Nigerian Seminars and Trainings

Search conferences, training, seminars, courses and workshops in Nigeria and around the world

business logo

Basel II Market Risk Assessment

By: TSI Limited

Lagos State, Nigeria

08 - 10 Sep, 2014  3 days

Follow Event

  

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
NGN250,000.00
(Convert Currency)

+1-646-202-8832, +2348033467639

Related Courses
Financial Planning for Executive Managers	Financial Planning for Executive Managers

3 days, 14 - 16 Jun, 2017 

2017-06-14 12:06:00
Lagos State, Nigeria

TSI Limited

There is nothing more difficult to take in hand, more perilous to conduct, or more uncertain in its success, than to take the lead in the introduction of a new order of things.” ...

Long Only Equity Portfolio Management Long Only Equity Portfolio Management

3 days, 16 - 18 Oct, 2017 

2017-10-16 12:10:00
Lagos State, Nigeria

TSI Limited

This training course covers all the aspects of the management of a long only equity portfolio from benchmark selection to risk assessment and performance evaluation, including the equity selection ...

Reward Management Course Reward Management Course

3 days, 06 - 08 Sep, 2017 

2017-09-06 12:09:00
Lagos State, Nigeria

TSI Limited

Reward is a very important tool in motivating the workforce, hence the need for this training. Participants would be introduced to the total rewards model and each of its components. ...

Equity Market Mechanism Equity Market Mechanism

3 days, 28 - 30 Aug, 2017 

2017-08-28 12:08:00
Lagos State, Nigeria

TSI Limited

This training aims to introduce the equity market mechanics as well as the available methods of fundamental analysis, technical analysis and position hedging. Theoretical concepts are illustrated by ...