BASEL II Market Risk Assessment

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Course Overview Training on market risk assessment using the Basel II framework This training requires an understanding of statistical notions, and financial mathematics, as well as a fair knowledge of the financial instruments mentioned in the course (underlying, options). Course Objectives..

Start Date:

10 September, 2018.

End Date:

12 September, 2018.

Amount:

NGN 180,000.00

Category:

Banking and Finance

Course Overview

Training on market risk assessment using the Basel II framework
This training requires an understanding of statistical notions, and financial mathematics, as well as a fair knowledge of the financial instruments mentioned in the course (underlying, options).

Course Objectives

To prepare participants with the required skill to operate successfully

Course Outline

General framework of market risk assessment

- Scope and implications of the capital requirements
- Asset valuation methodology : mark-to-market, mark-to-model
- Actions on counterpart risk within the trading book
- Introduction to the assessment methods : standardized approach, internal rating models
- VaR assessment: historical method, risk modeling, Monte Carlo simulation
Application : Assessing the 99% VaR of a portfolio containing two assets using different methods

Assessing the interest rate risk
- Specific risk: risk related to the issuer, hedging with credit derivatives
- General market risk: maturity/duration, advanced methods (Vacisek, Cox-Ingersoll)
- Risk related to interest rate derivatives : positions, forward contracts
Applications: Calculating the capital requirements of several interest rate products

 Assessing equity risk
- Assessing specific risk and general risk
- Index-related risk and requirements affecting arbitrage
- Calculating the VaR of an equity portfolio using the BARRA model
Applications: Calculating the capital requirements of an equity portfolio

Assessing forex risk

- Assessing the position in a given currency
- Assessing positions in multiple currencies
- Procedures applicable to structural positions
Applications: Calculating the capital requirements of several forex positions

Assessing risk on basic products (commodities)
- Directional risk
- Long term asymmetry risk
- Basis risk
Applications : calculating the capital requirements for several commodity futures portfolio

Managing options related risk
- Delta plus approach: delta, gamma, vega
- Matrix analysis approach: variation intervals
- Advanced approaches: Black-Sholes, Crank-Nicolson, volatility surfaces

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Phone Number:

+2348033467639

Email:

megaheads@gmail.com

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