School Of Risk Management

In the current climate there's no subject with more impact than that of risk. The IFF School of Risk Management course sets new benchmarks for risk management education. Taught by a globally recognised team of experts and structured to focus on all the major risk types, this is the only course risk professionals will ever need.

Course Highlights

Five reasons why you must attend this course:

You will get to grips with the practicalities of cutting-edge risk management methodologies
The residential structure allows the inclusion of highly focused case-studies with a deep emphasis on practical applications
It is the only programme of its kind, providing a comprehensive coverage of the tools, techniques and strategies used within market, credit and operational risk
Taught by the world’s leading risk management experts, it will provide you with the chance to learn from some of the best minds in the business
It will provide you with the perfect synergy between theory and real-world application, ensuring you make the transition from theory to practice, with outstanding success

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

Booking Information

Dates	Prices	Book This Course	Discount
25 - 29 Oct 2010	£ 4999		-
04 - 08 Apr 2011	£ 4999		-

Course Programme

DAY 1

INTRODUCTION

Types of Risk and their Importance

Credit risk
Liquidity risk
Market risk
Systemic risk

Quantitative Risk Management

Duration measures
PV01
Statistics for management
The significance of value-at-risk

The Importance of Regulation

The evolution of Basel "rules"
Regulation by / within the EU

REGULATION

The Evolution of the International 'Rules' For Bank Capital Adequacy Assessment

The background to Basel 1
The Basel 1 rules for credit risk and market risk
The problems with Basel 1
The aims and objectives of Basel 2: the 3 'Pillars'
The evolution of the Basel 2 [Pillar 1] rules for credit and operational risk
The problems with Basel 2
The alternatives to Basel 2
The proposed changes to Basel 2 in the light of the global banking crisis and credit crunch

Workshop - Covering market risk-based capital requirements under the standardised measurement methods

Implementation of the Basel Capital Accord in Europe

The implementation of Basel 1's credit risk rules

differences between EU and Basel Committee approaches

The implementation of Basel 1's market risk rules

differences between EU and Basel Committee approaches

The implementation of Basel 2

DAY 2

MARKET RISK

Market Risk – an Overview

Market factors: the main source of market risk
Marking to market with pricing models

Factor Sensitivity Analysis for Measuring Market Risk

Calculating factor sensitivities for

foreign exchange
bonds
swaps
options

Workshop: Calculation of factor sensitivities - Example of managing a swap portfolio using factor sensitivities

Monte Carlo Simulation

Overview of Monte Carlo technique
Choleski decomposition

Workshop: Performing Choleski decomposition

Market Vaue-at-Risk

Factor sensitivity limits
VAR using variance/covariance method
VAR using historic simulation
VAR using Monte Carlo simulation

Workshop: Value-at-risk estimation for a simple portfolio - Value-at-Risk limits - Specific risk for equity and debt instruments

Additional Risk Measurement Methods

Extreme Value Theory (EVT)
Conditional VAR

Worshop: Conditional VAR - Component VAR

Workshop: Component VAR - Stress testing - Other controls and limits

Economic and Regulatory Capital For Market Risk

Capital based on VAR methodologies
Back-testing under Basel

Managing Market Risk

Changing VAR
Linear hedges
Nonlinear hedges

DAY 3

Credit risk is at the heart of all lending and the recent catastrophic events in financial markets have highlighted the problems of a massively dislocated credit market. In this section we will examine the role of lending and securitization of that lending in the so called "Credit Crunch" which has its origins in the sub-prime lending markets of the USA and the subsequent securitization process into the so call "toxic waste" of the CDOs.

CREDIT RISK

Introduction to Credit Risk

Basic concepts of default on payments
Settlement risk and pre-settlement risk
The market drivers of credit risk
Measurement of credit risk
Comparing credit with market risk
Concepts of joint default probability, loss given default and recovery rate
Diversification and portfolio effects

Default Risk from a Historical / Actuarial Perspective

Definition of credit events
Credit ratings
Basel II internal ratings based methods
Historical default rates
Marginal and cumulative defaults
Transition probabilities
Recovery rates
Sovereign vs corporate debt

Default Risk from Market Prices of Securities

Bond prices, spreads, liquidity and risk premium
Equity prices
Merton's model

Credit Risk Exposure

Exposure by risk type, expected loss, worse loss
Interest rate swaps, options
Effects of margining and marking to market
Limits and risk monitoring

Credit Derivatives

Fundamental drivers behind the products
Credit default swaps
Credit linked notes
Documentation issues
Pricing and hedging examples

Case Study: "What caused the Credit Crunch?"

DAY 4

CREDIT RISK

Credit Risk Management

Estimating the distribution of credit losses
Expected loss and unexpected loss, relationship with economic and regulatory capital
Basel II credit risk capital
Time effects
Estimating the credit Value-at-Risk
Introduction to portfolio credit models
Management of credit risk

Workshop: Hands-on calculation of sample credit risk exposures and the theoretical pricing of a credit linked note

LIABILITY STRUCTURE AND RISK AGGREGATION

Multi-Purposes of Risk Assessment

The uses of capital
Economic capital and RAROC
Capital allocation

Capital pricing
Capital rationing

Capital instruments

Beyond Market and Credit Risk

Definition of operational risk
The growing importance of operational risk in the new regulatory framework
Operational risk in Basel II

Basic indicator approach
Standardised approach
Advanced measurement approach

Model risk
Solvency and liquidity risk
Funding liquidity risk
Asset liquidity risk
Reputational risk
Strategic risk

DAY 5

LIQUIDITY AND OPERATIONAL RISKS

Operational Risk Measurement & Management

Introduction
Managing operational risk
The methods

Scorecards
Loss distribution approach
Internal measurement approach
Scenario testing

Impact of the Basel operational risk proposals
Sound practices for the management of operational risk

Model risk, asset liquidity and valuation

Introduction
Asset liquidity
What does a pricing model do?
The 3 levels of FAS 157
Model risk types and controls

Case Study: Structured credit hedging during the credit crunch

Funding liquidity risk and valuation

Introduction
How firms fund themselves
Non-traded interest rate risk
Confidence and funding rolls
The role of funding liquidity risk in the crisis

Case Study: Risk disclosures in leading institutions

Integrating Capital Measures

Introduction
Extreme value theory
Practical issues in capital modelling
Hedging vs. capital