Risk Management 2: Advanced Techniques for Risk Assessment

1st PRACTICAL CASE: Risk management of fixed-income portfolios
  • Choice of risk indicators
  • Determining the risk limits
  • Problems surrounding VaR valuation
  • Practical studies
  • Simulation of bond portfolio management
  • Identifying the risks unaccounted for in the VaR process (liquidity, squeeze, etc.)
  • More scenarios and stress tests
2nd PRACTICAL CASE: Risk Management of a Standard Options Book
  • Risk of options and choice of risk management indicators
  • Determining the risk limits: calibrating limits and drawing a coherent limit matrix
  • Analysis via sensitivities
  • Comparison of VaR calculation methods
  • Integrating the smile in VaR and simulations
  • Risk factors unaccounted for in the VaR process (e.g. smile)
  • Determining, calculating and analysing stress scenarios: what risk factors should be examined?
  • Practical workshop
  • Stress tests analysis of an equity option book
3rd PRACTICAL CASE: Risk Management of an Exotic Options Book
  • Presentation of the main exotic options (barrier, hybrids, etc.)
  • Choice of risk indicators: are the indicators adaptable to these products or must the products be coherent with the other product lines?
  • Specific issues: discontinuity risks, correlation risks, forward volatility etc.
  • Comparison of VaR calculation methods and simulations
  • Issues and problems linked to VaR implementation
  • A complement: stress tests
  • Practical workshop
  • VaR calculation and problems linked to a portfolio of digital options

STRESS TESTS

  • Categories and principles
  • Regulatory requirements

IMPACT OF REGULATORY DEVELOPMENTS: FROM BASEL II TO BASEL III

CONCLUSION

  • Various pertinent indicators for various products
  • Global risk control

  • Master risk valuation techniques using several typical practical cases
  • Learn how to identify and solve problems specific to VaR
  • Master the practical applications and limits of risk measurement techniques, including conditional, classic and exotic products
  • Determine and calibrate risk levels according to managing positions
  • Know how to choose the risk indicators to manage the most important exotic options
  • Identify the risks unaccounted for in the VaR process (liquidity, squeeze...)
  • Learn to determine, calculate and analyse stress scenarios
  • Understand the challenges of an efficient and global monitoring of risk
  • Understand the impact of regulatory developments on market risks and the management of such risks
  • Simulations of the main issues involved in risk management
  • Transfer of expertise from real case scenarios
  • Risk management
  • Financial departments
  • Support functions: middle office, internal control, IT
  • Traders
  • Fund managers
  • Financial engineers
  • Compliance
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