New York Institute of Finance

Credit, Liquidity and Operational Risk Management

Available dates

Dec 12, 2019
New York, New York, United States
USD 1395
USD 1395 per day
Dec 12, 2019
Online
USD 1395
Dec 10, 2020
New York, New York, United States
USD 1116
USD 1116 per day
+2 more options

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About the course

This course is a quantitative survey of the best practices and modeling techniques for the measurement and management of credit, liquidity and operational risk.

This course is a component of: Advanced Risk Management Professional Certificate

Prerequisite knowledge:

  • Intermediate MS Excel skills (lookup functions, matrix multiplication, etc.)
  • Knowledge of financial instruments (bonds, options, swaps, etc.)
  • Familiarity with basic calculus and statistics (Freshman/Sophomore level)

CURRICULUM

Day 1

MODULE 1: CREDIT RISK

  • Approaches to modeling credit risk
  • Credit risk measures
  • PD, EAD, LGD
  • Duration x spread
  • Single name credit derivatives
  • Default correlation and portfolio credit risk
  • Portfolio credit derivatives

MODULE 2: COUNTERPARTY RISK MANAGEMENT

  • OTC instruments and counterparty default risk
  • Exposure measures: CE, EE, PFE
  • Value adjustments: CVA, DVA

MODULE 3: CREDIT RISK MANAGEMENT

  • Credit VaR models
  • Monte Carlo techniques
  • Parametric approaches
  • Approximate credit VaR calculations on the back of an envelope

MODULE 4: LIQUIDITY RISK

  • Trading risk: Liquidity-adjusted VaR
  • Funding Risk: Asset-Liability Management
  • Role of repurchase agreements in the financial crisis
  • Algorithmic high frequency trading and market liquidity

MODULE 5: OPERATIONAL RISK

  • Taxonomy of operational risks
  • Operational risk regulation
  • Operational risk modeling
  • A VaR approach to operational risk

*WHAT YOU'LL LEARN *

  • Be able to build risk models for credit risk using a variety of approaches
  • Be able to clearly communicate the implications of the risk metrics in the report to ‘non-technical’ audiences.

Who should attend

  • Risk managers
  • risk analysts
  • treasury analysts
  • regulators
  • auditors and controllers

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