A Masterclass in Risk Management

The course begins with an overview of risk and return in banking and finance and how these are intimately linked with the economy and monetary policy. You’ll look at regulation with case studies and examples of Basel III / IV regulatory calculations, then focus on the specifics of market risk across assets classes, stressing the intimate relation with liquidity risk and its constraints. Hedging and risk control tools are extensively discussed, including securitisation
techniques for balance sheet management and ALM. You’ll study credit risk, credit evaluation and the impact of default correlation as a major risk factor for tail risk. You’ll move onto
operational risk and its overlap with all other risk areas and tackle liquidity risk.

Case studies and exercises ensure you make the transition from theory to practice with outstanding success.

Course programme at a glance

DAY ONE

• Introduction to the types of financial risk
  
• Introduction to the quantitative risk management
  
• The importance of regulation
  
• The evolution of the international ‘rules’ for bank capital adequacy assessment
  

DAY TWO

• Factor sensitivity analysis for measuring market risk
  
• Monte Carlo simulation
  
• Market value-at-risk
  
• VaR estimation for a simple portfolio
  
• Additional risk measurement methods
  
• Economic and regulatory capital for market risk
  
• Managing market risk

DAY THREE

• Introduction to credit risk
  
• Default risk from a historical/actuarial perspective
  
• Default risk from market prices of securities
  
• Credit risk exposure
  
• Credit derivatives
  

DAY FOUR

• Credit risk management
  
• Risk, capital and management
  
• Management perspectives on capital allocation and types
  
• Other risk types
  

DAY FIVE

• Operational risk
  
• Asset and liability valuation
  
• Liquidity risk
  
• The future of risk