Advanced Risk Management
Master the latest techniques to manage and control credit risk, market risk and derivatives risk
Course Highlights
Small size group, excellent course leaders and good mixture of theory and practice
G.R., CDC Ixis Capital Markets
Attend this intensive three-day course and get to grips with:
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State-of-the-art techiques in market risk measurement
For details of the course trainer, please download the course brochure
Booking Information
| Dates | Prices | Book This Course | Discount |
|---|---|---|---|
| 07 - 09 Sep 2009 |
£ 2299 |
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| 24 - 26 Feb 2010 |
£ 2299 |
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Course Programme
Small size group, excellent course leaders and good mixture of theory and practice
G.R., CDC Ixis Capital Markets
What I liked most about this course was the course leader and the high quality presentation
A.J., SEB
Very good course!
M.R., Commerzbank
DAY ONE
Market Risk Management
Risk Management Schemes – a Review
- Introduction
- Types of risk
- Limits
- The Greeks
- VAR
- Other controls and measures
PC Exercise: Delegates will study various VAR calculations for a simple portfolio
Stress and Scenario Analysis
- The importance of stress and scenario testing
- Best practice in stress test selection
Leading Bank Credit Risk Strategies
- Buy and hold
- Originate to distribute
- The key issues in each strategy
Asset and Funding Liquidity Risk Management
- Looking at the balance sheet as a source for risk
- Funding the firm
- Gaps and cumulative gaps
- Multicurrency liquidity risk management
- Asset liquidity and funding liquidity
- Derivatives in corporate risk management
- Should non-financial companies hedge?
Risk Management for Hedge Funds
- Hedge fund risks
- Alpha and beta
- Leverage and alternative beta
- Asymmetric beta
DAY TWO
Credit Risk Management
- Credit risks and their effects
- Evaluating three key issues
- pricing of credit losses
- managing credit lines
- calculating credit risks and capital charges
- Assessing the three components of credit risks
- exposure to single counterparty
- default probability
- recovery rates
- Credit risk vs market risk
Case Study: Credit risk management at leading banks
Basic Quantitative Risk Management
- PD and credit spreads
- Hazard rates
- Risk premiums and risk neutrality: what is in a credit spread?
- Default swap pricing in the hazard rate model
- Trader language: what are they talking about?
- Spread risk vs. default risk
PC Exercise: Basket credit derivatives
Portfolio Credit Risk Management
- Introduction
- The credit risk loss distribution and tranching
- Actuarial models
- Fixed Form models and Basel II
Combining Market and Credit Risks – the Case of Convertible Bonds
- Convertible bonds
- Tree models
- Tree surgery for American options
- Discount factors and the 11/2 Factor Model
Credit Risk Mitigation and PFCE
- Introduction
- Market moves and credit exposure
- Portfolios of transactions
- Portfolios of counterparties
Discussion: The Origins of the Credit Crunch
DAY THREE
Capital and Other Risks
The Many Purposes of Capital Assignment Credit Exposure
- The uses of capital
- Economic capital and RAROC
- Capital allocation
- Capital instruments
Basel 2 and Operational Risk
- The Basel framework
- Approaches to operational risk in Basel II
- Sound practice in the management of operational risk
- Data issues
Time Horizons,Capital Models, and Risks Ignored by Basel
- Pillar 2 in Basel II
- Pillar 3 in Basel II
- Short and medium-term risks
- Solvency and liquidity risk
- Strategic risk
- Reputational risk
Exercise: The failure of Amaranth
Risk and Economic Capital Disclosures from Leading Banks
Integrating Capital Measures:Whole Bank Risk
- Introduction
- Extreme value theory
- Practical issues in capital modelling
Contemporary Risk Management
- What worked and what didn't during the crunch
- Risk management after the crunch
- Conclusions
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