IFBL Risk Management 2009
Transcript of IFBL Risk Management 2009
International Training inFinancial Risk
Management
RiskManage ment
Training Programme in
Financial Risk Management
BACKGROUNDf In an increasingly complex and interdependent world
of financial markets, products and regulations, effi-
cient risk management is a crucial element, which
can determine the fate of a company. To offer a solid
framework for training in risk management, IFBL and
PRiM renewed and extended their former collabo-
ration by signing a partnership agreement in June
2008.
PARTNERSf Established in its current form in 1990 as the training
branch of the Luxembourg Bankers’ Association (ABBL),
the IFBL provides participants the means to achieve
sound and rapid career progression anchored in the
realities of banking and financial market requirements.
Its wide-ranging programmes evolve constantly and
range from industry basics to state-of-the art, highly
specialised courses, training sessions, seminars, confe-
rences and workshops. To ensure that the offered
training programmes match the real needs of the
Financial Centre, the IFBL has formed “Quality Circles”,
composed of acknowledged experts in their respec-
tive fields. It has also built up partnerships with all
the major professional organisations in Luxembourg.
www.ifbl.lu • www.abbl.lu
f PRiM, the Luxembourg Association for Risk
Management Professionals, founded in July 1997, exists
to provide a Luxembourg-based forum for networking
and exchange of information between professionals of
the risk management world. The association contribu-
tes actively to the institutional and regulatory world in
the Luxembourg financial sector and promotes educa-
tion for the needs of risk professionals in Luxembourg.
www.prim.lu
OBJECTIVES
• Providing professional training in
Financial Risk Management at all levels.
• Validating basic and practical knowledge in the
field of Financial Risk Management.
• Preparing students for the GARP FRM examination.
• Focusing on regulatory requirements.
• Promoting the function of risk manager through
professional training and qualifications.
TRAINING OFFER
On the basis of their partnership agreement, IFBL and
PRiM jointly developed a complete training programme
based on the principles of modular course units, tests
and the validation of professional knowledge. The offer
is designed for different types of audiences ranging
from beginners to practitioners specializing in the field
of risk management. The culmination of the training
programme is a high-calibre seminar with the inter-
nationally renowned Prof. Philippe Jorion to prepare
students for the FRM® examination offered by GARP
(Global Association of Risk Professionals).
METHODOLOGY
In the training concept of the IFBL, the first training
unit (M1) covers most of the fundamental theoretical
aspects. As such, it is open to a broad target audience.
The M2 training units support a practical approach to
studying the different types of risk at an advanced level.
The M’ modules represent a useful complement and
propose a review of a series of concepts, enabling parti-
cipants to qualify for the M3 course. The M3 course is
the actual master course that prepares students for
the GARP FRM examination on the basis of Professor
Jorion’s “Financial Risk Manager Handbook”.
EXAMINATION AND CERTIFICATION
For all M1 and M2 modules, an examination can be
taken after the course to test the individual partici-
pant’s level of knowledge. The tests are in the form
of written examinations and candidates can choose
the examination date from the IFBL calendar (every
Tuesday and the last Thursday of each month, except
during school holidays). The M’ modules do not include
any type of examination. The M3 training programme
in itself does not include an examination. Participants
wishing to take the GARP FRM examination are requi-
red to register directly with GARP. For more informa-
tion, please consult the following website:
www.garp.com/frmexam
FRM® EXAMINATION BY GARP
M3
MASTERING ADVANCED
TECHNIQUES AND COMPLEX
ISSUES IN FINANCIAL RISK
MANAGEMENT (PROF. JORION)
M’
FRM MATHEMATICS,
PROBABILITIES AND
STATISTICS (PROF. HÜBNER)
M’
FRM REVIEW OF
CAPITAL MARKETS
(PROF. HÜBNER)
EXAMINATIONM2
CREDIT RISK
M2
OPERATIONAL RISK
EXAMINATIONM2
MARKET RISK
EXAMINATIONM1
FUNDAMENTALS OF
RISK MANAGEMENT
EXAMINATION
Lecturers
PROF. PHILIPPE JORIONf Philippe Jorion is Chancellor’s Professor
of Finance at the School of Business at the
University of California at Irvine. He has taught at
UC-Berkeley, Columbia University, Northwestern
University, the University of Chicago and the
University of British Columbia. He holds an MBA
and a Ph.D. from the University of Chicago, and
a degree in engineering from the Université Libre
de Bruxelles. He has authored more than ninety
publications directed at academics and practition-
ers on the topics of risk management and inter-
national finance. He has also written a number
of books, including “Value at Risk: The New
Benchmark for Managing Financial Risk,” which
is aimed at finance practitioners and has become
a bestseller in its field. Dr. Jorion has also written
the “Financial Risk Manager Handbook” to sup-
port the annual examination administered by the
Global Association of Risk Professionals.
