivatives
18. Term structure of risk: forecasting and the calculation of VaR
Important notes
Course in French : FINA 60218
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A), et FINA 60204(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A), et FINA 60204(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière