Financial Risk Management - Methods, Tools, Principles and Regulation
Dates: June 11 - 13, 2019
Price: EUR 1,560
Location: Prague, NH Hotel Prague
Lecturer: Jean-Bernard Caen
Key points / questions answered:
What are the objectives of risk management in banks?
How to identify and classify risks?
What can we learn from passed crises and defaults?
Can all risks be measured? What if they can't?
What is expected from the risk managers?
How to measure and aggregate risks?
Will the regulatory and the economic approaches converge?
When is risk-taking profitable?
What are the current issues in risk management?
Everything you need to know about Risk Management in Banks
The purpose of this seminar is to introduce the principles and mechanisms of risk management in banks. During these three days, 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.
On day 1, we identify and uncover the nature of the risks banks are facing. We start with a brief history of risk management, from the Chevalier de Mere and his taste for money games to the build-up of the modern risk framework and quantitative measurement techniques. This path is littered with trial and errors that have led to crises and catastrophes, some of which are reviewed and analysed. We then classify the risks and discover how to hunt for new, emerging ones. From there, we study the theoretical foundations of risk measurement 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 they articulate.
Day 2 focuses on 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: 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 is addressed at this point. A number of exercises and games will facilitate assimilating these principles and techniques.
Day 3 addresses the management of risks: You learn how to control and mitigate them, 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 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 to deal with the increasing regulatory pressure? How to fulfil the new resolution constraints? 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 these three days: Risk identification, measurement and aggregation; risk control, mitigation and management; and finally risk-return issues and current concerns.
Tuesday, June 11
09.00 - 09.15 Welcome and Introduction
09.15 - 12.15 Introduction to Financial Risk Management
A brief history of Risk Management
The Birth Of Mathematical Tools
Probabilities, Gaussian and non-Gaussian statistics
Always Larger Markets
Bartering, town markets, stock markets, financial markets
Finance and Regulation, The Mouse and The Cat
Quants, bubbles and systemic risks
Crisis and catastrophes
Risk Identification and Classification
Applying The Risk Framework Of Nuclear Events To Financial Risks
Risks that can be identified and risks that cannot
Risks that can be quantified and risks that cannot
Is the credit, market, operational risk segmentation good enough?
What business models generate what risks?
Adapting the classification of risks to the activities of the bank
12.15 - 13.15 Lunch
13.15 - 16.30 Quantitative Techniques For Risk Measurement
Theoretical Basis Of Risk Assessment
What-if and scenario analysis
VaR, CVar, Expected Shortfall
Handling correlations, GARCH, OUCH, copulas
The limits of the statistical approaches
Regulatory Vs. Economic Approaches
The Regulatory Approach
Basel 1, 2 and 3
The standardized, foundation and advanced approaches