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New York Institute of Finance

Risk Management Tools and Practices

Next dates

Jul 10
New York, New York, United States
USD 1219
USD 1219 per day
Dec 4
New York, New York, United States
USD 975
USD 975 per day

Description

Introduction to risk management techniques including the use of standard hedging instruments, asset-liability management and integrated risk management.

This course is a component of the Risk Management Professional Certificate.

Prerequisite knowledge:

  • Basic MS Excel skills
  • Basic probability and statistics
  • Basic knowledge of financial securities and markets

CURRICULUM

Day 1

MODULE 1: RISK MANAGEMENT TOOLS AND PRACTICES

  • Risk management tools - Index futures, Equity swaps, Options
  • Exposure and loss limits

MODULE 2: ASSET-LIABILITY MANAGEMENT

  • ALM governance
  • Interest rate risk on the balance sheet - Funding / rate gaps, Duration gaps, Balance sheet immunization
  • Liquidity risk on the balance sheet
  • Credit risk on the balance sheet
  • Market value of equity at risk
  • Securitization: An ALM tool

MODULE 3: OPERATIONAL RISK AND INTEGRATED RISK MANAGEMENT

  • What is operational risk? - Internal fraud, External fraud, Employment practices, Obligations to clients
  • Examples of operational risk failures - Rogue Trading: Allied Irish Bank, 2002, Customer Business: Enron, 2001, Rogue Trading at Societe Generale, 2008)
  • Operational Value at Risk
  • Integrated risk management - Economic capital, risk capital and regulatory capital
  • Risk Governance: Best practices

WHAT YOU'LL LEARN

  • Define the basis and the various sources of basis risk, and explain how basis risks arise when hedging with futures
  • Define cross hedging and the minimum variance hedge ratio and hedge effectiveness
  • Define and interpret the optimal number of futures contracts needed to hedge an exposure, including a “tailing the hedge” adjustment
  • Demonstrate how to use stock index futures contracts to change a stock portfolio’s beta
  • Understand covered call and protective put strategies
  • Understand the purpose and pay-offs of various option spread strategies
  • Describe the ALM function of a typical commercial bank
  • Understand balance sheet risks associated with funding gaps and duration gaps
  • Define, compare and contrast economic capital, risk capital and regulatory capital

Who should attend

  • Risk managers and assistants
  • trading assistants
    • finance professionals
    • auditors and controllers
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