Course Overview

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About the Programme

This course is designed to extend your practical knowledge and understanding over the breadth and depth of financial risk management as practised by institutions in today's volatile and complex markets.  Picking up where many other courses leave off, it explores the connected nature of risk across market, credit, operational, liquidity, reputational and other risks.  In particular, it looks at the techniques and methodologies employed in risk estimation and their strengths and weaknesses including their relationship to regulation and capital. Moreover it looks at how risk is really managed (or not!) currently.


The course itself is a perfect balance of theory and practice with great emphasis on practicality and hands-on issues.  It carefully examines techniques such as value-at-risk, credit modelling, stress testing and scenarios.  It also looks at how Basel II and III impact risk and risk management, as well as risk management techniques in fund management.  Finally, it asks the question - what have we learned from the "credit crunch"?


The five days are designed to be highly interactive with examples and workshops, plus plenty of opportunity for questions and discussion with the course leader and other delegates.


Course Objectives


At the end of this course, participants will gain an in-depth practical insight into:

  • Cutting-edge market risk methodologies
  • The tools and techniques needed to measure market risk effectively
  • Successful stress and scenario testin
  • Effective liquidity risk management
  • Practical credit risk modelling and management
  • How credit derivatives can be used to manage credit risk
  • The role of capital and the relationship to other risks
  • The impact of Basel II – the latest developments in regulation and capital requirements in light of the credit crisis
  • The lessons learned from the credit crisis

Who Should Attend

CEOs, CFOs, managing directors, general managers, finance managers, management accountants and other finance professionals, business development managers, business planning managers, sales and marketing managers, business unit managers, management accountants, audit and risk managers.

Course Outline

Advanced Risk Management Course Content


Market Risk Management

  • Introduction
  • What is risk management?
  • Why do we need it?
  • Risk management vs. risk measurement
  • Risk management, regulation and capital
  • What is advanced risk management?


Market Risk - Methodology

  • The origins of market risk
  • Sensitivities and The Greeks
  • Why have limits?
  • Value-at-Risk – is it any use?
  • What else can we do to control risk?


Computer Based Workshop: Market risk measures


Market Risk – Stress and Scenarios

  • Why do we need stress and scenario testing in addition to VaR?
  • How should we do stress and scenario testing?
  • Why do the regulators want to see it done?


The Division between Market and Credit Risk

  • The trading vs. banking business model
  • The regulatory divide
  • Impact of liquidity and funding
  • Market type risk in traditional banking activities
  • How it all went wrong in 2008 – the credit crunch


Funding and Liquidity Risk Management

  • Asset liability mis-matches in the balance sheet
  • Gap analysis
  • Funding alternatives – e.g. securitisation, SIVs and conduits
  • Funding, asset/liability liquidity and derivative pricing/hedging – Any linkage?


Market Risk Management for Funds

  • Why do Fund Managers need different tools?
  • Alpha, Beta, Sharpe Ratio, Information Ratio – what is it for?
  • The impact of leverage
  • Thinking like a Fund Manager's Risk Manager


Credit Risk

  • Introduction
  • What is credit risk and how does it fit / overlap with the other risks?
  • The key drivers of credit risk
  • Market and credit risk together
  • Measurement of credit risk


Portfolio Credit Risk

  • Pricing and risk management of loan portfolios
  • Estimating probabilities of default, exposure at default and loss given default
  • Actuarial approaches, transition matrices
  • Market-based approaches, bond spread and Merton (KMV) model
  • Building a credit risk model
  • Using the models to set limits and monitor risk
  • Workshop: Simple portfolio credit risk modelling


Managing Credit Risk

  • Traditional techniques
  • Securitisation and risk transfer
  • Regulatory capital, Basel II and AIRB
  • Measuring performance and ROC


Credit Derivatives

  • How can credit derivatives be useful in managing credit risk?
  • Credit default swaps, single and multiple name
  • Tranche CDS
  • Issues with CDS, basis, documentation
  • Correlation issues
  • N to default type structures
  • Spreadsheet Exercise: Basket products


Managing Credit Risk Collectively

  • The Role of Capital and the Relationship to Other Risks
  • What is capital for?
  • Risk and capital performance measures such as RAROC, economic and regulatory capital
  • Allocating and managing capital
  • Raising capital and novel capital instruments


Basel II and Further Developments

  • The evolution of Basel – how did we get here?
  • The framework of market, credit and operational risk capital requirements – the three pillars
  • Operational risk methods – how do we build a model for AMA?
  • Overall requirements and best practice


What Risks Have Been Missed?

  • The role of pillars two and three in support of capital requirements
  • Liquidity risk – the new focus since the credit crunch
  • Intra-day and short-term risks
  • Reputational and strategic risk
  • Enterprise Risk Management
  • Case Study: The demise of Lehman Brothers – what went wrong?


Risk Measures and Reporting in Major Banks

  • What is done currently?
  • What may have to be done?
  • Discussion

Location, Pricing & Dates

All courses are available in-house (your preferred location) but throughout the year, we run selected courses as scheduled programmes. To view scheduled courses, please hover over dates on the calendar below.

This course is scheduled to run on the following dates:

Dubai: 5th - 9th May

London: 21st - 25th July

Nigeria: 8th - 12th December

Contact the Capworth Training Team for more information and to register for this course.