Page 10 - MONECO Financial Training Catalogue
P. 10

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 objecƟ ves 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
                                           concepts and techniques presented.
        •  How to idenƟ fy and classify risks?
                                           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 profi table 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 profi table?   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 fulfi ll the new resolution constraints?
                                           What impact of IFRS 9? How will Fintech transform the way banks handle their risks?
          management?
                                           We  fi nish the seminar with a series of exercises/games aimed at rehearsing all the major
                                           elements learned during the six half-days: Risk identifi cation, measurement and aggregation;
                                           risk control, mitigation and management; and fi nally 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, diversifi cation 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, fi nancial 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 fi nal
            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 Identifi cation and Classifi cation  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 identifi ed and   guidelines                   •  Market Risks Frameworks
            risks that cannot                 –   IFRS 9                         –   Market risks under Basel III
           –   Risks that can be quantifi ed and    •  Articulating the Two Approaches     –   FRTB, Standardized Approach and
            risks that cannot               •  Case Study: Dexia                 IMA
         •  Risk Classifi cation                                                  –   Risk dynamics and portfolio
           –   Is the credit, market, operational   WEDNESDAY, APRIL 9           management
                                                  15
                                             00
            risk segmentation good enough?     09 –09                          •  Case Study: Credit National
           –   What business models generate     Recap and warm up
                                             15
            what risks?                       09 –12 15
           –   Adapting the classifi cation of risks     Risk Measurement
            to the activities of the bank    Credit Risk
               10                      Hybrid course – both classroom and online training available.
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