Risk management

  • Enterprise Risk Management (ERM) :
    • Comparative analysis of the different approaches
    • Approaches of ERM for the insurance industry (Solvency II, COSO, Casualty Actuarial Society CAS, Society of Actuaries SOA, S&P ERM, National Association of Insurance Commissioners NAIC RBC, Basel II, etc.)
    • Implication of ERM for corporations
  • Development of tools and models for risk management
    • Modern approaches for operational risk management
    • Credit risk management models
    • Market risk management models
    • Risk-based capital allocation (e.g. VaR, CVaR)

Derivatives and financial engineering

  • The credit derivaives market and its use in credit rsik management
  • Analysis and pricing of derivatives products and alternative risk transfer instruments (CDS, CDO, energy and climate derivatives, interest rate derivatives, etc.)
  • Analysis and pricing of credit insurances or financial guarantees
    • Export Credit Agencies (ECA)
    • Equity insurance
    • Political risk insurance
  • Analyse et évaluation des dérivés énergétiques, climatiques, etc.
  • Instruments dérivés de taux d’intérêt

Portfolio management, investment and asset allocation

  • Portfolio choice problem using Monte Carlo simulations
  • Portfolio choice problem by optimisation
  • Asset allocation in pension funds (Defined Contribution pension plans and Defined Benefit pension plans)

Other topics

  • Carbon market and sustainable development
    • Trend of the market
    • Implication for finance and portfolio management
  • Project finance, PPP and structured finance
    • Pricing projects using real options
    • Pricing projects using Monte Carlo simulations and scenario analysis of cash flows
  • International finance
    • Investment contraints on international capital markets
    • International diversification
  • Microcredit or microfinance
    • Structure, products, market size, efficiency, effectiveness, etc.
  • Islamic finance
    • Market trend of Islamic finance, specificities, particularities, etc.
    • Engineering of Islamic finance products