Séminaire S-GA0001 - Risk management : a structured overview

Cible

Financial sector professionals and everyone interested in risk management.

Objectives

The seminar aims to provide a structured overview of the main categories of risk facing a bank, an investment fund or any other entity engaging in financial sector activities, by building on theory through actual model prototypes and case studies.

Contenu

  • Risk taxonomy and governance :
    • identifying the main categories of risk ;
    • three lines of defense (3LoD) model.
  • Credit risk :
    • introduction to credit risk modelling ;
    • counterparty credit risk ;
    • concentration risk.
  • Market risk :
    • value at risk ;
    • expected shortfall.
  • Interest rate risk :
    • earnings vs. economic value perspective ;
    • repricing Gaps ;
    • duration of equity.
  • Liquidity risk :
    • asset liquidity vs. funding liquidity ;
    • liquidity coverage ratio ;
    • net stable funding ratio ;
    • intraday liquidity risk.
  • FX risk :
    • transaction risk ;
    • translation risk ;
    • economic risk.
  • Operational risk :
    • event types overview ;
    • governance aspects ;
    • impact of new technologies.
  • Stress testing :
    • stress test taxonomy ;
    • reverse stress testing.

Sessions

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Cours en présentiel
Liste d'attente
440 €