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1-Day Risk Management


A 1-day Risk Management issues primer for market professional who are already experienced in capital markets activities and wish to understand more of the issues from a risk perspective. Particular emphasis is given to market, credit and operational risk aspects of trading operations, particularly banks and securities firms:

Will learn:

·         how to assess risk in a financial institution and for position keeping

·         how to quantify risks in terms of probability distributions 

·         techniques to assign risk factors to any operation

·         techniques to manage risks using tradition control techniques and new methodologies such as VAR

Audience: market professionals with at least 1-year experience (some understanding of markets/products helpful)

·         Traders, sales, support, middle office

·         Risk Management

·         Senior Management

Table of Contents 

1)   Introduction to risk: discussion of risk in financial institutions as probability of loss, and how some risks are more difficult to quantify, the difference between position keeping and summary risk management.

2)   Concepts of Risk: variability of events and review of probabilistic descriptions of risk.

3)   Market data: How market data can be used to build up a risk assessment framework, particularly in respect of market risk techniques such as VaR.

4)   Risk measurement: covers sensitivity (V01, delta, etc) as well as VaR, scenarios, and stress test risk measurement methods and their implications.

5)   Special types of risk: particular aspects of products and markets that are non-standard and lead to unusual or unexpected risk profiles including liquidity, event risks, and many others.

6)   Quantification and ranking of risks: Quantitative examination of risk from market, credit and operational perspectives and how these fit together as a whole within an institution, includes VaR measurement.

7)   Managing risk: using the derived information to formulate and implement risk policy and managing and controlling the risks via the practical implementation of that policy including limits, stop losses to senior management oversight and control.

8)   Risk systems: how software can help in the risk management process, but understanding the limitations and responsibilities of the control culture as separate to just the “black box”.

9)   Case Study: Risk management analysis study using market risk data and example portfolios.


  120 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Note: we can easily include other topics, which you have an interest in (and are not listed here).  Please "vote" for  your preferences for additional topics, products, and markets via the sign-up process (web or hardcopy which we can fax/mail to you).

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Last modified: July 25, 2011