CRS™

Risk Specialist Masterclass

→ Scenario Analysis: approaches, outputs, reports and challenges
→ Stress Testing: approaches, outputs, reports and challenges
→ Governance, Risk, and Compliance (GRC): converged or GRC reporting
→ Reputational Risk: regulatory oversight of reputational risks, reputational risk management framework
→ Fraud Risk: internal fraud, external fraud, anti-fraud regulations and best practices

Group and Plenary Discussions: how can risk professionals enhance the effectiveness of related risk management activities such as legal and regulatory risk management, people risk management, technology risk management and strategic risk management?
Interactive Tasks: perform a scenario analysis of real life situations
Comprehensive Case Studies: how to do a plausible stress testing

→ Short-Term Exposure to Changes in Market Prices: credit instruments, models of shortterm credit exposure, risk reporting for market credit exposures
→ Modelling Single-Name Credit Risk: estimating the Probability of Default (PD), Loss Given Default (LGD) and Amount Owed at Default (AOD), The OptionTheoretic Approach
→ Portfolio Credit Risk: estimating default correlations, Monte Carlo simulation, computational alternatives to full simulation, risk reporting for portfolio credit exposures

Group and Plenary Discussions: what are the recent innovations in credit instruments and their risk implications?
Interactive Tasks: estimate PD, LGD and AOD in real life situations
Comprehensive Case Studies: how to impellent best practices in managing and reporting on portfolio credit risk

→ Definition and Scope of Multiname Credit Derivatives
→ Modelling of Multiname Credit Derivatives
→ Risk Management and Reporting for Multiname Credit Derivatives
→ Collateralized Debt Obligation (CDO) Tranches and Systematic Risk

→ Counterparty Credit Risk
→ Exchange-Traded Derivatives
→ Over-the-Counter Derivatives: the LoanEquivalent Approach, Collateralization Approach and Active Management Approach

→ Liquidity Risk
→ Monitoring Liquidity, Liquidity Buffer and Term Structure of funding
→ The Links between Credit Risk and Liquidity Risk
→ Cost of Liquidity and Fund Transfer Pricing
→ Liquidity Risk and the Cost of Funding in Derivative Contracts

Group and Plenary Discussions: how to jointly manage credit risk and liquidity risk to maximize value created?
Interactive Tasks: build a comprehensive credit risk management and reporting framework
Comprehensive Case Studies: how to effectively use derivatives to manage both credit risk and liquidity risk

→ Model Risk: model risk evaluation and control, model verification of deal representation, model verification of approximations, model validation, continuous and periodic reviews
→ Liquid and Illiquid Instruments: choice of model validation approach, choice of liquid proxy, design of Monte Carlo simulation, implications for marking to market and risk reporting
→ Spot Risk: foreign exchange spot risk, equity spot risk, physical commodities spot risk

→ Forward Risk: financial instruments, mathematical models, risk reporting
→ Vanilla Options Risk: path dependence of dynamic hedging, simulation of dynamic hedging, delta hedging, volatility surface, risk reporting
→ Exotic Options Risk: single-payout options, time-dependent options, path-dependent options, correlation-dependent options, correlation-dependent interest rate options

Group and Plenary Discussions: how can risk professionals cost-effectively minimize model risk?
Interactive Tasks: apply dynamic and delta hedging and build a volatility surface in real life situations
Comprehensive Case Studies: how to timely and fairly report on market risk exposures and management practices

Open Discussion on the Five-day Event
Q & A between the Trainer and Participants
Final Exam