Advanced Risk Management Course

Location: Available Globally

Dates: Open date - Open date

Duration: -

Price:

The Aim of this course is to provide participants with the skills and techniques necessary to understand, analyse, measure and assess the risks of both a Bank and Corporate Treasury operation. By the end of this course, participants will be able to: Apply a framework for risk management Identify treasury risks Calculate the risk capital of the Bank’s book Optimize the balance sheet risk / reward structure Comprehend the Enterprise Risk Management (ERM) of various businesses Implement Risk evaluation – sensitivity analysis, scenario analysis Understand and calculate Value at Risk (VaR) Implement Risk planning Ensure appropriate reporting Methodology: Teaching methodology will include discussions, casework and exercises Course categories:Risk Management Inhouse
COVERED TOPICS

DAY ONE: SETTING THE PICTURE – REVIEW OF THE CURRENT FINANCIAL SITUATION The treasury function Managing risk Where have the recent problems arisen Government’s response *Case Study: Initial discussion of recent events – review events in Europe and the US* WHAT IS RISK MANAGEMENT? What are the objectives Implementing an effective Risk Management Policy Modern ALM philosophy Success factors & pitfalls Review examples IDENTIFYING RISKS Risk versus Uncertainty What is risk? Defining different types of risk Interest rate risk Liquidity risk Counterparty risk Operational risk *Case Study: Delegates complete questions* INTEREST RATE RISK Bond duration Bond convexity Macaulay Duration Modified Duration The Convexity Adjustment Optionality *Case Study: Delegates will calculate the duration of a typical liability structures* AN INTRODUCTION TO MARKET RISK (SHORT SESSION) Interest Rate Risk LIBOR based loans Currency Risk Credit risk Legal and Operational Risk *Case Study: Assess various risks of a portfolio*		DAY TWO: MEASURING INTEREST RATE RISK Time Value of Money Zero Coupon Yield Curves Par Values Implied Forwards & Futures Creating Discount Factors Delta hedging *Case Study: Review delta of a swap* CURRENCY RISK, LIQUIDITY RISK AND UNDERSTANDING DISTRIBUTIONS Currency risk – look at correlations Liquidity risk – how markets can change Introduction to probability Normal distributions Value-At-Risk Approaches *Case Study: Appropriate exercises* MARKET-VALUE BASED RISK MEASURES (LONGER SESSION INCORPORATING 4) Explaining VAR calculation What Standard deviation means to volatility Historic simulations BIS recommendations for VAR measurement Basel II Risk modelling Simple examples of VAR calculation and interpretation *Case Study: Delegates to assess the implications and effectiveness of a hedge* DEFINING A LIMIT STRUCTURE The Greeks Delta hedging and its dynamics Delta and Gamma Basic introduction to options Duration guidelines *Case Study: Review a portfolio* DAY THREE: RISKS, SYSTEMS, REPORTING AND CAPITAL Principles of measurement Performance measurement issues Measurement Model Risk management & stress testing *Case Study: Appropriate Exercises* MEASURING AND MANAGING CREDIT RISK The role of the Ratings Agencies S & P, Moody’s Probability of default Loans pricing Does it reflect default risk? Can credit derivatives help? *Case Study: Review General Motors downgrade and Securitization defaults* REVIEW BOTH A BANK’S AND CORPORATE’S RISK MANAGEMENT POLICY STATEMENT AND ENTERPRISE RISK MANAGEMENT OBJECTIVES Overall Risk Management objectives Managing interest rate risk Yield curve and basis risk. Refinancing Risk Currency Risk Capital requirements Liquidity Risk – gap risk

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Location: Available Globally
Event date: Open date - Open date
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Phone: +44 208 133 5917

Advanced Risk Management Course

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