Financial Risk Manager Crash Review Course

Day One

08.30 - 08.45  Welcome Address

08.45 - 12.00  Quantitative and Fixed Income Analysis

• Time value of money
• Probability distributions and their properties
• Correlation and regression analysis
• Correlation and regression forecasting
• Exercises
• Bond pricing, yield analysis
• Price volatility of bonds
• Yield curve and duration
• Exercises
• Test

12.00 - 13.00  Lunch

13.00 - 17.00  Capital Markets

• Fixed income derivatives
• Foreign exchange derivatives
• Futures, forwards
• Exercises
• Swaps
• Options
• Equity derivatives
• Commodity derivatives
• Emerging markets
• Exercises
• Test

Day Two

08.30 - 08.45  Recap

08.45 - 12.00  Market Risk Management

• Interest rate risk
• Foreign exchange risk
• Equity risk
• Commodity risk
• Emerging market risk
• Liquidity risk
• Derivatives risk
• Portfolio risk
• VaR
  - Approaches to VaR
  - Parametric VaR
  - Delta-Normal VaR
  - Simulation VaR
  - Stress Testing
• Test

12.00 - 13.00  Lunch

13.00 - 17.00  Credit Risk Management

• Credit exposure and credit risk
• Counterparty exposure and countparty risk
• Default probability and recovery rate
• Credit rating migration
• Netting
• Margin and Collateral Requirements
• Pre Settlement Risk
• Settlement Risk
• Counterparty Risk
• Portfolio credit risk
• Measuring and managing credit risk
• Credit derivatives
• Exercises
• Test

Day Three

08.30 - 08.45  Recap

08.45 - 10.30  Operational & Integrated Risk Management

• Operational risk
• Policies and procedures
• Best practices
• Business structure
• Firmwide risk management
• Calculation of risk capital
• RAROC
• Model risk
• Other risks
• Exercises
• Test

10.45 - 12.00  Legal, Accounting, and Tax Risk Management

• Legal, Accounting, and Tax Aspects
• Legal risk
• Accounting risk
• Tax risk
• Exercises
• Test

12.00 - 13.00  Lunch

13.00 - 15.00  Regulation and Compliance

• BIS Capital Accord (1988)
• The New Basel Capital Accord (2001)
• BIS Market Risk Amendment (1996)
• EU Capital Adequacy Directive
• Exercises
• Test

15.15 - 16.15  Final "Stress Test" of participants

16.15 - 16.30  Evaluation and Termination of the Course

Financial Risk Manager® a FRM® are registered trade marks of GARP.