Corporate Governance

Market Risk Management

Face-to-face3 days

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Course Modules

  • 1. overview of market risk

    • Definition of Market Risk
    • How Market Risk sits alongside other risks such as Credit, Liquidity, Operational and Conduct
    • Principal types of Market Risk – Interest Rate, Foreign Exchange, Equity and Commodity
    • Why and how all banks acquire Market Risk
  • 2. basic accouting and financial background

    • The structure of a bank’s balance sheet
    • The nature and purpose of capital
    • Basics of discounted cash flow
    • Mark to market v. accrual accounting
    • Derivative financial instruments
    • The concept of “option” contracts
    • The idea of “hedging”
    • Concept of a separate “trading book”
  • 3. market risk in a “trading” book

    • The nature of “trading” activity
    • Accounting and regulatory requirements
    • Principal risk measures – positional, sensitivity and Value at Risk
    • An appropriate limit and control framework
    • Famous disasters – Barings, AIB, NAB etc
  • 4. market risk in a “banking” book

    • The nature of “banking” activity
    • Concept of “hold to maturity”
    • Accounting and regulatory requirements
    • Principal risk measures – gaps, income sensitivity and value sensitivity
    • Risk to “value” or to “margin”?
    • The role of the Treasury function
    • Principal hedging tools available
    • The importance of behavioural assumptions
    • Market risks stemming from impaired assets
  • 5. market risk across the bank

    • Hedging of Capital and Reserves
    • Macro hedging – uses and abuses
    • Structural foreign exchange risk
    • Credit spread risk and the blurred boundary between market and credit risk
  • 6. governance of market risk

    • The importance of Board risk appetite
    • An appropriate policy framework
    • An appropriate committee structure
    • Encouraging the right behaviours
    • The importance of good risk reporting
    • Stress and scenario testing
    • Model validation and data reconciliation
    • Segregation of duties – 3 lines of defence
    • Current regulatory developments – meeting the requirements of Basel 2

Further Information

  • Who should attend?

    The programme  is suitable both for generalist bankers, as well as for specialists from fields such as Treasury, Risk, Audit and Finance. No prior knowledge or skills are required other than a reasonable level of numeracy and some appreciation of the fundamental workings of a bank. The programme is, therefore, equally suitable for experienced bankers and recent entrants to a bank, who might be seeking answers to questions such as:

    • What are the different types of market risk?
    • Is market risk something all banks need to worry about, or only larger international banks?
    • What are the hidden risks in my bank’s products?
    • How might a change in exchange rates or interest rates affect our business?
    • What exactly do the various “risk numbers” produced by my bank actually mean?  Should I challenge them?
    • What risks is the treasury function running?  Are those risk being controlled effectively?
    • What would my regulator consider to be an appropriate control framework  for market risk?
    • Why are global regulators now looking afresh at the capital necessary to support market risk?
  • Training needs analysis & post-training evaluation

    To ensure that participants gain maximum benefit from the course, it is our practice to send a detailed questionnaire to all course participants to ensure we fully understand their specific training needs and objectives.

    The completed questionnaires are analysed by the course instructor who will tailor the course content and style of delivery to the requirements of the participants.

    Following completion of the course, participants are asked to measure and assess the effectiveness of the training. The results are collated and reviewed, and the analysis shared directly with the relevant client stakeholders.

  • Tools, models & templates

    Courses are supplemented with a range of practical documented methodologies, models, tools, and templates refined from best practice, and tried and tested in a range of leading banks. Participants can take these back to the workplace to adapt and apply, and wherever appropriate, to make a tangible improvement to policy and practice in their own bank.

    This course includes:

    • Full written notes on each of the six modules
    • Soft copies of all course exercises and answers
    • Soft copies of the various spreadsheet models used in the exercises
  • Terms & Conditions

    Total fee cost for the delivery of the 3 day course at the client’s site is US$ 11,500 (eleven thousand five hundred United States Dollars).

    This is EXCLUSIVE of:

    • Flights (discounted business class)
    • Accommodation (min. 4ê) for every night required on site
    • Local travel costs and subsistence; and
    • Venue and equipment hire (if required) and materials production.

    These additional items will be for the account of the client or, alternatively, we can provide an all-inclusive quote encompassing all expenses if that is more convenient.

    GBRW Learning can also host the course at or near our London headquarters for an all-inclusive fee of US$14,500 plus VAT. This includes venue and equipment hire but does NOT include the travel, accommodation and subsistence expenses of participants. Please contact us for revised pricing.

    A 60% deposit is payable one-month prior to the scheduled course date, with the balance payable immediately following completion of the course.

    Note: Discounts are available for multiple course bookings

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