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Banking Risk

"Banking Risk" Module is part of the "Certified Chief Risk Officer (C-CRO)" training program.

Subject Areas

  • Introduction to Risk Management
    • Lessons from financial disasters
    • Brief history of risk metrics and risk management techniques
      • Introduction to different metrics: Value at Risk, Expected Shortfall, Potential Future Exposure
    • Real world asset dynamics

  • VaR: Historical simulation
    • Advantages and disadvantages
    • Error estimation techniques
    • Refinements and improvements
    • Filtered historical simulation

  • VaR: Parametric evaluation
    • Basic formulation and Matrix notation
    • Marginal, incremental and component VaR
    • Factor loadings
    • Variance – covariance matrix
    • Minimum Variance Hedge

  • VaR: Monte Carlo simulation
    • Value at risk: Monte Carlo simulation
    • Monte Carlo applications in finance
    • Long term market simulations
    • Non-linear derivatives (options)
    • Hedge effectiveness

  • Credit risk
    • Credit instruments and asymmetric payoffs
    • Returns of credit portfolios
    • Modeling the credit event
      • Merton model
      • Credit-metrics approach
      • Single factor model and Basel II formulas
    • Where market and credit risk intersect: Credit Valuation Adjustment

Seminar Timetable

Date
1st & 2nd Teaching Hour
Break
3rd & 4th Teaching Hour
4th of November
18.30 - 20.00
20:00 - 20:15
20.15 - 21.45
6th of November
18.30 - 20.00
20:00 - 20:15
20:15 - 21:45
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Course Start Date
4 of November 2024

Cost of Attendance

600 €
  • 12 Hours
  • Live or Online
  • Attendance Certificate

Lecturer

John <br/>Synodinos PhD
John
Synodinos PhD
Assistant General Manager:
Head, Group Model Validation and
Governance Sector at Eurobank