This IABFM-certified course provides participants with in-depth knowledge and up-to-date advice on best practicesin risk measurement and management activities in business organizations. In addition to its focus on the most crucial risk terminologies and practicalities such as ERM, risk maps and risk-based decisions, the course covers the main types of risk faced nowadays by most business organizations such as operational risk, credit risk, liquidity risk and market risk. Using interactive tasks and real life case studies, the course also enables participants to apply the knowledge they will learn about risk measurement and management in designing effective ERM frameworks, devising comprehensive risk maps and making successful risk-based decisions which coincide with their company’s risk culture, appetite and tolerance. Moreover, participants will have the opportunity to work in teams to analyze comprehensive cases, solve practical problems and apply the concepts learnt to real world scenarios in a comprehensive risk management context. Overall, this course aims to communicate complex concepts and sophisticated techniques of risk planning, measurement, management, reporting and disclosure in a truly interesting but highly effective way.
DAY 1Overview of Enterprise Risk Management (ERM)Session 1»» Definitions, Benefits and Components of ERM»» Corporate Governance: codes of conduct, best practices and interactions between corporate governance and ERM»» International Regulations: Basel Accords I, II & III and Solvency IISession 2»» Risk Mapping: risk definitions, classifications and drivers»» Governance, Risk and Compliance (GRC) Systems»» Data and Technology Management: data management, early warning systems, interface building, middleware, distributed architecturesSession 3»» Stakeholder Management: employees, customers, regulators, rating agencies, shareholder service providers,business partners»» Alternative Risk Transfer (ART) Techniques: definitions, benefits and problems of ART»» Risk-based Decision Making: risk-based audits, ERM decisions and actions, ERM and value creation,problems with risk-based decision makingSession 4»» Group and Plenary Discussions: what are the future challenges and potentials of ERM?»» Interactive Tasks: design an effective ERM Framework»» Comprehensive Case Studies: how to build risk maps, select ART techniques and make risk-based decisions
DAY 2Operational RiskSession 1»» Overview and Definition of Operational Risk: overviewand foundations of the operational risk framework»» Regulations of Operational Risk: Basel Accords I, II & III»» Impact of the Financial Crisis»» Risk Culture, Risk Appetite and Risk Tolerance:implementing and monitoring operational risk appetite»» Operational Risk Governance: roles of operational risk officers and risk committees, interactions and collaborations between the operational risk and internal audit functionsSession 2»» Internal Operational Risk Data: event Categories, business Lines, minimum loss data thresholds»» External Operational Risk Data: sources and challenges of external loss data»» Risk and Control Self-assessments (RCSA): approaches, scoring methods and best practices»» Key Risk Indicators (KRIs): selection, thresholds, standards and challengesSession 3»» Operational Risk Regulatory and Economic Capitals: OpVaR, risk-weighted assets (RWAs), Extreme Value Theory and tail events»» Operational Risk Measurement Approaches: Basic Indicator Approach, Standardized Approach andAdvanced Measurement Approach»» Operational Risk Insurance»» Operational Risk Disclosures: Basel II, Pillar 3 requirements»» Operational Risk Reporting: loss data reporting, action tracking reporting and dashboardsSession 4»» Group and Plenary Discussions: what are the future challenges of identifying and quantifying operational riskexposures? How to address these challenges?»» Interactive Tasks: quantify the operational risk exposure»» Comprehensive Case Studies: how to measure, report and disclose on operational risk exposures
DAY 3Operational Risk and Credit RiskSession 1: Operational Risk»» Scenario Analysis: approaches, outputs, reports and challenges»» Stress Testing: approaches, outputs, reports and challenges»» Governance, Risk, and Compliance (GRC): converged or GRC reporting»» Reputational Risk: regulatory oversight of reputational risks, reputational risk management framework»» Fraud Risk: internal fraud, external fraud, anti-fraud regulations and best practicesSession 2: Operational Risk»» Group and Plenary Discussions: how can risk professionals enhance the effectiveness of related risk management activities such as legal and regulatory risk management, people risk management, technology risk management and strategic risk management?»» Interactive Tasks: perform a scenario analysis of real life situations»» Comprehensive Case Studies: how to do a plausible stress testingSession 3: Credit Risk»» Short-Term Exposure to Changes in Market Prices: credit instruments, models of short-term credit exposure, risk reporting for market credit exposures»» Modelling Single-Name Credit Risk: estimating the Probability of Default (PD), Loss Given Default (LGD) and Amount Owed at Default (AOD), The Option-Theoretic Approach»» Portfolio Credit Risk: estimating default correlations, Monte Carlo simulation, computational alternatives to full simulation, risk reporting for portfolio credit exposuresSession 4: Credit Risk»» Group and Plenary Discussions: what are the recent innovations in credit instruments and their risk implications?»» Interactive Tasks: estimate PD, LGD and AOD in real life situations»» Comprehensive Case Studies: how to impellent best practices in managing and reporting on portfolio credit risk
DAY 4Credit Risk and Liquidity RiskSession 1: Credit Risk»» Definition and Scope of Multiname Credit Derivatives»» Modelling of Multiname Credit Derivatives»» Risk Management and Reporting for Multiname Credit Derivatives»» Collateralized Debt Obligation (CDO) Tranches and Systematic RiskSession 2: Credit Risk»» Counterparty Credit Risk»» Exchange-Traded Derivatives»» Over-the-Counter Derivatives: the Loan-Equivalent Approach, Collateralization Approach and Active Management ApproachSession 3: Liquidity Risk»» Liquidity Risk»» Monitoring Liquidity, Liquidity Buffer and Term Structure of funding»» The Links between Credit Risk and Liquidity Risk»» Cost of Liquidity and Fund Transfer Pricing»» Liquidity Risk and the Cost of Funding in Derivative ContractsSession 4: Credit Risk and Liquidity Risk»» Group and Plenary Discussions: how to jointly manage credit risk and liquidity risk to maximize value created?»» Interactive Tasks: build a comprehensive credit risk management and reporting framework»» Comprehensive Case Studies: how to effectively use derivatives to manage both credit risk and liquidity risk
DAY 5Market Risk and Final ExamSession 1»» Model Risk: model risk evaluation and control, model verification of deal representation, model verificationof approximations, model validation, continuous and periodic reviews»» Liquid and Illiquid Instruments: choice of model validation approach, choice of liquid proxy, design of Monte Carlo simulation, implications for marking to market and risk reporting»» Spot Risk: foreign exchange spot risk, equity spot risk, physical commodities spot riskSession 2»» Forward Risk: financial instruments, mathematical models, risk reporting»» Vanilla Options Risk: path dependence of dynamic hedging, simulation of dynamic hedging, delta hedging, volatility surface, risk reporting»» Exotic Options Risk: single-payout options, time-dependent options, path-dependent options, correlation-dependent options, correlation-dependent interest rate optionsSession 3»» Group and Plenary Discussions: how can risk professionals cost-effectively minimize model risk?»» Interactive Tasks: apply dynamic and delta hedging and build a volatility surface in real life situations»» Comprehensive Case Studies: how to timely and fairly report on market risk exposures and management practicesSession 4»» Open Discussion on the Five-day Event»» Q & A between the Trainer and Participants»» Final ExamFor more details, feel free to email me artan.u@leoron.com or call me at our toll free number: +971 800 536766