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

03 - 05 Aug, 2015  3 days

Follow Event


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
Sizzler House, 33 International Airport Road, Ajao Estate, Lagos, Nigeria Aug 03 - 05 Aug, 2015
(Convert Currency)

+1-646-202-8832, +2348033467639, +2348023019508,

Related Courses
People Management Skill People Management Skill

3 days, 16 - 18 Jul, 2018 

2018-07-16 12:07:00
Lagos State, Nigeria

TSI Limited

Managing people requires different skills, to managing tasks. This can be a daunting experience for new managers, as the list of responsibilities is endless, from leading and motivating your team to ...

Financial Instrument Accounting Financial Instrument Accounting

3 days, 09 - 11 Jul, 2018 

2018-07-09 12:07:00
Lagos State, Nigeria

TSI Limited

This training course aims to provide a hands-on knowledge of the accounting of financial instruments in accordance with IAS/IFRS statements (IAS 32, IAS 39, and IFRS 7). The spotlight is deliberately ...

Bond and Fixed Income Trading Workshop Bond and Fixed Income Trading Workshop

3 days, 08 - 10 Oct, 2018 

2018-10-08 12:10:00
Lagos State, Nigeria

TSI Limited

The global corporate and government bond markets have experienced a renewal of substantial rates of growth in issuance since the global financial crisis, the result of a variety of factors-increased ...

Records and Information Management I Records and Information Management I

3 days, 26 - 28 Nov, 2018 

2018-11-26 12:11:00
Lagos State, Nigeria

TSI Limited

Records and Information Management training course is a management skill which is applied in the control of records, created and received by an organization in the course of its business. Records are ...