About the course
You will study the holy trinity of the risk management framework, the identification of risk, the quantification of risk and the management of risk within risk appetite and market constraint.
You’ll appreciate the concept of “whole entity” risk management. Integration of risk as a core process within all spheres of activity is vital – you’ll examine issues of governance, organisational structure, IT platforms, staffing, training and compensation.
You'll return to work able to:
- Use your new understanding of risk and reward to make positive changes to your company’s governance, structure, processes, limits, training, recruitment and staff retention
- Perform calculations of risk measures such as BP01, delta, CVaR and evaluate the risk models used in your firm
- Engage with other stakeholders of the firm, including regulators and shareholders on the issues of risk and risk management
- Make considered decisions on appropriate risk limits factoring in external constraints such as market structure, access, liquidity, central bank activity and political environment
What You Will Learn
The course begins with an overview of risk and return in banking and finance and how these are intimately linked with the economy and monetary policy. You’ll look at regulation with case studies and examples of Basel III / IV regulatory calculations, then focus on the specifics of market risk across assets classes, stressing the intimate relation with liquidity risk and its constraints. Hedging and risk control tools are extensively discussed, including securitisation techniques for balance sheet management and ALM. You’ll study credit risk, credit evaluation and the impact of default correlation as a major risk factor for tail risk. You’ll move onto operational risk and its overlap with all other risk areas and tackle liquidity risk.
Case studies and exercises ensure you make the transition from theory to practice with outstanding success.
Course programme at a glance
- Introduction to the types of financial risk
- Introduction to the quantitative risk management
- The importance of regulation
- The evolution of the international ‘rules’ for bank capital adequacy assessment
- Factor sensitivity analysis for measuring market risk
- Monte Carlo simulation
- Market value-at-risk
- VaR estimation for a simple portfolio
- Additional risk measurement methods
- Economic and regulatory capital for market risk
- Managing market risk
- Introduction to credit risk
- Default risk from a historical/actuarial perspective
- Default risk from market prices of securities
- Credit risk exposure
- Credit derivatives
- Credit risk management
- Risk, capital and management
- Management perspectives on capital allocation and types
- Other risk types
- Operational risk
- Asset and liability valuation
- Liquidity risk
- The future of risk
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
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.