Risque de crédit et réglementation bancaire
 /  Risque de crédit et réglementation bancaire
Risque de crédit et réglementation bancaire

Responsable du cours : Djamel Stili, Société Générale.

Objectifs du cours : 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.

Contenu de l’enseignement :

  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.

Pré-requis : 

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



Adresse :

122, rue de Vaugirard
75006 Paris

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

Téléphone :
+33 (0)1 53 63 80 76

Email :


Résultat admissibilité
18 mai 2023

Entretien d’admission
24 et 25 mai 2023

Résultats communiqués par courriel
26 mai 2023

Fin des inscriptions administratives
8 juillet 2023 (MBF1 et MBF2), 13 juillet 2023 (Master 2 TFB).

en_GBEnglish fr_FRFrench