Description
The RMA MRM program equips the holder with sound knowledge of market risk management, especially in the financial services industry.
The syllabus covers overview of market risk, identifying and measuring market risk for equity, fx market, fixed income and commodity markets, exotic instruments, options and credit risks in the market context, yield and interest rate curves, curve building and bootstrapping, pricing models, VaR, stress testing, back testing, market risk technology, and best practice framework for market risk management
AGENDA
OVERVIEW OF MARKET RISK
- Definition of Market Risk
- How Market Risk sits alongside other risks such as Credit, Liquidity, Operational and Conduct
- Principal types of Market Risk – Interest Rate, Foreign Exchange, Equity and Commodity
- Why and how all banks acquire Market Risk
- Emerging Market Risks
- Measuring Emerging Market Risk
- Supervision in Emerging Market
BASIC ACCOUNTING AND FINANCIAL ISSUES
- The structure of a bank’s balance sheet
- The nature and purpose of capital
- Basics of discounted cash flow
- Mark to market v. accrual accounting
- Derivative financial instruments
- The concept of “option” contracts
- The idea of “hedging”
- Concept of a separate “trading book”
MARKET RISK IN A “TRADING” BOOK
- The nature of “trading” activity
- Accounting and regulatory requirements
- Principal risk measures – positional, sensitivity and Value at Risk
- An appropriate limit and control framework
- Famous disasters – Barings, AIB, NAB etc
MARKET RISK IN A “BANKING” BOOK
- The nature of “banking” activity
- Concept of “hold to maturity”
- Accounting and regulatory requirements
- Principal risk measures – gaps, income sensitivity and value sensitivity
- Risk to “value” or to “margin”?
- The role of the Treasury function
- Principal hedging tools available
- The importance of behavioural assumptions
- Market risks stemming from impaired assets
MARKET RISK ACROSS THE ENTERPRISE
- Hedging of Capital and Reserves
- Macro hedging – uses and abuses
- Structural foreign exchange risk
- Credit spread risk and the blurred boundary between market and credit risk
GOVERNANCE OF MARKET RISK
- The importance of Board risk appetite
- An appropriate policy framework
- An appropriate committee structure
- Encouraging the right behaviours
- The importance of good risk reporting
- Stress and scenario testing
- Model validation and data reconciliation
- Segregation of duties – 3 lines of defence
- Current regulatory developments – meeting the requirements of Basel Accords
MARKET RISK MODELS
- Parametric Models
- Historical Simulation Models
- Monte Carlo Simulation Models
- Value at Risk Implementation
STRESS TESTING & BACK TESTING
- Need for Stress Testing
- The concept of stress testing as a complimentary tool to value at risk analysis
- The creation of hypothetical and historical scenarios
- The implementation of stress test scenarios into market risk modeling
- The growing use of stress testing to risk managers
- Incorporating into Market Risk Models
- Implementation
- Evaluating Stress Tests
- Aggregate Stress Tests
- Maximum Loss Approach
- Extreme Value Theory
- Systematic Testing
- The technique of backtesting
- The different types of backtesting
VALUE AT RISK
- The concept of Value at Risk
- The various methodologies of estimating VaR and their strengths and weaknesses
- The comparison between the strength and limitation of VaR
- The computation of VaR of foreign exchange spot, foreign exchange options positions, common shares/stocks, fixed income portfolio including portfolio
- The various applications of VaR
- The various methods to measure value at risk such as parametric, historical simulation and monte carlo simulation
- The comparison among the various methods according to their characteristics, advantages and disadvantages
- New forms of VaR
- DelVaR
- Advances in Monte Carlo Simulation
- Variance reduction techniques in Monte Carlo Simulation
- Advanced Volatility Models
- Advanced Correlation Models
- The process of value at risk implementation
APPLICATION OF ANALYTICAL TECHNIQUES
- Framework of analytical techniques – gap, duration, simulation and value at risk
- Concept and assumption under each techniques
- Comparison and analysis of each techniques across various parameters
- Application of techniques with real life case studies
CASE STUDIES
- Orange County
- Barings Bank
- Metallgesellshaft
WHO CAN BENEFIT
- Traders and Treasurers
- Market risk Managers
- Risk Management Professionals
- Accountants
- Middle/Back office Staff
- Institutional Investors
- Auditors
- Portfolio Managers
- Risk Management Consultants
- B.sc, M.sc and related degrees in related disciplines.
TRAINING METHODOLOGY:
A highly interactive format, where all delegates will be encouraged to engage and participate, share and gain from each other’s knowledge and experience. The lectures will rely on a bullet-based slide presentation enriched by group discussions around case studies, videos and checklists wherever applicable.
Through a multiple-instructional setting, the goal is to achieve the learning objectives by means of virtual technologies that match personal learning styles and by the inclusion of non-linear learning that aims at the development of just-in-time skills of adult learners.
At the same time and in order to allow participants maximum flexibility of scheduling, the learning will be conducted in an allochronic manner. Using a state-of-the-art training architecture, RMA will combine self-learning with assessments and online discussions.
The pedagogics – adapted explicitly to professionals in full-time work – will help train participants through several experiences: absorb (read); do (activity); intermingle (socialize); mirror (relate to one’s own reality).
DURATION: 5 days [ 5 Hours each day]
VENUE: Virtual or Onsite[RFP]
DATE[TBC]: Send enquiry to: info@theriskacademy.org or call: 08021003297;07034248767;09071941111
