Fundamentals of Risk Management

Course details

The challenges of the last few years have renewed the focus on risk in financial services companies

This Fundamentals of Risk Management course describes in detail the identification, measurement, and management of the main categories of risk to which banks are exposed, namely:

• interest rate risk
• market risk
• liquidity risk
• credit risk and counterparty credit risk (CCR)
• operational risk

Course Content

Online Pre-work

• Risk Management – An Introduction
• Risk Management – Measurement & Management

Classroom

Day 1

Overview of risks

• Identify and Categorize Risk within the client (Business Risk, Economic Risk, Credit Risk, Operational and Reputational Risk, Market Risks) (1)
• Quantitative Measures employed (VaR, static position limits, Management Action Triggers, Stop Loss
• Qualitative Measures employed ( Qualified Persons, Audit Function, Legal and Compliance)
• Mini Case Study – Identify the multiple risks in an FX Forward Trade or Portfolio

Risk Management

• Client Risk Control Structure
• Treasury’s Role In Risk Management
• Risk Management Culture And The Human Element
• LTCB Case Study

Liquidity Risk

• Analyze FX Long/Short Positions And Associated Liquidity Risk
• Recognizing Liquidity Traps Relevant
• Mini Case Study – FX Forward Average Rate Exposure

Operational Risk

• Economic Risk Capital and Operational Risk
• Fraud and Security
• Client Validation And Compliance Procedures
• Key Personnel Profiling
• Legacy Issues In I.T
• Case Study – I.T Architecture

Operational Risk

• Protocol and Adherence
• Audit Process At the client
• Internal Clients/Portfolios
• Case Study – National Australia Bank Aud FX Options

Day 2

Operational Risk

• Provisions
• Cancellations And Corrections
• Red Flags
• MATs
• Case Study -Societe Generale

Credit Risk

• Quantitative Measures Employed (Credit VaR)
• Static Measures Employed ( Replacement Risk, Settlement Risk)
• Effect Of The Business Cycle On Measuring Credit Risk
• Market Risk And Credit Risk Linkage
• Mini Exercise – Calculate Counterparty Replacement Risk)

Credit Risk

• Credit Mitigation Techniques
• Netting And Documentation
• Collateral Management
• Client Trade Motivation And Classification
• Restructuring Trades, Credit Implications And The Risks
• Client Zero Credit Swap Case Study (Collateral Issues)
• Q&A, Summary & Close of Course

Learning Objectives

The key learning goals are:

• To maximize the effectiveness of the team members and to further develop their knowledge of risk management issues
• To understand potential issues facing treasury sales, operations & audit functions
• Ensuring a strong foundation in Risk factors and Audit functions
• Understand the issues facing Internal Audit, particularly regarding Operational Risk
• Develop participant’s knowledge of the Credit Crisis and its effect on risk management and control

Who Should Attend

The programme is targeted at Staff from these departments

• Treasury sales
• Operations
• Internal audit
• Risk management
• Credit Risk