PROF. GEORGES HÜBNERf Georges Hübner holds a Ph.D. in Management
from INSEAD. He is the Deloitte Professor of
Financial Management at HEC Management
School–University of Liège. He is also an
Associate Professor of Finance at Maastricht
University and an Affiliate Professor of Finance
at EDHEC (Lille & Nice). He has taught at execu-
tive and postgraduate levels in several countries
in Europe, North America, Africa and Asia.
Georges Hübner has authored several books and
peer-reviewed research articles in the fields of
hedge funds and derivatives. He also invented
the Generalized Treynor Ratio published in the
“Review of Finance” in 2005. He was the recipi-
ent of the 2002 Iddo Sarnat Award for the best
paper published in the “Journal of Banking and
Finance” in 2001 and of the Operational Risk &
Compliance Achievement Award 2006 for the
Best Academic Paper on operational risk, co-
written with Yves Crama (HEC-University of Liège)
and Jean-Philippe Peters (Deloitte Luxembourg).
The M1 and M2 modules are taught by trainers appointed by the PRiM Quality Circle and approved by IFBL.
For the high-level international courses (M’ and M3), we are pleased to welcome once per year two eminent
guest lecturers.
M1 FUNDAMENTALS OF FINANCIAL
RISK MANAGEMENT
f This course is designed for any person from
inside or outside financial services, who is inter-
ested in the basic concepts of Financial Risk
Management. It provides a sound basis to those
who wish to participate in any further training
courses on risk management. Although no specif-
ic prerequisites are required, participants should
have at least a basic knowledge of financial mar-
kets and products.
INTRODUCTIONf Definitions
f Evolution of risk management
and supervision authorities
f Typology of risks
MARKET RISKf Basic components of market risk
• Equity risk
• Interest rates risk
• Exchange rates risk
• Commodities risk
f Market risk on derivatives
CREDIT RISK: DEFINITIONS, EXAMPLES,
MEASURES, ELEMENTS OF MANAGEMENT
LIQUIDITY RISK: DEFINITIONS, EXAMPLES,
MEASURES, ELEMENTS OF MANAGEMENT
OPERATIONAL RISK: DEFINITIONS,
EXAMPLES, MEASURES, ELEMENTS
OF MANAGEMENT
VALUE AT RISKf Definition
f Three different approaches
f Implementation and backtesting
ORGANISATIONAL ASPECTS OF
RISK MANAGEMENT
REPORTING: REPORTING LINE, EXAMPLES
CONCLUSIONS AND BIBLIOGRAPHY
Programmes, Participants
and Prerequisites
M2 MEASURING AND MANAGING
MARKET RISK
f While giving a complete overview of the differ-
ent aspects related to market risks, this module
also provides essential knowledge to those
who wish to participate in any further training
courses on risk management.
f As the approach is a qualitative one, the focus
is on mechanisms and practical applications,
rather than on financial mathematics and
formulas. The course is of interest not only to
employees of risk management departments,
but also to people working in other positions,
such as controllers, accountants, compliance
officers, legal staff, auditors, back and middle
office employees, traders as well as client advis-
ers and portfolio managers.
