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Basel II Market Risk Assessment

By: TSI Limited

Lagos State, Nigeria

08 - 10 Sep, 2014  3 days

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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
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 modelling, 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
Sizzler House, 33 International Airport Road, Ajao Estate, Lagos, Nigeria Sep 08 - 10 Sep, 2014
(Convert Currency)

+1-646-202-8832, +2348033467639

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