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Role of risk management within financial institutions
Roles of a risk manager
Interaction with other divisions
Statutory independence from Front Office
Close monitoring of Front Office
Credit, market and operational risk management
Practical workshop
Optimal risk-management processes
Comparison of the various risk management structures chosen by various banks
Analysis of risk monitoring methods
Revision of the most appropriate VaR methods ; list by business-lines
Revision on procedures of calibration and monitoring of limits and stop-losses (instruction, granting, revision, validation)
Procedure if operational limits are broken
Granularity of risk monitoring and consolidation
Continuous integration of new products
Practical workshop
Calibration of analytical, historical and Monte Carlo VaR
Necessary conditions for risk management implementation
Reconcile front/back data
Practical workshop
Daily reconciliation, cash flow, validation and automatisation
Daily validation of independent market data entry
Practical workshop
Checking the coherence of market data
Maintain historical database of market prices
Use appropriate and integrated risk tools
Deployment and monitoring of risk process
Validation of pricers (sensitivity/simulation)
Definition of P&L calculation methods
Practical workshop
Calculation of P&L in Mark-to-Market and accrued
Impact in terms of risk and VaR of FX positions
Calibration and setting-up of refactions and of Day-One PNL.
Production and control of VaR, setting-up “add-on”
Backtesting of VaR regulatory aspects
Process to implement for credit risk and operational risks: regulatory models, standard and advanced IRB
Using stress scenarios for operational management
Practical workshop
Reconstitution of P&L by sensitivities and effects
Translating the bank’s risk appetite in terms of operational limits
Validating the internal model
Integration in the structure and business model
Transversal process and holding of scientific committees
Taking into account and implementing Basel II last covenants
Qualitative and quantitative required environment: best practice.
Practical workshop
Detailed checking tool by validation criteria
Multiple Choice Questionnaires
Learn how to define a risk measuring and monitoring methodology
Analyse reporting for corrective actions at front-office level
Determine and calibrate risk levels according to managing positions
Understand all aspects of limits enforcement procedures
Authorise new products within a secure framework
Understand the requirements and the issues when validating an internal model
Anticipate demands and challenges when validating an internal model
Focus on the daily procedures of a risk management department and on the operational processes (results, risks, limits, overrun procedures, back-testing of VaR, reporting, management of resources)
Conforming to Basel II and its developments (Basel III)
Analysis of an audit report for the risk division and follow-up of recommendations
Suggestions are given to increase the efficiency of your risk management mode
