Program Çertifikues: Menaxhimi i Rrezikut në Bankë, niveli bazë (pjesa II)

11/09/2017

When:
September 11, 2017 @ 9:44 am – September 15, 2017 @ 10:44 am
2017-09-11T09:44:00+00:00
2017-09-15T10:44:00+00:00
Where:
Tiranë
Shqipëria


Objectives

The certification programme Risk Management in Banking, Foundation Level provides participants with a solid foundation in risk management, which can serve as a basis for more advanced courses or as an entry into risk management.

This customised programme is delivered in 2 parts and consists of four modules:

Part I (which has been delivered in 2016): Applied Risk Management in Banking (fundamentals)

  • Introduction
  • Market Risk
  • Credit Risk
  • Operational Risk
  • Liquidity risk

Part II: Applied Risk Management in Banking (advanced level)

  • Market Risk
  • Credit Risk
  • Operational Risk
  • Liquidity Risk
  • Review of material and examination for certification

Methodology

The methodology used in all the courses is a combination of theory and numerous practical exercises, interaction between trainer and participants and case studies.

Target group

Professionals from banks and financial institutions with at least 3 years of experience with direct interest in and exposure to risk management in their work (regulation, supervision, …)

Examination

The participants will have their newly acquired knowledge validated through a written exam, and will be granted, once completed the two parts, a certificate of success issued by the Luxembourg Association for Risk Management (ALRiM) and the House of Training

Language

A good command of English is required.

Participants

The same participants who participated in Part I in Tirana in October/November 2016.

Expert

Mr Stefano Bragoli, Member of the House of Training Quality Circle ALRiM in Risk Management
Stefano started his career in 1999 as adjoint professor in Quantitative Finance at the University of Brescia. He joined the EIB Group in 2003 where he held several positions both in the Risk Management (e.g. credit risk modelling and monitoring, Basel II, ALM) and Lending Department. Stefano is currently working in the Portfolio Guarantees Division which deals, among others, with the implementation of the InnovFin SME guarantee. The latter is a joint EIB and European Commission initiative, funded jointly by the EIB and the EU’s Research Framework Programme Horizon 2020, which supports research, development and innovation (RDI) projects by improving access to debt financing and creating additional funding capacity for the sector. Launched in June 2014, it directly promotes the EU’s objective of making Europe the world’s most competitive, knowledge-driven economy. Stefano holds a Master Degree in Quantitative Finance from the University of Brescia

Place & Date

5 days, exam included

2nd Part: from September 11 until September 15 included, 2017

Content

DAY 1 market risk – PART 2 Advanced

Components of Market Risk:
  1. Equity risk
  2. Interest rate risk
  3. Currency risk
  4. Commodities risk
Market Risk on Derivatives and Portfolios
Value at Risk and Stress Testing
  1. Characteristics of VaR
  2. Methods of calculating VaR
  3. Stress testing
  4. Back testing and scenario analysis
Regulatory Environment for Market Risk
  1. Market risk in the Basel Accord
  2. Standardised Method
  3. Internal Model Approach
Market Risk Reporting

DAY 2 CREDIT/ COUNTERPARTY risk – PART 2 ADVANCED

Introduction and Definitions
  1. Components of credit risk
  2. Variables in credit risk models
Credit Risk in Different Financial Instruments/Activities
  1. Lending
  2. Bonds
  3. Derivatives
Internal Credit Assessment
External Credit Ratings
Key Concepts of Credit Risk Measurement
  1. Default and Transition Matrices
  2. Expected Loss (EL) and Unexpected Loss (UL)
  3. Credit portfolio management and Credit VaR
Regulatory Requirements for Banks
  1. The Standardised Approach
  2. The Internal Ratings Based (IRB) Approach
  3. Credit risk mitigation techniques
  4. Counterparty credit risk
Credit Risk Reporting

DAY 3 OPERATIONAL RISK – PART 2 ADVANCED

Causes of operational risk:
  1. Internal processes
  2. People
  3. Systems
  4. External events
Managing operational risk:
  1. Practices
  2. Organisation
  3. Governance
Hedging against operational risk
Operational risk in the Basel Accord

DAY 4 LIQUIDITY RISK – PART 2 ADVANCED

Liquidity risk as a consequential risk
Types of liquidity risk
  1. Assets
  2. Funding
Asset and liability management
Governance and liquidity risk
Hedging against liquidity risk
Liquidity risk and the Financial Crisis of 2008
Liquidity risk in the Basel Accord
Future trends in risk management

Day 5: Review and Exam

Share on FacebookShare on Google+Tweet about this on TwitterShare on LinkedIn