Financial Risk Management in Practice

Saturdays
9:00 am - 5:00 pm

“JP Morgan Trading Losses May Reach $ 9 Billion”

“UK's Big 4 Banks Agree to Settlement Over Swaps Scandal”

“Spain Requests $ 77 Billion in Bailout Funds”

“Risky Bank Behavior is Growing: BIS”

Four years after the 2008 financial crisis - the worst financial crisis since the Great Depression - the world faces far worse uncertainties and danger with the potential. One in a million event (Eurozone debt crisis, massive trading losses) seems to happen more frequently than ever. In this world of extreme uncertainties, risk management can no longer be divorced from the underlying business activities. Those who thrived in this crisis are organizations with superior risk management practices. Hence, risk management has evolved from being a compliance matter to a source of competitive advantage.

Further, far reaching regulatory reforms from Basel III to Dodd Frank…new accounting requirements under IFRS 9 are expected to radically change the strategic business models of financial institutions.

This course goes beyond the usual introductory risk management course and highlights the theory and practice of financial risk management for financial institutions. This course will discuss the application and limitations of modern risk measurement tools in the area of market risk, credit risk, and liquidity risk.

Note to FRM Candidates: This course is an overview of the FRM curriculum. This will include practical spreadsheet applications of risk measurement concepts.

In this present crisis, everyone in an organization is a risk manager. This course is recommended for individuals involved in the following functions:

Risk Management
Investment Management
Internal and External Audit
Accounting and Controllership
Treasury
Students and Candidates of FRM and PRM (Professional Risk Manager)

This course is particularly suitable for those who are in financial institutions and publicly listed corporations facing numerous financial risks. This course may also be taken by prospective FRM and PRM exam candidates as a pre-course to gain a comprehensive and solid background of risk management. FRM is the gold standard certification in risk management. Being a certified FRM will provide you the opportunity to be a globally recognized financial risk practitioner.

I. Creating value with risk management

A. The changing nature of risk: a review of the 2008 financial crisis
B. How risk management creates value and competitive advantage
C. Introductory risk and risk management concepts
D. Developments in risk management (corporate governance and risk management,
    Basel III, Dodd Frank Act, accounting developments)

II. Market risk management

A. Defining market risk
B. Basic concepts in market risk management
C. First generation market risk measurement tools
D. Value-at-Risk (VaR): The pillar of market risk measurement (basic mechanics/calculation/spreadsheet implementation: parametric approach, historical simulation, Monte Carlo)
E. Limitations of Value-at-Risk
F. Backtesting market risk models
G. Alternative market risk measurement models
H. Best practices in market risk management and reporting

III. Balance sheet risk management

A. Introduction (S&L Crisis, Equitable Life Case, Metallgesellschaft Case)
B. Objectives of Asset and Liability Management (ALM)
C. Key ALM activities
D. Interest rate risk (sources of interest rate risk, interest rate risk, management from an earnings and economic perspective)
E. Tools in interest rate risk measurement (repricing gap, earnings-at-risk, standardized gap, simulation models, duration gap analysis)
F. Liquidity risk
G. Tools in liquidity risk measurement
H. Contingency fund planning and living wills
I. Basel III and liquidity risk

IV. Credit risk management

A. Introduction to credit risk
B. Fundamentals of credit risk measurement
C. Actuarial default risk measurement (credit event, default rates, recovery rates)
D. Interaction of credit risk and market risk
E. Credit exposure measurement
F. Basel III and the credit valuation adjustment
G. Modern credit risk management techniques

V. Operational risk management

VI. Emerging issues in risk management

A. How Basel III will change the risk landscape
B. Sovereign risk measurement
C. Addressing model risk
D. Stress testing
E. Dealing with Black Swan events
F. International Swaps and Derivatives Association (ISDA) Master Netting Agreement

VII. Integrated risk management

is currently a Vice President of the Structured Solutions Group of a global Dutch Bank.