Skema > Summer schools > Finance > Course programme
 

Summer schools

 

 

Friday 7 to Thursday 13 July 2017 course programme

​This seminar is worth 5 ECTS credits - Teaching hours: 40

 

Day 1 – Financial Deregulation: The Big changes (Friday July 7 - 9am to 5:30pm)
  • ​Presentation of the programme and aims
  • ​The recent financial crisis: changes for the world’s banking industry: origin of the crisis, financial instability, systemic risks, weakness of global finance, bankruptcy, bank failures and major changes (“Big Five US” Merrill Lynch, Goldman Sachs, Morgan Stanley, Bear Stearns, Lehman Brothers), new banking business model “big is beautiful”, “too big to fail”, strengths and weaknesses of bank regulation in the United States, European Union, China...Africa... 
  • Deregulation and risks in the 80s: the financial “Big Bang”, new banking firm is born “universal banking” = “generate to distribute”. Investment banking, high interest rate volatility, traditional assets and liabilities activity (loans, deposits vs bonds, securities, financial market): free fall?
    New services and business: off balance sheet>balance sheet.
  • ​​Why do bank exists? Microeconomic role and functions of the banking firm. Information management: hazard moral, adverse selection and informational asymmetry. Risk management and monitoring. Economies of scale and reduction of transactional costs. Microeconomic approach of banking firm as risk manager. Modelling the banking firm. Asset liabilities management model. Optimal liquidity risk management (Klein 1971). Excess of liquidity: opportunity cost. Deficit of liquidity: operational and financial costs (Baltensperger, 1980).
  • Day team’s synthesis
Day 2: Credit risk management: macro-prudential and micro-prudential approaches
(Saturday July 8 - 9am to 1:30pm)
  • ​Categories of risk: credit, market, operational, reputational...The general approach of portfolio credit risk management.
    What is the expected return and variance of the portfolio? Statistical measures to assess financial risks.
  • ​Can diversification eliminate risk?
  •  Day team’s synthesis
Day 3: Credit risk management: macro-prudential and micro-prudential approaches
(Monday July 10 - 9:00am to 5:30pm)
  • ​Macro-prudential approach and systemic credit risk: the role of regulation in a globalised banking system. Basle approach: Solvability, liquidity risks ratios. Pro-cyclical and contra-cyclical approaches. Basle 1, 2 and 3. VaR: measures of the potential loss. Capital adequacy of financial institutions. Banking regulations (Basel 2): requirement implementation of risk measures such as VaR
  • ​Sustainable finance and sustainable bank. A new paradigm for finance. The strong link between “sustainability” and “doing well by doing good”. Good governance = Good behaviour.
  •  Socially Responsible Investment (SRI) and Corporate Social Responsibility (CSR) and the Stakeholder approach (Edward Freeman, 1984).
  • ​Sustainable performance - new evaluation of banking efficiency: an application to French banks
  • Day team’s synthesis
Day 4: Team Work (Tuesday July 11 - 9am to 5:30pm) - see the Work Required file
  • ​Team contribution: Workgroup and student work presentation based on the homework done prior to the course.
Day 5: Visits in Paris (Wednesday - July 12 - 8 hours)
  • Palais Brongniart, Euronext, trading room in a bank... comments and conferences
  • Farewell dinner in the evening
Day 6: Team work + Final synthesis and assessment (Thursday July 13 - 9am to 5:30pm)
  • Final synthesis and assessment: What are our main findings? The main message? Contribution to new knowledge? New concepts identified and discussed? Suggestions for the future.

 

 

 





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