INTRODUCTIONf Market risk typology
f Definitions
f History and evolution
f Organisational aspects and best practices
MARKET RISK REPORTINGf Reporting line
f Examples
BASIC COMPONENTS OF MARKET RISKf Equity risk
f Interest rate risk
f Forex risk
f Commodity risk
MARKET RISK ON DERIVATIVES
AND PORTFOLIOS
VARf Definition
f Different approaches
f Implementation and backtesting
RISK MANAGEMENT SOFTWAREf Examples
f Differences
CONCLUSIONS
M2 MEASURING AND MANAGING
CREDIT RISK
f This training course supports a qualitative and
practical approach to credit risk measurement
and management, rather than teaching formulas
and financial mathematics. Knowledge of market
risk measurement techniques (M1, M2) is sug-
gested as a prerequisite. The course will be of
particular interest to risk managers, auditors,
controllers, legal advisers, loan officers, client
advisers and portfolio managers.
INTRODUCTIONf Definitions
f The importance of credit risk
f The components of credit risk
f Historical evolution and best practices
BASIC COMPONENTS
OF CREDIT RISK MODELINGf Definitions
f Examples
TOOLS AND METHODS FOR LOANS CREDIT
RISK MEASUREMENT AND MANAGEMENTf Definitions
f Actual credit exposure
f Assessment of default probabilities
f Agency ratings
f Internal ratings models and
credit scoring loss given default
f Expected loss
f Unexpected loss
f Overview of portfolio credit models
f Loans credit risk pricing and
capital allocation techniques
OVERVIEW OF THE BASEL II /
CRD REGULATION AND ITS IMPACT
ON CREDIT RISK MEASUREMENT
CONCLUSIONS
M2 MEASURING AND MANAGING
OPERATIONAL RISK
f This training course supports a practical approach
to operational risk measurement and manage-
ment. Knowledge of market risk measure-
ment techniques (M1, M2) is suggested as a
prerequisite.
f The course will be of particular interest to risk
managers, auditors, controllers, legal advisers,
loan officers.
INTRODUCTIONf Context
f History of operational risk management
IDENTIFICATION OF OPERATIONAL RISKf Definitions
f Typology
f Key components
ASSESSMENT OF OPERATIONAL RISKf Operational risk within the Basel II framework
f Operational risk modeling
f Economic capital aspects
MONITORING OF OPERATIONAL RISKf Putting operational risk management to
practice (a.o. software solutions…)
f Reporting lines
MITIGATION OF OPERATIONAL RISKf Lessons from operational risk monitoring
f Other aspects (Human Resources, procedures,
project management, business continuity and
disaster recovery)
CONCLUSIONS
M’ FRM MATHEMATICS, PROBABILITIES
AND STATISTICS
(formerly: Quantitative Seminar)
by Prof. Georges Hübner
f The 3-day seminar is the first part of a trai-
ning programme preparing for Prof. Jorion’s
subsequent course (M3 Mastering Advanced
Techniques and Complex Issues in Financial
Risk Management). It is designed for a target
audience of persons specialising in the field of
finance and/or risk management: risk managers,
treasurers and traders, risk analysts, portfolio
managers as well as all those who are interested
in this subject.
f The main purpose is to cover the necessary
mathematics, probability and statistics concepts
and techniques to follow Prof. Jorion’s course
in the best conditions, i.e. to respect its pre-
requisites. These tools will be reviewed with a
focus on their likely applications in Financial Risk
Management. A basic knowledge of mathematics
and statistics is welcome, however the require-
ment level in quantitative proficiency is low.
MATERIALSf The seminar will encompass the first nine
chapters of the following book:
Philippe Jorion, Financial Risk Manager
Handbook (5th edition 2009), Wiley.
For the subsequent financial applications,
background material can be found in the fol-
lowing books, which are also on the FRM study
guide list: John Hull, Options, Futures, and Other
Derivatives (7th edition, 2008), Pearson Frank
Fabozzi, Fixed Income Mathematics (4th edition,
2008), McGrawHill-Irwin. A complete syllabus
will be distributed to seminar participants with a
list of selected references.
