About the course
Picking up where many other courses leave off, it explores the connected nature of risk across market, credit, operational, liquidity, reputational and other risks. Key benefits:
- Gain insight into cutting-edge market risk methodologies
- Develop the tools and techniques needed to measure market risk effectively
- Practical exercises on successful stress and scenario testing
- Examine credit and liquidity risk modelling and management
- Gain knowledge of how credit derivatives can be used to manage credit risk
- Clarify of the role of capital and the relationship to other risks
- Fully understand the impact of Basel III and FRTB – the latest developments in regulation and capital requirements in light of the credit crisis
- Insights into the lessons learned from the credit crisis and attempted global recovery
- Examine how Brexit might affect risk both pre and post article 50
The course is a perfect balance of theory & practice with great emphasis on practicality & real-life issues. It examines techniques such as value-at-risk, credit modelling, stress testing & scenarios. It also looks at how Basel II & III impact risk management, as well as risk management techniques in fund management. Case studies, discussion & practical sessions include: Simple portfolio credit risk modelling; Basket credit products; The demise of Lehman Brothers
- What is risk management?
- Why do we need it?
- Risk management vs. risk measurement
- Risk management, regulation and capital
- What is advanced risk management?
- How does regulation view risks and risk management?
- The current risk environment: Brexit, ZIRP, slow growth and the death of inflation
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?
Technical Workshop Market risk measures
Market Risk – Stress and Scenarios
- Why do we need stress and scenario testing in addition to VaR?
- How does Expected Short Fall give us a better risk measure?
- How should we do stress and scenario testing?
- Why do the regulators want to see it done?
- Stress and scenario testing and Basel Pillar 2
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 – 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
- 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
- Credit Valuation Adjustment and the other “XVAs” such as DVA, FVA – what are they for?
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
Practical Workshop Simple portfolio credit risk Modelling
Managing Credit Risk
- Traditional techniques
- Securitisation and risk transfer
- Regulatory capital, Basel III and F-A-IRB
- Measuring performance and ROC
- 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
Exercise Basket credit products
MANAGING CREDIT RISK COLLECTIVELY
Exercise Based on Chief Credit Office Role
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 III 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
- Fundamental Review of the Trading Book – what changes will that bring?
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
- Liquidity Stress Testing – NSFR and LCR – how do they help manage risk?
- 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?
- How do we “govern” risk management with a firm?
- What are the major risks going forward?
Andrew Street was formerly Executive Director - Head of Arbitrage & prior to that, Director - Head of Equity & Commodity Derivatives at Mitsubishi Finance International (now bank of Tokyo-Mitsubishi). He has been a senior financial regulator including being Head of Traded Risk at the Fin...
Videos and materials
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.