[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"detail-sidebar-cat-0-en-105":3,"doc-seo-203089-105":59,"doc-detail-203089-en":131},{"code":4,"msg":5,"data":6},0,"success",[7,13,18,23,28,33,38,43,48,51,55],{"id":8,"doc_module":4,"doc_module_name":9,"category_name":10,"show_sort_weight":11,"slug":12},1,"Document","Story & Novel",90,"story-novel",{"id":14,"doc_module":4,"doc_module_name":9,"category_name":15,"show_sort_weight":16,"slug":17},2,"Literature",80,"literature",{"id":19,"doc_module":4,"doc_module_name":9,"category_name":20,"show_sort_weight":21,"slug":22},4,"Exam",70,"exam",{"id":24,"doc_module":4,"doc_module_name":9,"category_name":25,"show_sort_weight":26,"slug":27},5,"Comic",60,"comic",{"id":29,"doc_module":4,"doc_module_name":9,"category_name":30,"show_sort_weight":31,"slug":32},6,"Technology",50,"technology",{"id":34,"doc_module":4,"doc_module_name":9,"category_name":35,"show_sort_weight":36,"slug":37},7,"Healthcare",40,"healthcare",{"id":39,"doc_module":4,"doc_module_name":9,"category_name":40,"show_sort_weight":41,"slug":42},8,"Research & Report",30,"research-report",{"id":44,"doc_module":4,"doc_module_name":9,"category_name":45,"show_sort_weight":46,"slug":47},9,"Religion & Spirituality",20,"religion-spirituality",{"id":46,"doc_module":4,"doc_module_name":9,"category_name":49,"show_sort_weight":46,"slug":50},"World Cup","world-cup",{"id":52,"doc_module":4,"doc_module_name":9,"category_name":53,"show_sort_weight":52,"slug":54},10,"Lifestyle","lifestyle",{"id":56,"doc_module":4,"doc_module_name":9,"category_name":57,"show_sort_weight":24,"slug":58},19,"General","general",{"code":4,"msg":60,"data":61},"ok",{"site_id":62,"language":63,"slug":64,"title":65,"keywords":66,"description":67,"schema_data":68,"social_meta":124,"head_meta":126,"extra_data":128,"updated_unix":130},105,"en","course-2023-2024-in-financial-risk-management-lecture-notes","Course 2023-2024 in Financial Risk Management - Lecture Notes","","Financial Risk Management lecture notes for the 2023-2024 course, organized into tutorial sessions and structured parts covering the core risk taxonomy faced by financial institutions. The material explains why risk management matters, then details market risk with capital frameworks and statistical estimation of risk measures. It proceeds through credit risk, counterparty credit and collateral risks, operational risk, liquidity risk, asset-liability management risk, model risk, and concludes with copulas and extreme value theory for dependence and tail behavior analysis.",{"@graph":69,"@context":123},[70,84,106],{"@type":71,"itemListElement":72},"BreadcrumbList",[73,77,79,82],{"item":74,"name":75,"@type":76,"position":8},"https://docshare.wps.com","Home","ListItem",{"item":78,"name":9,"@type":76,"position":14},"https://docshare.wps.com/document/",{"item":80,"name":40,"@type":76,"position":81},"https://docshare.wps.com/document/research-report/",3,{"item":83,"name":65,"@type":76,"position":19},"https://docshare.wps.com/document/course-2023-2024-in-financial-risk-management-lecture-notes/203089/",{"url":83,"name":65,"@type":85,"image":86,"author":91,"headline":65,"publisher":94,"fileFormat":97,"inLanguage":63,"description":67,"dateModified":98,"datePublished":99,"encodingFormat":97,"isAccessibleForFree":100,"interactionStatistic":101},"DigitalDocument",{"url":87,"@type":88,"width":89,"height":90},"https://docshare.wps.com/thumbnails/course-2023-2024-in-financial-risk-management-lecture-notes/203089.png","ImageObject",300,407,{"name":92,"@type":93},"Quinn Holloway","Person",{"url":74,"name":95,"@type":96},"DocShare","Organization","application/pdf","2026-10-29","2026-09-04",true,{"@type":102,"interactionType":103,"userInteractionCount":105},"InteractionCounter",{"@type":104},"ViewAction",11,{"@type":107,"mainEntity":108},"FAQPage",[109,115,119],{"name":110,"@type":111,"acceptedAnswer":112},"How do the notes introduce the need for financial risk management?","Question",{"text":113,"@type":114},"They