Credit Risk and Banking Regulation
 /  Credit Risk and Banking Regulation
Credit Risk and Banking Regulation

Professor: : Djamel Stili, Société Générale.

Objective: After the 1929 crisis, the International banking authorities have deployed a framework to prevent the credit risks with objective to limit the systemic risk. The bankruptcy of Lehman Brothers in 2008 and the ensuing financial crisis leads the authorities to strengthen the regulatory framework in the liquidity aspects. This new framework, called Basel 3 reform, has led the banks to improve their credit and liquidity risk management.

This course provides a better understanding of the successive banking regulation reforms. It presents the commercial stakes for the banking sector and the challenges for banks related to their risk management. it describes how banks apply the regulation and details the prudential solvency ratio.

What will the students learn at the end of the course?

  • Understand the International banking regulation on credit and liquidity risks;
  • Knowledge on credit risk management;
  • Design regulatory credit risk models like Probability of default and Loss Given Default models.


  1. The bank, a company almost like the others;
  2. The banking regulators;
  3. The Basel 2 reform:
    • The objectives of the reform;
    • The 3 pillars;
    • Risk estimation parameters in standard method;
    • Risk estimation parameters in IRB method;
    • Calculation of the capital and solvency ratio.
  4. Basel 3: After the liquidity crisis;
  5. IFRS09: Provisioning for healthy outstanding.


  • Knowledge in statistics;
  • Basic knowledge of Balance-Sheet & Financial statements;
  • Basic knowledge of the banking activities.


General information

Address :

122, rue de Vaugirard
75006 Paris, FRANCE

L4 L6 L12 L13 Montparnasse
L10 L13 Duroc
L4 Saint-Placide
L12 Falguière

Phone :
+33 (0)1 53 63 80 76

Email :


Shortlisted results announced
14 juin 2022

22 et 23 juin 2022

Final admission results
24 juin 2022 au plus tard

Fin des inscriptions administratives
8 juillet 2022 (MBF1 et MBF2), 13 juillet 2022 (Master 2 TFB).

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