Page 8 - MONECO Financial Training Catalogue

FINANCIAL RISK MANAGEMENT – METHODS, TOOLS, PRINCIPLES AND REGULATION

DATES: April 8 – 10, 2025 • PRICES: € 1,755 In-class, € 1,316 Online • LOCATION: Prague and Online
Key points / questions answered:

• What are the objectives of risk The purpose of this seminar is to introduce the principles and mechanisms of risk management
management in banks? in banks. During the seminar, we address all the main issues relevant to this matter. These are
illustrated by a number of business cases and exercises that facilitate the assimilation of the
• How to identify and classify risks? concepts and techniques presented.
The goal of this seminar is to identify and uncover the nature of the risks banks are facing.
• What can we learn from passed We start with a brief history of risk management, from the Chevalier de Méré and his taste for
money games to the build-up of the modern risk framework and quantitative measurement
crises and defaults? techniques. This path is littered with trial and errors that have led to crises and catastrophes,
some of which are reviewed and analyzed. We then classify the risks and discover how to hunt
• Can all risks be measured? What if for new, emerging ones. From there, we study the theoretical foundations of risk measurement
they can’t? and how they are translated into the regulatory and the economic frameworks. As both
frameworks coexist in banks, we spend some times understanding their differences and how
• What is expected from the risk they articulate.
managers? We then look at the techniques used for measuring risks. They rest on a limited number of
simple and powerful principle which translate into techniques adapted to each risk type:
• How to measure and aggregate credit, market and operating risks. Diverse techniques are explained to assess multiple risk
measures that are complementary and need to be articulated. The issue of how to aggregate
risks? risks is addressed at this point. A number of exercises and games will facilitate assimilating
these principles and techniques.
• Will the regulatory and the Further, we addresses the management of risks: You learn how to control and mitigate them,
economic approaches converge? and a number of key issues are addressed: Which risks are profitable and should then be taken,
which are not? What are risk budgeting and risk appetite? How to price risk properly? What
• When is risk-taking profitable? is expected from Risk Management professionals and how do they relate to other functions
in the bank? Finally we address the most pressing risk issues banks are currently facing: How
• What are the current issues in risk to deal with the increasing regulatory pressure? How to fulfill the new resolution constraints?
management? What impact of IFRS 9? How will Fintech transform the way banks handle their risks?
We finish the seminar with a series of exercises/games aimed at rehearsing all the major
elements learned during the six half-days: Risk identification, measurement and aggregation;
risk control, mitigation and management; and finally risk-return issues and current concerns.

15
TUESDAY, APRIL 8 12 –13 15 • Credit Risk Parameters
00
09 –09 15 Lunch break – AD, PD, LGD
15
Welcome and Introduction 13 –16 30 – Concentration, diversification and
15
09 –12 15 Quantitative Techniques for Risk correlations
Introduction to Financial Risk Measurement • Credit risk Frameworks
Management Theoretical Basis of Risk Assessment – Basel IRB formula, RWA credit, Basel
A brief history of Risk Management • Non-Statistical Approaches 2/3 solvency ratios
• The Birth of Mathematical Tools – What-if and scenario analysis – Pillar 2 ICAAP, TRIM, Basel 4
– Probabilities, Gaussian and • Statistical Approaches – Economic Capital and IFRS 9
non-Gaussian statistics – VaR, CVar, Expected Shortfall • Credit Risk Models
• Always Larger Markets – Handling correlations, GARCH, – Models for Corporates: Empirical and
– Bartering, town markets, stock OUCH, copulas structural types
markets, financial markets – The limits of the statistical – Models for Retail: From scorecards to
• Finance and Regulation, the Mouse approaches Markov chains
and the Cat – Regulatory stance on credit risk
– Quants, bubbles and systemic Regulatory Vs. Economic Approaches models: Basel 3 final
risks • The Regulatory Approach • Case Study: The Sovereign Debt Crisis
– Crisis and catastrophes – Basel 1, 2 and 3
– The standardized, foundation and Market Risks
Risk Identification and Classification advanced approaches • Market Factors and Models
• Applying the Risk Framework of • The Economic Approach – The greeks: Alpha, beta, gamma
Nuclear Events to Financial Risks – Economic capital concepts and – VaR and Expected Shortfall, tail risks
– Risks that can be identified and guidelines • Market Risks Frameworks
risks that cannot – IFRS 9 – Market risks under Basel III
– Risks that can be quantified and • Articulating the Two Approaches – FRTB, Standardized Approach and
risks that cannot • Case Study: Dexia IMA
• Risk Classification – Risk dynamics and portfolio
– Is the credit, market, operational WEDNESDAY, APRIL 9 management
risk segmentation good enough? 09 –09 • Case Study: Credit National
00
15
– What business models generate Recap and warm up
15
what risks? 09 –12 15
– Adapting the classification of risks Risk Measurement
to the activities of the bank Credit Risk
8 Hybrid course – both classroom and online training available.