f

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
NGN260,000.00
(Convert Currency)

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

Related Courses
Islamic Finance Overview Islamic Finance Overview

3 days, 23 - 25 Oct, 2017 

2017-10-23 12:10:00
Lagos State, Nigeria

TSI Limited

This training course aims to provide an understanding of the fundamental principles of islamic finance as well as of the related contracts and financial instruments. Numerous practical applications ...

Effective Fraud and Corruption Management Effective Fraud and Corruption Management

3 days, 09 - 11 Aug, 2017 

2017-08-09 12:08:00
Lagos State, Nigeria

TSI Limited

Fraud and Corruption remain a huge menace in the corporate world. Government establishment too are not finding it easy under the scourge of fraud and corruption. This course is intended to expose ...

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 ...

Public Private Partnership - Project Finance and PPP Public Private Partnership - Project Finance and PPP

3 days, 21 - 23 Aug, 2017 

2017-08-21 12:08:00
Lagos State, Nigeria

TSI Limited

The concept of PPP obligates a more collaborative relationship between both sectors, fostered by openness and trust. This presents a major shift from the traditional 'arms-length' approach in ...