Advanced Risk Management

The credit crisis taught us all a lesson in risk management and this groundbreaking course provides a detailed set of tools and techniques for managing and controlling credit risk, market risk and derivatives risk.

Course Highlights

Master the latest techniques to control and manage credit risk, market risk and operational risk.

Attend this highly intensive course to gain an in-depth practical insight into:

Cutting-edge market risk methodologies
The tools and techniques needed to measure market risk effectively
Successful stress and scenario testing
Effective liquidity risk management
Practical credit risk modelling and management
How credit derivatives can be used to manage credit risk
The role of capital and the relationship to other risks
The impact of Basel II – the latest developments in regulation and capital requirements in light of the credit crisis
The lessons learned from the credit crisis

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
01 - 03 Sep 2010	£ 2299		-
07 - 09 Mar 2011	£ 2299		-

Course Programme

DAY ONE

Market Risk Management

Introduction

What is risk management?
Why do we need it?
Risk management vs. risk measurement
Risk management, regulation and capital
What is advanced risk management?

Market Risk - Methodology

The origins of market risk
Sensitivities and The Greeks
Why have limits?
Value-at-Risk – is it any use?
What else can we do to control risk?

Computer Based Workshop

Market Risk Measures

Market Risk – Stress and Scenarios

Why do we need stress and scenario testing in addition to VaR?
How should we do stress and scenario testing?
Why do the regulators want to see it done?

The Division between Market and Credit Risk

The trading vs. banking business model
The regulatory divide
Impact of liquidity and funding
Market type risk in traditional banking activities
How it all went wrong in 2008 – the credit crunch

Funding and Liquidity Risk Management

Asset liability mis-matches in the balance sheet
Gap analysis
Funding alternatives – e.g. securitisation, SIVs and conduits
Funding, asset/liability liquidity and derivative pricing/hedging – how are they all linked?

Market Risk Management for Funds

Why do Fund Managers need different tools?
Alpha, Beta, Sharpe Ratio, Information Ratio – what is it for?
The impact of leverage
Thinking like a Fund Manager's Risk Manager

DAY TWO

Credit Risk

Introduction

What is credit risk and how does it fit / overlap with the other risks?
The key drivers of credit risk
Market and credit risk together
Measurement of credit risk

Portfolio Credit Risk

Pricing and risk management of loan portfolios
Estimating probabilities of default, exposure at default and loss given default
Actuarial approaches, transition matrices
Market-based approaches, bond spread and Merton (KMV) model
Building a credit risk model
Using the models to set limits and monitor risk

Workshop

Simple Portfolio Credit Risk Modelling

Managing Credit Risk

Traditional techniques
Securitisation and risk transfer
Regulatory capital, Basel II and AIRB
Measuring performance and ROC

Credit Derivatives

How can credit derivatives be useful in managing credit risk?
Credit default swaps, single and multiple name
Tranche CDS
Issues with CDS, basis, documentation
Correlation issues
N to default type structures
Pricing and risk issues

Spreadsheet Exercise

Basket Products

Managing Credit Risk Collectively

Group Exercise based on Credit Office Role

DAY THREE

The Role of Capital and the Relationship to Other Risks

What is capital for?
Risk and capital performance measures such as RAROC, economic and regulatory capital
Allocating and managing capital
Raising capital and novel capital instruments

Basel II and Further Developments

The evolution of Basel – how did we get here?
The framework of market, credit and operational risk capital requirements – the three pillars
Operational risk methods – how do we build a model for AMA?
Overall requirements and best practice

What Risks Have Been Missed?

The role of pillars two and three in support of capital requirements
Liquidity risk – the new focus since the credit crunch
Intra-day and short-term risks
Reputational and strategic risk
Whole enterprise risk

Case Study

The demise of Lehman Brothers – what went wrong?

Risk Measures and Reporting in Major Banks

What is done currently?
What may have to be done?
Discussion