SEMINAR OUTLINE
MATHEMATICS APPLIED TO FINANCEf Logarithms and exponentials
(application to interest rates and bond prices)
f Derivatives and differential calculus
(application to bond duration)
f Taylor series expansion
(application to bond convexity)
f Integrals (application to bond valuation)
f Optimization (application to portfolio selection)
PROBABILITIES f Principles of probabilities
(application to stochastic dominance)
f Moments of random variables
(application to portfolio returns)
f Discrete probability functions
(application to derivatives pricing)
f Continuous probability functions
(application to stock prices and returns)
f Multivariate distributions
(application to portfolio diversification)
f Convolutions and copulae
(application to credit and operational risk)
STATISTICSf Point estimators
(application to asymptotic distributions)
f Confidence intervals and hypothesis testing
(application to performance measurement)
f Tail estimation (application to extreme losses)
REGRESSION ANALYSISf Univariate regression
(application to beta measurement)
f OLS/GLS (application to multi-factor models)
f Autoregressive models
(application to conditional variance models)
f Logit/probit (application to default probabilities)
CONTINUOUS TIME FINANCEf State pricing
(application to financial binomial trees)
f Brownian motions and Itô processes
(application to financial price processes)
f Monte Carlo simulations
(application to interest rate forecasting)
f Risk-adjusted valuation
(application to option pricing)
M’ FRM REVIEW OF CAPITAL MARKETS
(formerly: incl. Quantitative Seminar)
by Prof. Georges Hübner
f The 2-day seminar is the second part of the
training programme preparing for Prof. Jorion’s
subsequent course (M3 Mastering Advanced
Techniques and Complex Issues in Financial Risk
Management). It is exclusively designed for the
participants of the M3.
f The main purpose is to review the necessary
concepts and products of capital markets to fol-
low Prof. Jorion’s course in the best conditions,
i.e. to respect its prerequisites. These concepts
will be reviewed with a focus on their implication
in Financial Risk Management.
MATERIALSf Philippe Jorion, ”Financial Risk Manager
Handbook” (5th edition 2009), Wiley
f FRM study guide list: John Hull, Options,
Futures, and Other Derivatives (7th edition,
2008), Pearson Frank Fabozzi, Fixed Income
Mathematics (4th edition, 2008), McGrawHill-
Irwin. A complete syllabus will be distributed
to seminar participants with a list of selected
references.
SEMINAR OUTLINE
CAPITAL MARKETSf Introduction to derivatives
Valuation of forwards and futures
f Options
Valuation of options
f Fixed-income securities
Term structure of interest rates, fixed-income
and asset-backed securities
f Fixed-income derivatives
FRAs, Eurodollar futures, T-Bond futures, swaps,
caps, swaptions
f Equity, currencies & commodities markets
Convertible bonds and warrants, stock index
futures, currency swaps, commodity futures
M3 MASTERING ADVANCED TECHNIQUES
AND COMPLEX ISSUES IN FINANCIAL RISK
MANAGEMENT
(formerly: Financial Risk Management Seminar)
by Prof. Philippe Jorion
f This 5-day master course is designed for a target
audience of persons specialising in the field of
finance and/or risk management: risk managers,
treasurers and traders, risk analysts, portfolio
managers as well as all those who are interested
in this subject.
f Participants in the seminar should have had prior
exposure to quantitative methods, derivatives
and fixed income markets. At a minimum, they
should have taken the equivalent of an invest-
ment class in a conventional MBA programme.
f Ideally, these participants will follow the 2 pre-
vious preparation courses M’ FRM Mathematics,
Probabilities and Statistics and M’ FRM Review of
Capital Markets. Participants who do not regis-
ter for the M’ preparatory courses are asked to
provide a short curriculum vitae covering their
academic background and work experience.
f The purpose of this 5-day seminar is to provide
an overview of advanced techniques in Financial
Risk Management. It will cover market, credit,
operational risk, and integrated risk mana-
gement, as well as complex issues facing risk
managers in financial institutions. The format
will involve a mix of presentations, spreadsheet
examples and FRM exam questions. At the same
time, the seminar will provide a preparation to
the FRM examination administered in November.
f Please note that from 2010 onwards, candidates
will have two opportunities yearly as GARP will
also introduce a spring session. For more infor-
mation, please consult the following website:
www.garp.com/frmexam
MATERIALSf The seminar will follow the structure of the
following book, revised for 2009: Philippe
Jorion, ”Financial Risk Manager Handbook”,
(5th edition), Wiley. The book provides the core
body of knowledge for financial risk managers. It
was designed to provide support for candidates
taking the Financial Risk Manager (FRM) exami-
nation administered by the Global Association of
Risk Professionals (GARP).
