GLOBAL RISK MANAGEMENT
Foundations of Risk Management
- · Regulatory framework and history,
- · Risk management in banks,
- · Risk management for corporates,
- · The different types of risk,
- · Risk and insurance.
Market Risk
- · Market risk definition,
- · Risk factors and sensitivities,
- · Risk and Returns,
- · Statistics : mean, standard deviation, variance and correlations,
- · Loss distributions of return distribution,
- · Definition of a coherent risk measure,
Credit Risk
- · Regulatory framework of credit risk - basel 3 and Ifrs9
- · Credit rating and notation
- · Credit risk terminology and measure
- · Models in credit risk: loss given default (LGD), probability of default (PD)
- · Transition matrices,
- · The Credit Derivative Swaps (CDS),
- · Other credit risks: settlement, delivery,
Operational Risk
- · Introduction and definition
- · Risk categories and cartography
- · Severity and frequency
- · Operational risk models
- · Risk reporting and organisation
APPLIED MARKET RISK with EXCEL
Foundation risk management
- · Risk definition and risk factors, sensitivities,
- · Risk and returns,
- · Statistics: mean, standard deviation, variance and correlations,
- · Loss distributions, functions and percentiles
- · Excel tools, matrix calculus
VAR and Expected Shortfall
- · Horizon and confidence interval
- · VAR (Value At Risk) and ES (Expected Shortfall)
- · Historical VAR and percentile
- · Parametric VAR and covariance matrix
VAR decomposition
- · Decomposition of parametric VAR into component VAR
- · Marginal VAR
- · Analytical formula and simulations
Monte Carlo Simulations
- · Generation of random and pseudo random numbers
- · Choleski decomposition: algorithm
- · Simulations and VAR calculations