Presentation Slides on Financial Risk Management

756 Pages Posted: 6 Jan 2021

See all articles by Thierry Roncalli

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: November 15, 2020


These presentation slides correspond to an advanced course in financial risk management given at the University of Evry/Paris-Saclay. They cover the following topics:

Lecture 1. Introduction to Financial Risk Management
Lecture 2. Market Risk
Lecture 3. Credit Risk
Lecture 4. Counterparty Credit Risk and Collateral Risk
Lecture 5. Operational Risk
Lecture 6. Liquidity Risk
Lecture 7. Asset Liability Management Risk
Lecture 8. Model Risk
Lecture 9. Copulas and Extreme Value Theory
Lecture 10. Monte Carlo Simulation Methods
Lecture 11. Stress Testing and Scenario Analysis
Lecture 12. Credit Scoring Models

Keywords: Risk Management, Market Risk, Credit Risk, CVA, CCR, Operational Risk, Liquidity, ALM, Model Risk, Copulas, Extreme Value Theory, Stress Testing, Monte Carlo Methods, Credit Scoring

JEL Classification: G00, G18, G20, G32

Suggested Citation

Roncalli, Thierry, Presentation Slides on Financial Risk Management (November 15, 2020). Available at SSRN: or

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex

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