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

• 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