Stress-testing, structured products and bank balance sheet management.

Summary The purpose of this thesis is to link the valuation of derivatives to the scenario analysis that is the reference in bank management. The valuation of options is an area that has given rise to a very large literature with a well-defined mathematical framework, developed rather for market finance practitioners with a view to replication hedging. The risk management of these products is therefore analyzed from the perspective of the famous principle of no arbitrage opportunity. According to this principle, the estimate for a future rate becomes the one anticipated by the markets today thanks to the presence of hedging instruments. On the other hand, corporate financial management is based on a so-called "scenario approach", in which different scenarios that seem insightful and make economic sense to the bank's management are selected, and a projection for each scenario is studied. These scenarios are generally not probabilized. We are in a model of the uncertain where the notion of probability and expectation does not intervene. The bank, which has complex products related to its activity, does not hedge its risks in the same way as a service related to market activities. The study of this framework of analysis is part of the thesis. We analyze this need for projection by scenario on the perimeter of complex products.