Amsterdam Institute of Finance
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.
Who should attend
This program is designed to develop the knowledge and understanding of risk management practices for those advancing their careers in financial risk management. The foundations apply across all sectors: banking, insurance, asset management, hedge funds, energy, securities, regulation/supervision and more.
- Chief Risk Officers and heads of risk management can use this program to develop the talents of their key staff members
- Market, credit or operational risk specialists can use this program to expand their knowledge of other approaches to understanding risk
- Regulators, auditors and supervisors can use this program to increase their expertise in validation of advanced risk management infrastructures
- IT personnel can use this program to improve the effectiveness of their work in building the risk management architecture of their organizations
- Financial engineers can use this program to enhance the application of their technical skills to the broader organization
- Business Managers interested in learning more about risk management or expanding their career into the field of risk management
About the course
Effectively practicing risk management requires an understanding of theory and risk measuring principles, and an examination of the sources and causes of credit, market, operational, and enterprise risk. This demands a deep familiarity with the prevailing models for the management of such risks types and a readiness of how to best prepare the organization for unknown future market fluctuations. Executives that lead risk management teams must also understand how organizations perform in making risk-taking decisions, how information and key risk indicators can be focused to improve the enterprise and how teams best execute the important functions of measuring and managing risk.
In this intensive four-day program, we will examine these themes and pay special attention to: the underlying theory of risk management; Basel approaches to calculating economic capital in credit, market, and operational risk; the role of regulation in managing risk; the risks of reputational harm in increasing the importance of operational risk; and best practices on how to lead and effectively execute risk management teams. Cases and examples from practice will provide us opportunities to reflect on what is successful and what challenges organizations still today in risk management. The real-world cases in Dr. Walker’s award-winning text, Winning with Risk Management will showcase how your organization can win with risk management.
How you will benefit
- Successfully evaluate risk management situations in a real-world setting
- Critically assess risk management metrics and findings
- Identify the limitations of risk management in real-world situations
- Analyze the mechanism of corporate governance and risk management leadership and its critical relationship to the overall corporate strategy and management of the enterprise
Foundations of Risk Measurement
In this session, we will examine the use and properties of statistics in measuring risk. The roles of volatility and correlation in outcomes will be stressed. The limits and features of statistics in risk measurement and detection will be examined with a real-world case study. The case will also allow us to examine options and future contracts as tools in managing commodity risks.
Foundations of Risk Measurement, Theory and Its Limits
We will examine the most important principles of risk measurement and management. These include portfolio theory, option theory, and the CAPM equation. These important models have limits, which have been exposed during the most recent financial crisis, allowing us a valuable opportunity to examine the best uses of these models for risk management.
Overview of Market Risk by Asset Types
This session will examine the important role of portfolio theory and asset pricing is market risk measurement. The Value at Risk methodologies used widely and as part of Basel approaches to manage asset price volatility will be presented. Concern rising from the recent financial crisis in market risk will be examined and the interaction of liquidity risk on asset pricing explored.
Methods for Market Risk Management & Basel Approaches
Managing market risk requires preparing for economic and asset losses that are often unseen. We will examine the role of scenario analysis and stress testing to develop risk models that prepare the enterprise for asset volatility and the needed economic capital to overcome that volatility.
Overview of Credit Risk: Consumer, Corporate, and Sovereign, and Credit Derivatives
For most banks, credit risk is the largest form of risk. We will examine the treatment of credit risk in consumer, corporate, and sovereign debt. The role of securitization and the use of credit derivatives in transferring (in part) credit risk will be examined. We will examine credit derivatives; in particular, credit default swaps (CDS) and collateralized debt obligations (CDO) and their role in the recent credit crisis.
Methods for Credit Risk Management, Basel Approaches, Stress Testing and Portfolio Models
Managing credit risk requires an examination of the performance of the book of loans under an economically stressful period. We will examine the of Markov models, economic models, stress tests, scenario analysis, and the Basel VaR approach for portfolio credit risk management. Details on economic capital formulation will be presented.
Overview of Operational Risk in Financial Services – Banking and Insurance
This session will examine the scope and definition of operational risk, its unique features, and how it differs from credit risk and market risk. Operational risk in the context of enterprise risk will also be examined. We will look at a case example of operational risk in a real setting, focus on the hidden properties of operational risk, and evaluate important differences in operational risk between banking and insurance.
