Diffusion d`une culture ERM au sein d`une organisation : une

!"##$%"&'()*$'+(,$-.$/+(012(3$(%+"'(
)*$'+(&/43'"%3."&'(5($'+()673/,8+(
,&79-+:+(73"%(/63-"%3;-+((
!"#$%&!'()*+,&-./0"$12&34521/&367,&836-,&7(-&
9:";$1"<"&6-=-*9)>-=-=?,&-./0"$12&34521/&367,&836-&

+@$%2&<A&B&&
<4+')3()+(-=3.+-"+/(

+@$%2&<A&C&&
1952%
Modèle'de'sélec+on'
de'portefeuille'
MARKOWITZ'
1961%–%1966%
Développement'du'
modèle'CAPM'
TREYNOR,'SHARPE,'
LINTNER'&'MOSSIN'
1950' 1960' 1970' 1980' 1990' 2000'
1974%
Modèle'de'risque'
de'défaut'
MERTON'
VaR%
1992%
RiskMetrics'
JP'MORGAN'
1997%
CreditMetrics'
JP'MORGAN'
1973%
Formule'de'valorisa+on'
d’une'op+on'
BLACK'&'SCHOLES'
MERTON'
1988%
Bâle%I%
1973%‐%1979%
Solvabilité%1%
>$+-?$+%()3.+%(@((
1992%
Integrated%Risk%Management%
1987%
1er'département'de'
ges+on'des'risques'
dans'une'banque'
MERRYL'LYNCH'
PréoccupaHon%du%besoin%et%de%la%
calibraHon%du%niveau%des%fonds%propres%
Marché%des%dérivés%:%protecHon%&%spéculaHon%
GesHon%financière%:%(%E[R]%;%Var[R]%)%
2000%
Eclatement'de'la''
Bulle'Internet'
2001%
Faillite'ENRON'
1994‐1995%
1ères'faillites'associées'au'
mauvais'usage'des'
produits'dérivés'
1997‐1998%
Crises'asia+ques'et'
russes'
Défaut'du'LTCM'
1973%‐%1979%
Chocs'pétroliers'
2002%
Loi%SOX%

+@$%2&<A&D&&
A3"--".+()=0B1CB(DEFFGH(

+@$%2&<A&E&&
I&"(J3/;3'+%KC:-+L(DEFFEH(
 F&G:$&#$H"</&I&51:/JK21&@2H&$<#2H/$HH201H&2<&"LJ@$:1"</&@M24"./$/0%2&2/&@"&N$"O$@$/J&
%2H&50O@$."/$:<H&%2H&2</1251$H2H&.:<P:1LJL2</&"04&@:$H&H01&@2H&#"@201H&
L:O$@$Q12H,&"$<H$&R0MI&%M"0/12H&N$<H&"55"12</J2HS&T&UV0O@$.&G"W&XYZ[BYD\&
 G:$&PJ%J1"@2&2<."%1"</&@2&H]H/QL2&.:L5/"O@2&"LJ1$."$<&'+&^--V,&#:/J2&H0$/2&"04&
%$PPJ12</H&H."<%"@2H&N$<"<.$21H&
 G:$&#$H"</&I&"..1:_/12&@"&12H5:<H"O$@$/J&%2H&2</1251$H2H,&12<%12&@"&.:LL0<$."/$:<&%2&
@M$<P:1L"/$:<&N$<"<.$Q12&5@0H&N$"O@2&2/&@0//21&.:</12&@2H&.:L5:1/2L2</H&P1"0%0@204&
 V:1/J2&@"1K2&%2&.2//2&@:$&&
 821/$N$."/$:<&%2H&.:L5/2H&2/&12H5:<H"O$@$/J&%0&L"<"K2L2</&
 )O@$K"/$:<&%2&125:1/$<K,&12<P:1.J2&2<&."H&%2&%$PN$.0@/JH&
 81J"/$:<&%`0<&.:L$/J&%`"0%$/&2/&%2&1QK@2H&%`"0%$/,&.:%2&%`J/;$R02&
 +"<./$:<H&2<&&."H&%2&L"<R02L2</&
 )O@$K"/$:<&5:01&@2H&%$1$K2"</H&%2H&H:.$J/JH&"LJ1$."$<2H&%`J#"@021&@`2PN$.".$/J&&&&
2/&@"&R0"@$/J&%2&@201&H]H/QL2&%2&.:</1a@2&$</21<2&U$L5"./H&$L5:1/"</H&2<&
/21L2H&%`:1K"<$H"/$:<&%2H&2</1251$H2H\&