Financial Risk Management Overview - In house
Short course
In In House
Description
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Type
Short course
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Methodology
Inhouse
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Location
In house
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Duration
1 Day
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Start date
Different dates available
This course assists financial professionals in many different roles and areas to identify the key risks of the main types of Equities, Fixed Income and Derivative instruments and the approaches to quantifying and then trying to manage the various risks and their weaknesses. Suitable for: Risk Managers. Fund Managers. Compliance Officers. Dealers. Auditors and Accountants. IT executives selling or designing systems in this area
Facilities
Location
Start date
Start date
Reviews
Subjects
- Risk
- IT risk
- Credit
- Financial Training
- Market
- Systems
- Financial Risk Management
- Financial Risk
- Management
- Asset Management
- Risk Management
- Financial
Course programme
- Risk types
-Market/price risk – examples
-Settlement risk - examples
-Rates risk and how it arises with fixed as opposed to floating rate debt instruments
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- the yield/price calculation yield as compensation for perceived risks why yields vary
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-Credit risk (single entity): default and recovery rate risk
-Counterparty risk – how this can arise with a swap
-Correlation risk
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- examples from equity and credit portfolios most investors are exposed to a rise in correlation
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-Option risks
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- The key pricing inputs; above all, volatility Implied volatility Negative gamma – the risks of dynamic delta-hedging short positions Vega and the impact of a change in implied volatility
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-Operational risk - examples: systems failure, rogue trader etc
- Approaches to quantifying risk and their drawbacks
-Market/price risk:
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- How it is calculated Regulatory VaR for banks Its weakness
Fundamental analysis (in brief) Value at Risk
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-Credit risk
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- Fundamental analysis (in brief) Calculating expected loss from Rating agency historical statistics for default and recovery rates Calculating implied default rates from bond and Credit Default Swap (CDS) spreads Default correlations: the difficulties and weaknesses of calculating and using them
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-Counterparty risk: calculating potential credit exposure on a swap – the interplay of yield volatility, duration and credit risk
-Options risk:
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- calculating gamma and vega negative and positive gamma and vega
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-Operational risk: the difficulties of quantification
- Approaches to managing risk and their drawbacks
-Market/price risk
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- Portfolio diversification Residual risk Hedging: eg puts and their drawbacks
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-Rates risk:
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- Hedging with swaps Margining Exposure limits Economic capital
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-Credit risk
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- Charging a credit spread greater than expected loss The impact of competition Hedging: CDSs and their drawbacks
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Basle II – its requirements and drawbacks
Additional information
Financial Risk Management Overview - In house