COURSE OUTLINE
MARKET RISKf Introduction to market risk
Risk measurement methods,
Value at Risk (VAR), stress tests
f Sources of market risk
Interest rate risk, equity risk, currency risk,
commodity risk, mapping approach
f Hedging linear risk
Hedging with futures, minimum variance hedge
ratios, duration hedging
f Non-linear risk: options
Hedging with options, partial derivatives,
dynamic hedging
f Modeling risk factors
Choice of distributions, time variation in risk
f VAR methods
Delta-normal, historical simulation, Monte Carlo
simulation, limitations of risk systems
f VAR Tools: marginal, incremental and
component VAR
From measuring to managing risk: assessing the
effect of changing the portfolio
INVESTMENT RISKf Portfolio risk management
Risk and performance management,
risk budgeting
f Hedge fund risk management
Hedge fund strategies, mechanics of leverage
and shorting, hedge fund specific risks
CREDIT RISKf Introduction to credit risk
Drivers of credit risk
f Measuring actuarial credit risk
Measuring default risk from default rates
and recovery rates
f Measuring credit risk from market prices
Using bond prices and stock prices, structural
(Merton) models
f Credit exposure
Assessing current and potential credit exposure
on bonds and derivatives
f Credit derivatives and structured products
Credit default swaps, collateralized debt obliga-
tions, tranching, issues with securitization
f Portfolio credit risk model
Pricing credit risk, measuring portfolio credit risk,
commercial models (e.g. CreditMetrics)
INTEGRATED RISKf Operational risk
Approaches, assessment and management
f Liquidity risk
Asset liquidity risk and funding liquidity risk,
gap analysis
f Integrated risk management
Measuring economic capital, controlling traders,
RAROC, best practices reports
f Legal issues
Legal risks with derivatives, netting, ISDA master
netting agreement
REGULATORY REQUIREMENTf Regulation of financial institutions
Goals of financial regulation, systemic risk
f The Basel risk charges
Basel I and Basel II charges against credit, market
and operational risks
f The Basel market risk charges
Standardised approach, Internal Models
Approach (IMA), backtesting
LANGUAGESf M1 is available both in English and French.
All other courses are in English.
VENUEf Centre de Formation IFBL/Chambre de Commerce
7, rue Alcide de Gasperi, L-1615 Luxembourg
DATES, FEES AND CONDITIONSf See separate leaflet and check our website.
CONTACTSf PRiM
Risk Management Professionals in Luxembourg
c/o ABBL
59, boulevard Royal
L-2449 Luxembourg
Tel. +352 26 94 59 97 / Fax +352 26 94 59 98
www.prim.lu
f IFBL
Luxembourg Institute for Training in Banking
Customer Service
Tel. +352 46 50 16-1 / Fax +352 46 50 19
[email protected], www.ifbl.lu
Practical
information
DURATION
M1 FUNDAMENTALS OF FINANCIAL
RISK MANAGEMENT
M2 MEASURING AND MANAGING
MARKET RISK
M2 MEASURING AND MANAGING
CREDIT RISK
M2 MEASURING AND MANAGING
OPERATIONAL RISK
M’ FRM MATHEMATICS, PROBABILITIES
AND STATISTICS (Prof. Hübner)
M’ FRM REVIEW OF CAPITAL MARKETS
(Prof. Hübner)
M3 MASTERING ADVANCED TECHNIQUES
AND COMPLEX ISSUES IN FINANCIAL RISK
MANAGEMENT (Prof. Jorion)
Course Optional examination
8 hours 1 hour
16 hours 1.5 hours
16 hours 1.5 hours
8 hours 1.5 hours
24 hours n.a.