start with the need for risk management, covering the development of financial markets and explaining the role of financial crises and systemic risk.","Answer",{"name":116,"@type":111,"acceptedAnswer":117},"What topics are covered under market risk?",{"text":118,"@type":114},"Market risk is addressed through capital requirements under Basel frameworks, statistical estimation of risk measures, risk allocation, and supporting exercises and references.",{"name":120,"@type":111,"acceptedAnswer":121},"How are dependence and tail risk modeled in the final part of the course?",{"text":122,"@type":114},"The notes introduce copulas to describe dependence and then use extreme value theory, including order statistics and univariate and multivariate extreme value modeling.","https://schema.org",{"og:url":83,"og:type":125,"og:title":65,"og:site_name":95,"og:description":67},"article",{"robots":127,"canonical":83},"index,follow",{"doc_id":129,"site_id":62},203089,1788555645,{"code":4,"msg":5,"data":132},{"doc_id":129,"user_id":133,"nickname":92,"user_avatar":134,"doc_module":4,"category_id":39,"category_name":40,"doc_title":65,"doc_description":67,"doc_content":135,"file_id":136,"file_url":137,"file_type":138,"file_size":139,"view_count":105,"is_deleted":4,"is_public":8,"is_downloadable":8,"audit_status":8,"page_count":140,"language":141,"language_code":63,"site_id":62,"html_lang":63,"table_of_contents":142,"faqs":143,"seo_title":144,"seo_description":67,"update_tm":130,"read_time":145,"preview_page_count":4},2336474466712,"https://ap-avatar.wpscdn.com/davatar_a8503ba1806abce46bf441b54a3ca4cd","Course 2023-2024 in Financial Risk Management Lecture Notes + Tutorial Sessions  \nThierry Roncalli?  \n? Amundi Asset Management 1? University of Paris-Saclay  \nSeptember 2023  \n1 The opinions expressed in this presentation are those of the authors and are not meant to represent the opinions or o􀀎cial positions of Amundi Asset Management.  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 1 / 1695   \nPart 1 . Introduction to Financial Risk Management  \n1 The need for risk management 28  \n The development of 􀀌nancial markets 28  \n Financial crises and systemic risk 31  \n2 Financial regulation 33  \n Banking regulation 34  \n Insurance regulation 52  \n Market regulation 56  \n Systemic risk 57  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 2 / 1695   \nPart 2 . Market Risk  \n3 Capital requirements 60  \n The Basel I/II framework 62  \n The Basel 2.5 framework 78  \n The Basel III framework 80  \n4 Statistical estimation of risk measures 101  \n De􀀌nition 101  \n Computation 107  \n Options and derivatives 133  \n5 Risk allocation 159  \n De􀀌nition 159  \n Application to Gaussian risk measures 163  \n Application to non-normal risk measures 168  \n6 Exercises 173  \n7 References 174  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 3 / 1695   \nPart 3 . Credit Risk  \n8 The market of credit risk 177  \n The loan market 177  \n The bond market 180  \n Securitization and credit derivatives 202  \n9 Capital requirement 234  \n The Basel I framework 235  \n The Basel II framework 239  \n The Basel III framework 285  \n10 Credit risk modeling 294  \n Exposure at default 294  \n Loss given default 297  \n Probability of default 314  \n Other topics 350  \n11 Exercises 369  \n12 References 370  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 4 / 1695   \nPart 4 . Counterparty Credit Risk and Collateral Risk  \n13 Counterparty Credit Risk 374  \n De􀀌nition 375  \n Modeling the exposure at default 381  \n Regulatory capital 406  \n Impact of wrong way risk 410  \n14 Credit valuation adjustment 418  \n De􀀌nition 418  \n Practical implementation 432  \n Regulatory capital 435  \n CVA and wrong/right way risk 450  \n15 Collateral risk 451  \n De􀀌nition 451  \n Risk allocation 455  \n16 Exercises 458  \n17 References 459  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 5 / 1695   \nPart 5 . Operational Risk  \n18 De􀀌nition 464  \n19 Regulatory capital 469  \n Basic indicator approach (BIA) 470  \n The standardized approach (TSA) 471  \n Advanced measurement approaches (AMA) 474  \n Basel III (SA-OR or SMA) 476  \n20 Loss distribution approach 479  \n De􀀌nition 479  \n Parametric estimation 486  \n Calculating the capital charge 516  \n Incorporating scenario analysis 528  \n21 Exercises 534  \n22 References 535  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 6 / 1695   \nPart 6 . Liquidity Risk  \n23 Market liquidity 538  \n Conventional liquidity measures 538  \n Other liquidity measures 548  \n The liquidity-adjusted CAPM 549  \n24 Funding liquidity 551  \n Asset liability mismatch 551  \n Relationship between market and funding liquidity risks 553  \n25 Regulation of the liquidity risk 555  \n Liquidity coverage ratio 555  \n Net stable funding ratio 567  \n Leverage ratio 568  \n26 References 569  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 7 / 1695   \nPart 7 . Asset Liability Management Risk  \n27 General principles of the banking book risk management 573  \n De􀀌nition 573  \n Liquidity risk 578  \n Interest rate risk in the banking book 604  \n Other ALM risks 628  \n28 Interest rate risk 630  \n Duration gap risk 630  \n Earnings-at-risk 636  \n Funds transfer pricing 641  \n29 Behavioral options 653  \n Non-maturity deposits 653  \n Prepayment risk 662  \n Redemption risk 676  \n30 Exercises 681  \n31 References 682  \nThierry Roncalli  Course 2023-2024 in Financial Risk Management 8 / 1695   \nPart 8 . Model Risk  \n32 Basics of option pricing 686  \n The Black-Scholes model 686  \n Interest rate risk modeli","cbCaihcrpgOlNBao","https://ap.wps.com/l/cbCaihcrpgOlNBao","pdf",14236203,1695,"English","# Part 1 . Introduction to Financial Risk Management\n## 1 The need for risk management\n## 2 Financial regulation\n# Part 2 . Market Risk\n## 3 Capital requirements\n## 4 Statistical estimation of risk measures\n## 5 Risk allocation\n## 6 Exercises\n## 7 References\n# Part 3 . Credit Risk\n## 8 The market of credit risk\n## 9 Capital requirement\n## 10 Credit risk modeling\n## 11 Exercises\n## 12 References\n# Part 4 . Counterparty Credit Risk and Collateral Risk\n## 13 Counterparty Credit Risk\n## 14 Credit valuation adjustment\n## 15 Collateral risk\n## 16 Exercises\n## 17 References\n# Part 5 . Operational Risk\n## 18 De􀀌nition\n## 19 Regulatory capital\n## 20 Loss distribution approach\n## 21 Exercises\n## 22 References\n# Part 6 . Liquidity Risk\n## 23 Market liquidity\n## 24 Funding liquidity\n## 25 Regulation of the liquidity risk\n## 26 References\n# Part 7 . Asset Liability Management Risk\n## 27 General principles of the banking book risk management\n## 28 Interest rate risk\n## 29 Behavioral options\n## 30 Exercises\n## 31 References\n# Part 8 . Model Risk\n## 32 Basics of option pricing\n## 33 Volatility risk\n## 34 Other model risk topics\n## 35 Exercises\n## 36 References\n# Part 9 . Copulas and Extreme Value Theory\n## 37 Copulas\n## 38 Extreme value theory\n## 39 Exercises\n## 40 References","[{\"question\":\"How do the notes introduce the need for financial risk management?\",\"answer\":\"They start with the need for risk management, covering the development of financial markets and explaining the role of financial crises and systemic risk.\"},{\"question\":\"What topics are covered under market risk?\",\"answer\":\"Market risk is addressed through capital requirements under Basel frameworks, statistical estimation of risk measures, risk allocation, and supporting exercises and references.\"},{\"question\":\"How are dependence and tail risk modeled in the final part of the course?\",\"answer\":\"The notes introduce copulas to describe dependence and then use extreme value theory, including order statistics and univariate and multivariate extreme value modeling.\"}]","Course 2023-2024 in Financial Risk Management - Lecture Notes | PDF",4271]