Measurement and Communication of Operational Risk & Basel Models
This session will build on the use of a common language for operational risk to communicate the goals of operational risk management to the broader organization. We will examine how communicating operational risk is useful in driving appropriate management and investment decisions for risk reduction. Direction on moving from detection to measurement, examining how operational risk impacts profits and costs, and implementing operational risk metrics for management will be stressed.
Key Risk Indicators – Anticipating and Preparing for Operational Risk
Operational risk shows increased occurrence when complexity, novelty, and scale in processes are high. Additionally, the role of oversight and business unit structure contributes to operational risk. This session focuses on the development of Key Risk Indicators (KRIs) that measure processes, systems and organizational structures which are likely to produce operational risk. This session will examine best practices in developing useful KRIs, focusing on critical processes in banking and insurance, and using KRIs for process improvement and the reduction of operational risk.
Leading Operational Risk Management Teams – Impacts to the Organizational Culture (Case Exercise)
In this session we will explore, through a real-world example, the reality of managing operational risk management teams. We will explore overcoming organizational challenges, such as risk aversion, reporting biases, and organizational focus. A case study and a risk leadership exercise will allow us to examine the recognizing of operational risk-taking embedded in business decisions and the role of information systems in operational risk reporting.
Operational Risk Reporting to Senior Management
In this session, we will examine a framework for reporting operational risk to management that includes a review of operational risk drivers and explanations for losses expected and realized. Special emphasis will be given to performance, prediction, and prevention – all operational risk goals. Best practices or positioning teams for risk response and risk realization will be covered and a framework for integrating teams across IT, legal, audit, and operations for risk prevention.
Managing Crisis and Reputational Risks – Leadership of Operational Risk and Risk Contagion
We will examine the successful management of crisis and brand attacks and the role of leadership in overcoming such risk events. In particular, we will examine the crisis at BP and Toyota and how operational risk through contagion led to increased regulatory and reputational harm.
Advanced Operational Risk Modeling – Stress Testing, Scenario Analysis, and Preparing for the Unknown
This session will look at the development of dynamic, operational risk models that permit business-line stress-testing and scenario analysis. We will cover the use of experts in preparing scenarios and metrics needed to capture operational risk in scenario testing. Stress testing and Monte Carlo simulation models for operational risk will be presented along with scenario analysis and best practices for developing case-specific scenario with experts and teams.
Enterprise Risk – The Role of the CRO in Managing Risks
In this session, we examine how risk can lead to unexpected regulatory risk and changes in market conditions. Through cases, we will examine how risk leadership actions impact enterprise risks and can lead to new, unbounded risks. The challenges facing banks and insurers in the post-crisis environment will be examined. Lessons on enterprise risk, from the housing crisis to the new regulatory environment, will be presented. We will also examine the role of the firm’s culture for risk taking in driving enterprise risk exposure.
Leading the Enterprise through Enterprise Risk (Case Study)
In this session, we will examine the relevant parties to enterprise and operational risk. We will examine a case of an operational risk ignored and how it grew to a large regulatory and reputational risk that shocked the enterprise. We will also examine the public nature of an operation and the volatile nature of victims in transforming operational risk to reputational and regulatory risk. Our points of focus will include identifying operational risks that can lead to regulation, brand attacks, and reputational harm, the examination of important customer-facing operations that lead to operational risk, especially critical IT systems, and the role of model risks in the insurance and banking industry and how operational risk contributes to it.
Enterprise Risk Management Best Practices and Economic Overview from the US This session will include an evaluation of leading risk Management cases, including the US Subprime Crisis and JP Morgan Chase. We will look at how some firms correctly anticipated the great crisis of 2008 and what can be done doing forward to prepare for the next crisis. Additionally, we will examine latest economic data on the US economy and risk expectations going forward.
Russell Walker, Ph.D. is Clinical Professor at the Kellogg School of Management. Dr. Walker has expertise in Big Data and Analytics, Risk Management, and International Business Strategy. He has developed and taught leading executive programs and MBA classes on Big Data and Analytics, Strategic Da...