Financial Risk Management: What are the principles and mechanisms of Risk Mangement in banks? by Jean-Bernard Caen

About the training

#riskidentification   #riskcartography   #capital   #economiccapital   #economiccapital   #stresstesting   #var   #cvar   #expectedshortfall   #statistics   #IRBA   #basel   #ECL   #riskreturn   #RAROC   #EVA   #correlations   #creditrisk   #regulatorycapital   #rwa   #marketrisks   #frtb

The purpose of this seminar is to introduce the principles and mechanisms of financial risk management in banks. Over three days, we address 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 discover the nature of the risks banks are facing. We start with a brief history of risk management for money games to 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 translate into the regulatory and the economic frameworks. 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 facilitate assimilating these principles and techniques. Day 3 addresses the management of risks: How to control and mitigate them? 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 fulfill 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.