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The different business lines and their associated risks
Standard and new risks
Risk management key stake-holders
Role and responsibility of internal functions
External stake-holders: authorities (European, US and domestic regulators)
Organisation and implementation of risk management
Internal devices and other operational aspects
Basel reforms: capital requirements
Relationship between economic and regulatory capital
Introduction to market risk
Notion of Mark to Market and risk of market transactions
Indicators of market risk
Nominal
Sensitivity to various risk factors
Value at Risk (VaR) : introduction to the 3 VaR methods (historical, analytical and Monte Carlo), CVaR
Stress scenarios
Monitoring market risk
Practical workshop
Comparative analysis of the risk indicators of various market positions
Regulatory aspects: Market risk under Basel
Introduction to credit risk
Notion of credit risk
Definition of default / credit event, recovery rate
Rating, credit spread and associated risks
Monitoring and hedging credit risk
Counterparty risk on market transactions: classification and introduction to counterparty risk valuation methods
Practical workshop
Analysis of the credit risk of various deals
Typical counterparty risk profiles
Introduction to liquidity risk
Analysis and measure of liquidity risk
Regulatory aspects: liquidity ratios
Basel reform (Basel II and developments of Basel III)
Regulatory approach: standard and internal (IRB)
Basel indicators (EAD, PD, LGD)
Solvency ratio: developments
Introduction to operational risk
Types of operational risks
Identification and mapping
Monitoring and managing operational risks
Regulatory framework
Conclusion
Development of risk culture
The challenges of global risk management
Have a global vision of risk management within a financial institution
Understand the role and the responsibilities of the internal and external functions involved in risk management
Familiarise with the cartography of risk of different activities within a financial institution
Understand the key concepts of major risk categories (market, credit, operational and liquidity risks)
Be introduced to several types of risk indicators, their applications and limits
Understand all aspects of risk management and their impact on equity
Understand major challenges of an internal robust risk management (measurement, monitoring and control)
Getting information of evolutions in the regulatory environment
Get a global approach of all aspects of risk management: key-players and organisation, cartography and risk analysis, implementation of the best practices
The definitions are systematically replaced in their regulatory and economic context preceding the seminar
