Risk Management: Measurement, Integrated Risk Framework and Regulation
Risk Management: Measurement, Integrated Risk Framework and Regulation
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview


    Not Available


    9:00 AM – 5:00 PM


    Asian Banking School
    The programme covers Risk Management from three perspectives: Risk Measurement, creating an Integrated Risk Management Framework and Regulation and Supervision. Risk Measurement is covered in a way that is accessible to market participants. The course is designed for users and market participants who are not mathematics specialists. Although the course is not excel based, participants will look in detail at the issues involved in calculating VaR in each of the standard methods, and will use price and parametric data to calculate VaR for simple portfolios in FX, interest rate and equity markets. This theoretical framework is made directly relevant to participants by numerous case studies of recent failures in Risk Management. Participants will be encouraged to analyse the causes of these failures and how an effective risk management structure could have prevented them.




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    / PAX

    Jointly with:
  • Objectives & Outline
    Upon completion of the programme, participants will: 
    • Understand the risk management process and identify risk reporting and management issues
    • Calculate VaR for simple portfolios
    • Be familiar with, and use, the terminology of financial risk management
    • Interpret and explain risk reports
    • Communicate risk management policies and procedures
    • Analyse the compliance of risk management policies and procedures with external regulation and requirements
    Day 1
    • Definition of Risk
    • Categories of Risk
    • Risk Management - history of risk management, objectives and role & risk measurement

    Market Risk Management 
    • Purpose and role of Risk Management
    • Risk Management Framework: Key Functions - Middle Office, Back Office, Risk Measurement, Risk Management, Internal Audit, Outside Verification, Pricing Models & New Product Approval
    • An Enterprise-wide Risk Management Corporate Governance & Organization Structure Risk Management Standards
    • Risk Appetite - Responsibility & Setting Risk Limits
    • Risk Reporting – Oversight

    Introduction to Risk Measurement 
    • Traditional measures of risk
    • VaR - definition of historic VaR & calculating historic VaR
    • Using VaR
    • Case Study: Calculating VaR for a simple bond position
    • Case Study: Calculating VaR for a portfolio of equities

    Stress Testing and Scenario Analysis 
    • Stress Testing
    • Need for stress tests, identifying risk factors, risk analysis & P&L reconciliation
    • Case Study: Interest Rate and FX Stress Tests
    • Scenario Analysis
    • Case Study: A bank’s scenarios

    Managing Risk 
    • Risk Limits
    • Categorising Risk – eliminate, hedge & no action
    • Measuring Risk – VaR & stress tests
    • Reporting Risk
    • Internal Controls and Procedures – oversight, risk policies & risk limits

    Group Project: Allied Irish Bank 

    Uses of VaR 
    • Setting Limits - limit types & cascading risk
    • Measuring risk
    • Assessing performance

    Risk and Capital 
    • Minimum Capital Requirement (MCR) - BIS
    • Stressed VaR - Impact of stressed VaR on the MCR
    • BIS Recommendations for Model Approval
    • Monitoring a VaR Model - back-testing
    • Basel III – update - changes and their impact on capital and regulation
    • Case Study: MCR, trading limits and ROCE
    • Case Study: The impact of Stressed VaR on Regulatory Capital

    Group Exercise 
    • Understanding a VaR report
    Day 2
    VaR Methodologies 
    • Parametric VaR
    • Historical VaR
    • Monte Carlo
    • Case Study: Forex and Interest Rate risks
    • Case Study: Calculation VaR for FX options and futures

    Beyond VaR 
    • EVT
    • Fat Tails
    • Expected Loss
    • The Evolution of the calculation of MCR

    Other Risk Factors 
    • Liquidity Risk
    • Correlation

    Industry Standards 
    • Introduction
    • Frameworks – BIS, COSE (internal control & Enterprise Risk Management) & ISO
    • Extra-territoriality

    Calculating Risk: Risk Measurement 
    • Reliability of key inputs for Risk Measurement
    • Positions
    • Market Prices
    • Market Parameters – volatilities, yield curves & correlations
    • Causes of Failure in the Risk Management Process

    Risk Management Failures 
    This section is based on real-life case studies of Risk Management losses experienced by Investment Banks as the result of combinations of failures involving market risk, liquidity risk and operational risk. 

    Case Study: Marking to Model 
    Case Study: Independent Price Validation  
    Case Study: Liquidity Risk 
    Case Study: Incorrect position data: non-existent trades  
    Case Study: Concentration of risk 
    Case Study: Model Error 
    Case Study: Underestimating correlation

  • Methodology
    Lecture, interactive discussions and case studies
  • Participant Profile
    This is an intermediate course applicable to Risk Officers, compliance officers, internal audit, managers requiring a greater understanding of risk management and measurement, technology staff, mid and back- office functions. It is suitable for associates, analysts up to VP level.
  • Trainer


    David has over 30 years’ experience in the financial markets and has extensive experience in the management of operational risk. He joined the London stockbroker, de Zoete and Bevan, in 1980 and became a partner in 1984. After de Zoete and Bevan was acquired by Barclays Bank in 1985 David was appointed as Global Head of Equity Derivatives at BZW (now Barclays Capital).

    David was responsible for the expansion of this business and was responsible for the overall management of sales, trading, research and risk management for equity derivatives globally. In building the Equity Derivatives Group (EDG) in BZW, David worked with settlement, the legal and compliance departments, and counterparty credit to agree an operational risk management frame-work. During this time, David was appointed by the Bank of England as chairman of the committee for the merger of the Traded Options and Futures markets in London. David was deputy chairman of the London Traded Options Market (LTOM) Clearing Members Committee, a committee of the London Stock Exchange. This committee was responsible for the rule book governing credit risk and operational risk for the 20+ clearing members of the LTOM.
    Since leaving BZW in 1998 David has acted as an independent consultant and trainer in Derivatives and Risk Management, with a focus on the interface between Market Risk Management and Operational Risk. In 2000, David set up European Research Ltd to provide independent research in Mergers and Acquisitions. By 2010 this business had grown and produced five research products in mergers and acquisitions, credit, and special situations with over eighty institutional clients in the US, UK and Europe and Asia Pacific. David has been resident in Singapore for ten years (spending his time equally between London and Singapore). He has a BA in mathematics from Wadham College Oxford.

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