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Risk Management, Modeling And Regulations

COURSE DESCRIPTION

The program will cover the concept of risk, the various types of risks such as Credit risk, Liquidity risk, Interest rate risk, Exchange /Currency risk etc., their measurement and how these risk can be mitigated. In this program, you would learn qualitative and quantitative techniques and tools for assessing the impact of risk. Through interactive exercises in excel and case studies, participants will be able to apply risk management theories, concepts, capital calculations and principles to Banking and Finance.

CERTIFICATION AWARDED

On successful completion of the program, you would be awarded the professional certification in “RISK MANAGEMENT, MODELING AND REGULATIONS” by Moody’s Analytics and EduEdgePro.

COURSE COLLATERALS AND HIGHLIGHTS

  • Detailed Risk Frameworks for identifying and measuring risk
  • Working with market data to calculate Value-at-Risk in Excel and aggregate exposures
  • Excel models to calculate Portfolio Value-at-Risk
  • Monte Carlo simulations using Excel-VBA and applications to VaR and PFA calculations
  • Exhaustive reading material covering detailed 6 sections outlined below
  • Practical hands-on Risk Modeling and Analytics useful for careers in Banking, Risk and Global Markets

COURSE OBJECTIVES

  • How to measure and calculate Portfolio Risk
  • How to model Value-at-Risk and other risk measures for trading and banking
  • How to calculate Regulatory Capital from a Basel 2.5/3 perspective
  • Insights into Risk Management and Mitigation
  • Advanced coverage of Market, Credit and Operational Risk as covered under Basel
  • Coverage of Applied Risk Management and Analytics

WHO SHOULD ATTEND

This course is aimed at those who wish to explore the more advanced aspects of Risk Management to build a career in the below areas:
  • Commercial Banking and Treasury
  • Risk Consulting
  • Global Markets and Risk
  • Regulatory Capital Management
  • Market Risk
  • Credit Risk
  • Operational Risk
  • Model Validation
  • Quantitative Research
  • Credit Rating

Fast Facts

  • Certified by : Moody’s Analytics and EduEdgePro
  • Broad Coverage:
  • Foundations of Risk Management and Types of Risk categories
  • Risk Governance and Enterprise Risk Framework
  • Relationship between Capital and RWA
  • How to Measure Risk
  • Value-at-Risk Approaches and Implementation in Excel
  • Understanding Regulatory Capital under Basel 2 : Pillar 1 and 2
  • Understanding Basel 2.5 and 3
  • Market Risk Measurement and Basel 2.5
  • Credit Risk Measurement and Basel 2/3
  • Operational Risk Measurement
  • Regulatory capital for Credit Risk : Basel 3
  • Regulatory Risk and Latest Developments
  • Fundamental Review of Trading Book (FRTB)

  • DETAILED CURRICULUM

    It covers Foundations of Risk Management with an overview of various risk types, capital concept and how RWA is linked to capital. It also covers how risk is calculated, introducing popular measures of risk such as Value-at-Risk, Expected Shortfall and others.

    Foundations of Risk Management

    Overview of Risk
    • What is Risk Management
    • Overview of Risk Types
    • Risk Governance
    • Risk Management for trading books
    • Enterprise Risk Framework
    Relationship between Capital and RWA
    • Expected and unexpected losses
    • Economic Capital
    • Regulatory Capital
    • Concept of RWA
    • How are RWA and Capital linked

    How to Measure Risk

    Risk Measurement concepts
    • Measures of Risk
    • Introduction to Value-at-Risk
    • Expected Shortfall
    • Other popular measures
    • Volatility Calculation and Forecasting
    • Expected/Unexpected Loss Estimation
    Value-at-Risk Approaches and Implementation in Excel
    • Historical Simulation
    • Monte Carlo Methods
    • Delta Normal VaR
    • Stress Testing
    • Backtesting VaR

    This deals with regulatory capital concepts and calculations under Basel 2. Coverage includes capital calculations under Pillar 1 followed by Pillar 2 (ICAAP). The section covers Basel 3 in detail including how is it different from Basel 2 and the various new capital requirement categorizations including liquidity, leverage, countercyclical buffers, systemic risks, etc along with focus on counterparty credit risk

