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New York Institute of Finance

Risk Capital and Enterprise Risk Management

Dec 13, 2019
New York, New York, United States
USD 1395
USD 1395 per day
Dec 13, 2019
Online
USD 1395
Dec 11, 2020
New York, New York, United States
USD 1116
USD 1116 per day
+2 more options

How it works

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Description

This course develops quantitative models of risk capital, surveys approaches to integrated risk management and reviews prudential risk regulation.

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: RISK CAPITAL ALLOCATION

  • Definitions of risk- and economic capital
  • Merton-Perold risk capital
  • Risk capital as a risk management tool
  • Risk budgeting
  • Measures of risk-adjusted returns: RAROC, EVA

MODULE 2: THE BANK CAPITAL DEBATE

  • Modigliani-Miller and banks
  • Diamond-Rajan argument for financial fragility
  • The Admati-Hellwig argument for more capital
  • Debt overhang

MODULE 3: REGULATORY CAPITAL

  • Motives for prudential risk regulation
  • Systemic risk
  • Evolution of the Basel capital requirements
  • Leverage and liquidity constraints under Basel III

MODULE 4: ENTERPRISE RISK MANAGEMENT

  • Integrated risk management within financial institutions
  • Aggregating financial and non-financial risks
  • Designing effective risk management frameworks
  • Best practices for risk governance

WHAT YOU'LL LEARN

  • Understand notions of risk capital, economic capital and regulatory capital
  • Be able to compute Merton-Perold risk capital for hypothetical financial firms
  • Understand the implications of the bank capital debate for prudential risk regulation
  • Understand emerging theories of systemic risk
  • Be aware of best practices for enterprise risk management and effective risk governance

Who should attend

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

Next dates

Dec 13, 2019
New York, New York, United States
USD 1395
USD 1395 per day
Dec 13, 2019
Online
USD 1395
Dec 11, 2020
New York, New York, United States
USD 1116
USD 1116 per day
+2 more options

How it works

Show more

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