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Basel II Market Risk Assessment

By: TSI Limited

Lagos State, Nigeria

03 - 05 Aug, 2015  3 days

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