16 hours n.a.
40 hours n.a.
Form to be returned by mail or by fax to: IFBL ı 7, rue Alcide de Gasperi ı L-1615 Luxembourg ı Fax: 46 50 19 ı E-mail: [email protected]
PARTICIPANT
Surname First name
Date of birth
Address
Work phone Home phone
E-mail Fax
(for notification of all details)
EMPLOYER
Member Non-member GARP or PRiM Member (please attach proof)
Name
Surname of Training Manager First name
E-mail (obligatory)
(mandatory for notification of all details)
Billing address
Tel Fax
By signing the registration form, the participant declares that s/he accepts the general terms and conditions as set out in this brochure.
Date Signature
(Employer’s stamp mandatory)
REGISTRATION
PROFESSIONAL (Both sections to be completed (participant and employer))
PRIVATE (Non-members' price)
Participants who do not register for the preparatory week are asked to provide a short Curriculum Vitae covering their academic
background and work experience.
Training in Risk Management
Registration Form Course Please indicate date Examination* Please indicate date
M1 FUNDAMENTALS OF FINANCIAL RISK MANAGEMENT
M1 RISQUES FINANCIERS
M2 MEASURING AND MANAGING MARKET RISK
M2 MEASURING AND MANAGING CREDIT RISK
M2 MEASURING AND MANAGING OPERATIONAL RISK
M’ FRM MATHEMATICS, PROBABILITIES
AND STATISTICS (PROF. HÜBNER)
M’ FRM REVIEW OF CAPITAL MARKETS
(PROF. HÜBNER)
M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX
ISSUES IN FINANCIAL RISK MANAGEMENT (PROF. JORION)
* The optional examinations can be taken every Tuesday and the last Thursday of each month, except during school holidays.
www.ifb l.luwww.prim.lu
Training in
Financial Risk Management
M1 FUNDAMENTALS OF
FINANCIAL RISK MANAGEMENT
M1 RISQUES FINANCIERS
M2 MEASURING AND
MANAGING MARKET RISK
M2 MEASURING AND
MANAGING CREDIT RISK
M2 MEASURING AND
MANAGING OPERATIONAL RISK
M’ FRM MATHEMATICS,
PROBABILITIES AND STATISTICS
(PROF. HÜBNER)
M’ FRM REVIEW OF CAPITAL
MARKETS (PROF. HÜBNER)
M3 MASTERING ADVANCED
TECHNIQUES AND COMPLEX
ISSUES IN FINANCIAL RISK
MANAGEMENT (PROF. JORION)
6 April
7 May / 1 December
24 & 25 June /2 & 3 December
2 & 3 July / 10 & 11 December
9 July / 14 December
5, 6 & 7 October
Deadline for registration: 10 September
8 & 9 October
Deadline for registration: 10 September
12-16 October
Deadline for registration: 10 September
EUR 155,-/195,- (+ 3% VAT)
EUR 155,-/195,- (+ 3% VAT)
EUR 405,-/505,- (+ 3% VAT)
EUR 405,-/505,- (+ 3% VAT)
EUR 205,-/255,- (+ 3% VAT)
EUR 900,-/1,125,- (+ 3% VAT)
EUR 600,-/750,- (+ 3% VAT)
EUR 2,750,-/3,425,- (+ 3% VAT)
CONDITIONS FOR CANCELLATION
Cancellations must be made in writing. Full
course fees are payable if the cancellation is
received less than 5 working days before the
start of the course and if no medical certificate
has been handed in. For cancellations received
before this deadline, 20% of the registration fees
will be charged, with a minimum amount of
50 EUR and a maximum amount of 1,200 EUR.
A course participant can be replaced by another
participant at any time without additional
charges. This must be notified to us in writing.
EXAMINATION DATES AND PRICES
The optional examinations can be taken every
Tuesday and the last Thursday of each month,
except during school holidays.
DATES AND PRICES 2009