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Effective Market Risk Management

Managing risk effectively, going beyond the basics of measurement and policy

Course Highlights

Attend this intensive two-day training course and benefit from:

A critical look at risk and how it can be managed and controlled
Understanding current best practice and why it is best practice in risk management
A critical look at Value-At-Risk: Why do regulators like it, where does it fail and what can be done about it?
Alternatives to VaR, including ‘Stress and Scenarios’
Incorporating and managing non-linear risks
Risk measurement and management for hedge fund and traditional fund managers
Regulatory impact and requirements for risk management and capital
Incorporating new products and risks

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

Booking Information

Dates	Prices	Book This Course	Discount
29 - 30 Nov 2010	£ 1899		-
20 - 21 Jun 2011	£ 1899		-

Course Programme

DAY ONE

Introduction

Overview of current markets and fallout from credit crunch
The basics of risk management – What is it? What isn't it?
Identification, measurement and management of risk
Market risk
Credit risk
Operational risk
Other risks
Valuation, mark to market and accruals
What do we mean by manage?
What is risk management trying to achieve?

Market Risk in Banking

Importance of basic control processes
Mark to market, mark to model other valuation
Profit and Loss monitoring
Limits
Assets and liability (inventory) control
Organisational culture and structure
The tone set by senior management
Staffing and experience
The importance of systems
Banks verses other corporate entities – Why are they different?

Risk Management Tools for Market Risk

Defining a returns process for a price series
Modelling the returns process
Asset/liability size and equivalents
Sensitivities of positions to market moves – the concepts of delta and DV01
Arbitrage principles for pricing and sensitivities – forward pricing andprobability

Portfolio Market Risk Tools

Aggregation of positions – From many to few
Portfolio effects from correlation and diversification
Composite risk measures
Value at Risk and other portfolio risk models

Value at Risk and its Short Comings

Variance-Covariance
Historic simulation
Monte-Carlo
Limitations of approaches
Handling specific risk
Problems with illiquid assets
Changes in volatility and covariance assumptions

DAY TWO

Adjuncts to the Value-at-Risk Tools

Using scenarios to identify "problem" positions
Stress testing – What is it and how does it help?

New Products and New Challenges

How do we incorporate new products?
Breaking down the components of risk
Use of models
Incorporating into existing system and not-in-system trades forreporting

What can Derivatives tell us about Market Risk?

Implied volatility, skews and smiles - What do they mean?
Fat tails and market instabilities
What do real returns look like?
How should we adjust measures?

Incorporating Derivatives into Market Risk Portfolios

How non-linear instruments distort returns distributions
The effect on confidence intervals for VaR estimation
How Greeks sensitivities are a necessary addition to normal risk measures such as VaR
Integrating OTC Derivatives into combined market and credit risk framework using Monte Carlo
Simulation

Market Risk for Fund Managers

Why is Fund Management different?
The role of benchmarks and mandates
Alpha, Beta, Information and Sharpe Ratios – What do they tell us?
Benchmark relative risk
Non linear beta effects

The Role of Back Testing for VaR

Explaining the sources and sinks of profit and loss from risk measures
Back testing process – Clean, dirty and hypothetical P&L
Exceptions – How many is too many or too few?
Model hypothesis testing
Effects of autocorrelation
The role of Extreme Value Theory (EVT) for tail correction

Market Risk Capital

The evolution of Basel capital requirements for market risk
The 1996 market risk amendment and introduction of internal models
Quantitative and qualitative aspects of model recognition
Defining Market Risk Capital and qualifying capital types – Tiers 1, 2 and 3
Recent developments such as liquidity risk and leverage limits –
What will Basel III bring?