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Risk Management and Governance updated: March 24, 2014 12:57
       
arow News    
  EXAM precisions
  • You can bring a 5-page (recto-verso = 10 faces in total) summary of your own handwriting.
  • All readings are assumed compulsory except for those in the dropbox in the folder "nice to read".
  • Chapter 9 (Operational risk and risk governance) won't be covered in the exam of June.
  
  REGISTRATION Please register here.
(COMPULSORY - no exam or case corrected otherwise)		  
  EMAILINGS Please ALWAYS include the following subject in your emails:
"RiskMgt 2013 - subject"		  
  FINAL CASE
  • The case must be submitted in groups of 4-5 people.
  • It will have to be handled by email to the professor, by the day of the exam the latest.
  • The deliverable will consist in an Excel spreadsheet that must obey to the principles elicited during the course, clearly structured and documented and in a style easily understandable by any counterparty.
  
  FINAL CASE
(Q&A, following questions asked)
  • The column "Price [Buyprc]" is the price at which the position was bought, in the original currency.
  • The column "Current Value (BC) [Valccy]" is the current valuation in "base currency" or the valuation currency, i.e. here the EUR. That's why the ASOS position has clearly a different value in the two columns.
  
  OTHERS
  • Finance@Solvay: If you want to join pleasure to knowledge and see the ludic side of finance, follow us on finance@solvay and
 
   
 
arow Course Documents/Sessions    
1
  • Outline of the course
    
   
   
 
2  
   
 
3  
   
 
4  
   
 
6  
   
 
5  
   
 
7  
   
 
8  
   
 
9
  • Ball (2009)
    The Global Financial Cirsis and the EMH
  • Don't miss the JPM's case (May 10th 2012)!
  
       
 
  • Corporate Risk Management, The Financial Crisis and Lessons Learned
    Some additional documents - not for the exam
  • Bell et al. (2009)
     International Insurance Society Roundtable on Risk Management After the Crisis
  
   
 
arow Preparation sessions
    
1 Data Management & Matlab/Scilab use  
2 Excel and VBA  
3 Matrix calculus and Monte Carlo simulations  
       
arow Exercise sessions
    
       
       
       
       
       
       
       
arow Past exams
    
  The following files are provided to give you a perspective on past exams, for full transparency. But bear in mind that: (1) their design is not a guarantee for forthcoming exams, (2) exams' design depends on the material and subjects taught that year and therefore, forthcoming exams may be well different.  
     
     
     
 
  • Final Exam 2007 (session 1) - A - B
    This was a special exam where we implemented a practical exercise during the exam. Part B not to be taken into account.