This extensive three-day program begins with an introduction to financial risk management including lessons from the past and the implications for managing risk at both a firmwide and desk level. After gaining a tool kit of practical techniques, the delegates will then learn how to apply these in a variety of risk management situations. This includes describing market risk with Greeks, as well as combining risk across traders and trading desks to produce meaningful risk reports. This is then extended into an analysis of the process of setting and monitoring risk limits.

Day two focuses on Market and Credit risk. The concepts of VaR and expected shortfall are introduced with a focus on the interpretation of these common risk measures. Advantages and problems with different methods of calculation of VaR and expected shortfall are considered in some detail. This moves on to consider risk management in times of crisis including scenario risk management and stress testing. The credit section includes understanding the drivers of credit risk and credit markets, recovery and the probability of default, and finally the complexities introduced by structured credit products.

The third day focuses on Counterparty, Liquidity, and Operational Risk. In particular, the course covers current best practice in counterparty risk management including setting exposure limits, potential future exposure and wrong-way risk. Both market and funding liquidity are considered. Techniques are explored to measure these risks and manage exposures during periods of market illiquidity. Finally, the issue of operational risk is covered. Consideration is given to the different sources of operational risk, and techniques that can be used to measure and minimize this frequently forgotten risk class.

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