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Day 1: Fundamentals of Risk Management

Introduction

• Risk and risk management
• Types of financial risk
• The Basel Committee on Banking Supervision
• Measuring and managing risk

Fundamentals of Market Risk

• Market risk in banking
• Components of market risk

Fundamentals of Credit Risk

• Components of credit risk
• Counterparty/settlement risk
• Default risk
• Downgrade risk and the rating agencies

Fundamentals of Operational Risk

• Causes of operational risk
• Operational risk management cycle
• Risk and control self-assessment

Fundamentals of Liquidity Risk

• Liquidity risk as a consequential risk
• Types of liquidity risk
• Asset and liability management

Future Trends in Risk Management

 

Day 2 and 3: Measuring and Managing Market Risk

Components of Market Risk

• Equity risk
• Interest rate risk
• Currency risk
• Commodities risk

Market Risk on Derivatives and Portfolios

Value at Risk and Stress Testing

• Characteristics of VaR
• Methods of calculating VaR
• Stress testing
• Back testing and scenario analysis

Regulatory Environment for Market Risk

• Market risk in the Basel Accord
• Standardised Method
• Internal Model Approach

Market Risk Reporting

 

Day 4 and 5: Measuring and Managing Credit /Counterparty Risk

Introduction and Definitions

• Components of credit risk
• Variables in credit risk models

Credit Risk in Different Financial Instruments/Activities

• Lending
• Bonds
• Derivatives

Internal Credit Assessment

External Credit Ratings

Key Concepts of Credit Risk Measurement

• Default and Transition Matrices
• Expected Loss (EL) and Unexpected Loss (UL)
• Credit portfolio management and Credit VaR

Regulatory Requirements for Banks

• The Standardised Approach
• The Internal Ratings Based (IRB) Approach
• Credit risk mitigation techniques
• Counterparty credit risk

Credit Risk Reporting

 

Day 6 and 7: Measuring and Managing Operational Risk

Introduction

• What is operational risk?
• Why has operational risk become so important?

Key Concepts of Operational Risk

• Causes of operational risk
• Event types
• Types of impact from operational risk

Analysing the Causes of Operational Risk

• Processes
• People
• Systems
• External Events

Operational Risk in the Basel Accord

• Basic Indicator Approach
• The Standardised Approach
• Advanced Measurement Approach

Operational Risk Management Cycle

• Identify
• Assess
• Mitigate
• Monitor and report

Loss Data Collection/Processing

• Incident database
• Key risk indicators
• Risk mapping
• Risk & control self assessment

Organisational Aspects

• Governance
• Three lines of defence
• Organising operational risk management

Day 8 and 9: Measuring and Managing Liquidity Risk

Introduction

Liquidity Risk Management Framework

Governance and organizational structure

Asset liquidity risk

Funding liquidity risk

Liquidity risk measurement

Liquidity risk contingency planning

Liquidity risk regulation

• LCR and NSFR
• Intraday Liquidity Monitoring
• Basel Leverage Ratio
• Pillar II and IFRS
• CSSF regulation

The financial crisis 2007 – 2009

Case studies from the financial crisis

• Northern Rock
• Bear Stearns

Day 10:

Wrap-up and revision time in presence of a House of Training expert

Written exam based on all covered topics during the 2-week course in Luxembourg.

Remark: By delivery date, any training documentation shall be subject to regular reviews and updates amending the table of content as described herein.