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FINANCIAL MARKET COURSES

Risk - Measurement & Management

Banks in recent years had been feeling increasingly sanguine about their ability to deal with risk. However, the events between 2007 and 2009 eradicated any complacency in the area. The complexities and subtleties of financial risk generated some unpleasant surprises, despite the extensive advances in the quantitative and qualitative work performed in the area. This course examines the foundations of both risk measurement and management, and analyzes the increasing need for banks to pay attention to the regulatory context.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Explain how risk measurements are used in and across different business areas and outline the major difficulties faced in measuring risk

    Describe the organizational challenges facing a bank as it deals with risk management and measurement issues and outline the key processes of risk management

    Explain how regulatory risk management affects the process for an individual bank

  • COURSE OUTLINE

    Topic 1: Risk Measurement

    Quantitative Measurements

    Sensitivity

    Basis Risk

    Introducing Volatility

    Comparing Volatility in Different Time Periods

    Volatility Conversion Formulas

    Value at Risk (VaR) – The Whole Picture?

    VaR – The Objective

    Problems

    o Distributions

    o Time and Historical Data

    o Prices/Fair Values

    o Correlation Risk

    o Data Collection

    The Problems of Abstraction

    Qualitative Vs. Quantitative Measurement

    Topic 2: Managing Risk

    Responding to Risk – Organization

    Responding to Risk – Techniques

    o Pricing (Rationing)

    • Risk-Adjusted Performance Measurement (RAPM)

    o Limits

    o Hedge/Transfer

    Risk Mitigation

    Topic 3: Regulatory Context

    Big Brother is Watching

    Risk-Weighted Assets (RWAs)

    Basel I, II,..III?

    More Reports for Regulators

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    75 Minutes

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