Advanced Risk Management

IFF - International Faculty of Finance
Training overview
Professional Course
Self-paced Online
3 days
From 2,999 GBP

Start dates
2,999 GBP
Start anytime

Course description

Advanced Risk Management

  • Develop the tools and techniques needed to measure market risk effectively
  • Master liquidity risk management
  • Use credit risk modelling and management
  • Employ credit derivatives to manage credit risk
  • Incorporate the latest developments in regulation and capital requirements
  • Use the lessons learned from the credit crisis and attempted global recovery
  • Examine how Brexit might affect risk

COVID-19 Update

This provider offers an online version of their classroom courses

Training content

Market Risk - Introduction

  • What is risk management?
  • Why do we need it?
  • Risk management vs. risk measurement
  • Risk management, regulation and capital
  • What is advanced risk management?
  • How does regulation view risks and risk management?
  • The current risk environment: Brexit, ZIRP, anaemic growth, falling dollar rates, negative bond yields and the potential rise of inflation

Market Risk – Methodology

  • The origins of market risk
  • Sensitivities and The Greeks, DV01, duration, convexity
  • Why have limits?
  • Value-at-Risk, Expected Shortfall – is it any use?
  • What else can we do to control risk?

Market Risk – Stress and Scenarios

  • Why do we need stress and scenario testing in addition to VaR?
  • How does Expected Short Fall give us a better risk measure?
  • How should we do stress and scenario testing?
  • Why do the regulators want to see it done?
  • Stress and scenario testing and Basel Pillar 2, ILAAP

The Division Between Market and Credit Risk

  • The trading vs. banking business model
  • The regulatory divide
  • Impact of liquidity and funding
  • Market type risk in traditional banking activities
  • How it all went wrong – the credit crunch

Funding and Liquidity Risk Management

  • Asset liability mis-matches in the balance sheet
  • Gap analysis
  • Funding alternatives – e.g. securitisation, SIVs and conduits
  • Funding, asset/liability liquidity and derivative pricing/hedging – how are they all linked?
  • LCR / NSFR regulations

Market Risk Management for Funds

  • Why do Fund Managers need different tools?
  • Alpha, Beta, Sharpe Ratio, Information Ratio – what is it for?
  • The impact of leverage
  • Thinking like a Fund Manager’s Risk Manager

Portfolio Credit Risk

  • Pricing and risk management of loan portfolios
  • Estimating probabilities of default, exposure at default and loss given default
  • Actuarial approaches, transition matrices
  • Market-based approaches, bond spread and Merton (KMV) model
  • Building a credit risk model
  • Using the models to set limits and monitor risk

Managing Credit Risk

  • Traditional techniques
  • Securitisation and risk transfer
  • Regulatory capital, Basel III and F-A-IRB
  • Measuring performance and ROC

Credit Derivatives

  • How can credit derivatives be useful in managing credit risk?
  • Credit default swaps, single and multiple name
  • Tranche CDS
  • Issues with CDS, basis, documentation
  • Correlation issues
  • N to default type structures
  • Pricing and risk issues

The Role of Capital and the Relationship to Other Risks

  • What is capital for?
  • Risk and capital performance measures such as RAROC, economic and regulatory capital
  • Allocating and managing capital
  • Raising capital and novel capital instruments

Basel III and Further Developments

  • The evolution of Basel – how did we get here?
  • The framework of market, credit and operational risk capital requirements – the three pillars
  • Operational risk methods – how do we build a model for AMA?
  • Overall requirements and best practice
  • Fundamental Review of the Trading Book – what changes will that bring?

What Risks Have Been Missed?

  • The role of pillars two and three in support of capital requirements
  • Liquidity risk – the new focus since the credit crunch
  • Liquidity Stress Testing – NSFR and LCR – how do they help manage risk?
  • Intra-day and short-term risks
  • Reputational and strategic risk
  • Whole enterprise risk

Risk Measures and Reporting in Major Banks

  • What is done currently?
  • What may have to be done?
  • How do we “govern” risk management with a firm?
  • What are the major risks going forward?


Course Fee: £2999 plus VAT @ 20% = £3598.80

About IFF

International Faculty of Finance - IFF Finance & IFE Energy - Specialist Training Courses

As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

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