Integrated Financial Risk Management

Day One

09.00 - 09.10  Welcome Address

09.10 - 10.15  Financial Risk Management in a Global Economy

• Recent Developments in Financial Markets
• Overview of Financial Risks and their Interactions
• An Integrated Approach to Risk Management

10.30 - 12.00  The New Basle Accord

• The 1988 Accord
• The Market Risk Amendment
• What' s Wrong with the Current Accord?
• The New Accord
  • New charges for credit risk
  • Charges for operational risk
  • Possible impact on financial markets

12.00 - 13.00  Lunch

13.00 - 16.30  Measuring Market Risks

• Interest Rate, Foreign Exchange, Equity, Commodity Risks
• Liquidity Risk as Special Type of Market Risk
• Stand-alone Risk Calculation
• Portfolio Risk
• VaR
  • Parametric VaR
  • Delta-Normal VaR
  • Simulation VaR
  • Extreme VaR
• Monte Carlo Techniques
• Stress Testing
• Exercises

Day Two

09.00 - 12.00  Managing Market Risk

• Overview of Risk Management Techniques
• Using Derivatives in Market Risk Management
  • Advantages/disadvantages of using derivatives
  • Types of derivatives
• Hedging Market Risks with Futures and Options
  • Types of futures and options and their properties
  • Steps in the hedging process
  • Choosing the right instrument
  • Calculating the hedge ratio
  • Implementing and monitoring the hedge
• Exercises

12.00 - 13.00  Lunch

13.00 - 16.30  Managing Market Risk (cont' d)

• Hedging Interest Rate Risk with FRAs and Swaps
• Micro Hedges
• Macro Hedges
• Hedging Interest Rate Risk with Caps, Floors, Collars and Swaptions
• Hedging FX Risk with Forwards and Swaps
• Managing Derivatives Risk
  • Risk warehousing
  • Managing counterparty exposure
• Exercises

Day Three

09.00 - 12.00  Measuring Credit Risk

• Types of Credit Risk
  • "Classic"
  • Counterparty risk
  • "Herstatt" risk
• The Integration of Credit and Market Risk
• Modelling Credit Risk
  • Option-theoretical approach
  • Rating Migration Approach
  • Actuarial Approach
• Measuring Credit Risk
  • Default probability and recovery rate
  • Credit rating migration
  • Portfolio credit risk
• Exercises

12.00 - 13.00  Lunch

13.00 - 16.30  Managing Credit Risk

• Mitigating Credit Risk
  • Netting
  • Collateral management
  • Credit derivatives
• Using Credit Derivatives
• Credit Default Swaps
• Total Return Swaps
• Credit Options
• Credit Spread Forwards and Options
• Credit-linked Notes
• Asset Securitisation
• Synthetic Securitisation
• Exercises

Day Four

09.00 - 12.00  Operational & Integrated Risk Management

• Business Structure
• People Risk
• Technology Risk
• Legal Risk
• Model Risk
• Accounting and Tax risk
• Using RAROC as a Management Tool
  • The strategic role of "Economic Capital' in bank management
  • Calculating and using RAROC for risk capital allocation
• Requirements of a Sound Risk Management System
• Recommendations for Sound Risk Management Policies
• Exercises

12.00 - 13.00  Lunch

13.00 - 15.30  Risk Management after FAS133/IAS 39

• Introduction and Background
• Overview of Principles in FAS133/IAS39
• Differences between FAS/IAS
• Examples: Valuation and Fair Value Accounting for Selected Risk Management Positions
• How FAS 133/IAS 39 Will Affect the Risk Management Business

15.30 - 16.15  Test - PRMIA/FRM Style

16.15 - 16.30  Recap, Evaluation and Termination of the Seminar