    Understanding Regulatory Capital under Basel 2

    Overview of Regulatory Capital
    • Basel Accord
    • Capital Adequacy : 3 Pillars
    Pillar 1
    • Pillar 1 : Minimum Capital Requirement
    • Standardized Charges and Methodology
    • Risk Weights>
    • RWA and Capital under Basel 2
    Pillar 2
    • Pillar 2 : ICAAP
    • Managing ICAAP and Risk Dossier

    Overview of Basel 3

    Basel 3 and Regulatory implications
    • How is Basel 3 different from Basel 2
    • Capital Management under Basel
    • Capital ratios : Buffers and Procyclicality
    • Leverage Ratios
    • Liquidity Ratios
    • CVA and Counterparty Risk Charges

    This specifically deals with Market Risk Measurement and Modeling, with a special emphasis on Basel 2.5. It covers in detail the important new regulatory capital calculations under market risk through Basel 2.5 including VaR, SVaR, IRC and CRM. The section also covers the important market risk sensitivities used by banks as well as market risk mitigation techniques.

    Market Risk Measurement and Framework
    • Risk sensitivities for various asset classes
    • Risk Factor Mapping and Aggregation
    • Technical Framework for Market Risk Calculation
    • Calculating Portfolio Market VaR
    Important Market Risk Sensitivities
    • DV01
    • Equity Delta
    • Option Greeks
    • Credit spread DVOI
    Regulatory Capital and RWA for Market Risk
    • Market Risk Capital Charge and RWA (Basel 2.5)
    • Standardized Charges
    • Stressed VaR (SVaR)
    • Incremental Risk Charge (IRC)
    • Comprehensive Risk Measure (CRM)
    Market Risk Mitigation
    • Mitigation Techniques
    • Hedging Linear Risks
    • Hedging Non linear Risks

    This comprehensive section covers Credit Risk Measurement, Management and Mitigation. Particularly, topics under capital calculation, counterparty credit risk, portfolio credit risk modeling and credit risk mitigation are covered in great depth.

    Measuring Credit Risk
    • Default Probability Math
    • Understanding Probability of Default and Exposure at Default
    • Counterparty Risk Exposures
    Regulatory Capital for Credit Risk
    • Calculating Credit Risk RWA in a bank
    • Standardized Charges (Basel 2)
    • Credit VaR – Migration & Default
    • CVA Charges and Counterparty Risk Charges (according to Basel 3)
    Counterparty Credit Risk
    • Concepts of PFE, EE, stressed PFE
    • Counterparty Risk Calculation through IRS Example using Monte Carlo Simulations in Excel
    • Wrong Way Risk and Types
    Portfolio Credit Risk Modeling
    • Credit Scoring Models
    • Credit Portfolio Models
    Credit Risk Mitigation
    • Mitigation Techniques
    • Collateral and Haircut
    • Netting
    • Credit Derivatives Products for hedging credit risk
    • CV

    It covers the essentials of Operational Risk Management including risk measurement, modeling and mitigation.

    Operational Risk and Measurement
    • Introduction to Operational Risk
    • Operational risk computation: Steps involved in quantifying and aggregating risks, determining loss distribution, expected and unexpected loss.
    • Operational VaR
    Regulatory Charges for Operational Risk
    • Capital charge and RWA under Operational Risk
    • Basic Indicator Approach, The Standardized Approach (TSA), Advanced Measurement Approach (AMA).
    • Operational Risk Models
    Operational Risk Mitigation

    The final section covers the important latest regulatory developments in the area of Risk Management. Particularly, topics under Dodd-Frank, FRTB, CCAR and other regulations are covered in great detail. This would help you keep abreast with the latest regulatory developments and happenings in Risk..

    Latest Risk Regulations
    • Latest Risk Regulations
    • Dodd-Frank Act
    • CCAR
    • Other BCBS Standards
    • FRTB

    DETAILED CASE STUDY AND EXCEL IMPLEMENTATION

    Let us bring our classes to you! Our in-house training are ideal for groups of 10 or more people. We can provide Off-the-shelf training in the form of our classic courses, or we can provide bespoke training, tailored to your organisational goals and objectives. Please contact us for further details