Programme in preparation

Certification Programme: Risk Management in Banking

In cooperation with the House of Training Quality Circle in Risk Management and ALRiM


The certification programme: Risk Management in Banking, provides participants with a solid foundation in risk management, which can serve as an entry for advanced level specialisation. The programme consists of four parts:

  • Fundamentals of Risk Management
  • Measuring and Managing Operational Risk
  • Measuring and Managing Market Risk
  • Measuring and Managing Credit Risk
  • Measuring and Managing Liquidity Risk

Target group

Professionals from banks (commercial and central), financial institutions or supervision authorities such as risk managers, auditors and department managers, with at least 3 years of experience in the banking environment.

A very good command of English is required.


The participants will have their newly acquired knowledge validated through a written exam, and will be granted a certificate of success issued by the Luxembourg Association for Risk Management (ALRiM) and the House of Training.

Location & duration

in Luxembourg: 10 working days, exam included


Detailed programme Explode

Day 1: Fundamentals of Risk Management


  • 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


  • 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


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.

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