Advanced Risk Management

IFF Training

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IFF Training


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About the course

There has never been a more important time to look at advanced risk management techniques. Basel III, FRTB (aka Basel IV), CECL and Brexit are just a few of the issues that the industry is facing. All this along with a market environment of uncertainty of interest rates, overvalued stock markets and rising political tensions over trade, nuclear arms and man-made climate change. An environment which also includes trillions of dollars of bonds with negative yields.

This course is designed to extend your practical knowledge and understanding over the breadth and depth of financial risk management as practised in institutions today and in the near future. Picking up where many other courses leave off, you’ll explore the connected nature of risk across market, credit, operational, liquidity, reputational and other risks. In particular, you’ll look at the techniques and methodologies employed in risk estimation and their strengths and weaknesses including their relationship to regulation and capital. Moreover, it also looks at how risk is really managed (or not!) currently.

You will benefit from a perfect balance of theory and practice with great emphasis on practicality and hands-on issues. It carefully examines techniques such as Value-at-Risk, Expected-Shortfall, credit modelling, current expect loss, stress testing and scenarios. You will also look at how Basel III and IV impact risk and risk management, as well as the different risk management challenges in fund management.

The three days are designed to be highly interactive with examples and workshops, plus plenty of opportunity for questions and discussion with the course leader and other delegates.

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

Learn how to

  • Develop the tools and techniques needed to measure market risk effectively
  • Master liquidity risk management
  • Use credit risk modelling and management
  • Employ credit derivatives to manage credit risk
  • Incorporate the latest developments in regulation and capital requirements
  • Use the lessons learned from the credit crisis and attempted global recovery
  • Examine how Brexit might affect risk

Case studies and practical sessions

  • Market risk measures
  • Simple portfolio credit risk Modelling
  • Basket credit products
  • The Chief Credit Officer role
  • The demise of Lehman Brothers, MF Global, Amaranth – what went wrong?



  • 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

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

Exercise Basket credit products

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

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

Advanced Risk Management at IFF Training

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Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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