BA1 - Banking Risk Reporting

Course Objectives

This outline sets out the programme for a 3 day Advanced Banking Risk Reporting course using best practice techniques.  Through case studies and exercises, delegates will learn and develop the key skills required to identify critical risk elements in banking. In addition, they will be exposed to the advanced methods for reporting and managing such risks.

By the end if the course, delegates will:

  •     Understand the nature and causes of banking risks

  •     Have a clear understanding of the risk management process

  •     Understand asset-liability management models

  •     Understand both credit risk models and market risk

  •     Understand the complexities of portfolio and capital management

Day 1 Banking Risks

Banking risks

  •     Understanding banking business lines

  •     The risks inherent in banking situation

  •     Regulations governing banking risks

Risk management

  •     Understanding the risk management process

  •     Developing the bank-wide risk management process

Risk modeling

  •     Measuring sensitivity and volatility

  •     VaR and capital

  •     Valuation

Asset liability management

  •     Liquidity gaps

  •     Interest rates gaps

  •     Hedging and derivatives    

  •     AML models

Day 2: Risk Management

Mark-to-Market Management

  •     Market value and NPV of the balance sheet

  •     NPV and convexity risks

  •     Interest rate risks

Funds transfer pricing

  •     FTP Systems

  •     Economic transfer prices

Portfolio analysis

  •     Correlations and portfolio affects

Market risk

  •     Understanding market risks    

  •     Models for market risks

  •     Portfolio market risk

Credit risk models

  •     Risk drivers

  •     Risk exposures

  •     Standalone risk

  •     Risk correlations

  •     Portfolio risk

  •     Capital risk

Day 3: Credit Risks

Standalone risk

  •     Credit risk drivers

  •     Rating system

  •     Econometric models

  •     The options approach

  •     Credit risk exposures

  •     Credit risk valuations

  •     Credits spreads

Portfolio risk

  •     Modeling risk correlations

  •     Portfolio loss distributions

  •     Analytical lost distributions

  •     Monte Carlo simulation

  •     Capital and credit risk VaR

Capital Allocation

  •     Capital avocation and risk contributions

  •     Marginal risk contributions

Risk adjusted performance

  •     Implementing risk adjusted performance

Who Should Attend

Bankers, Accountants, Auditors and consultants who are required to understand risk reporting in banking in the course of their duties.  In addition, corporate financial managers will find it beneficial. 

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