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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