Niveau d'étude
BAC +5
ECTS
2 crédits
Composante
École d'économie de la Sorbonne (EES)
Volume horaire
18h
Période de l'année
Printemps
Description
Summary: The objective of the course is to prepare students for the FRM (Financial Risk Manager) Level 1 certificate. The main valuation and risk models taught are:
- VaR and Expected Shortfall (parametric, non-parametric & hybrid approaches).
- Options, Binomial Trees, Black-Scholes model, Greeks, Hedging strategies.
- Bond valuation: Spot & Forward Rates, Returns, Spreads, Yields.
- Probability of Default (PD) and Loss Given Default (LGD).
The languages used are Python and R.
Professor: Daniel Petrov (Director - Master 2 Finance Technology Data)
Student assessment: Projects in Python / R.