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Stockholm 2020 www.ftpcourses.com Certified Risk Manager Stockholm September 30 - October 1 2020 November 4-5 December 1-2 Practical Information Who should participate? “Really excellent course going to This certification program is relevant for anyone the core of the most fundamental wanting a deep and broad knowledge of how to measure and manage financial risks. You will parts. The instructor really knows learn how to measure and manage market risk, the subject and can explain things credit risk, liquidity risk and operational risk. in many different ways.” Henrik Larsen, Nordea Bank Content Certified Risk Manager 2019 The education contains three 2-day modules. In between the modules, you will be asked to read relevant material and solve exercises. After the “The information is easy to relate final module you have the possibility to take an exam to become a Certified Risk Manager. to my daily work. The instructor talks in a comfortable way and not too fast. Makes the class ask ques- tions and “tests” us to be better.” Evelina Kalmnäs Lindqvist, Förste AP-Fonden Certified Risk Manager 2019 Module 1 – Market Risk Measurement and Management September 30, 2020 October 1, 2020 1. Risk on Single Instruments 3. Value at Risk, continued • Fixed Income Risk • Equity Risk 4. Capital Requirements on Market Risk, • FX Risk Backtesting and Future Regulation • Derivatives Risk • Capital Requirements • Fundamental Review of the Trading 2. Volatility and Correlation Book • Simple Moving Average • Backtesting • Exponentially-weighted Moving Average • GARCH-model 5. Stresstesting • Objectives and Methods 3. Value at Risk and Expected Shortfall • Experiences from the Crisis • Delta Normal VaR • Historical Simulation-based VaR • Expected Shortfall • Marginal, Component and Incremental VaR Module 2 – Credit Risk Measurement and Management November 4, 2020 November 5, 2020 1. Introduction to Credit Measurement 4. Counterparty Risk on Derivatives and Management • Approaches to Measuring Counterparty Risk 2. Key Credit Risk Parameter • CVA, DVA, FVA and BCVA • PD, EAD, LGD, Conversion Factor, • Hedging Counterparty Risk Recoveries and Correlations • Calculation and Interpretation 6. Capital Requirements • Standard or IRB-method 3. Credit Risk Models • CVA-charge • BIS IV • KMV Moody’s • CreditMetricsTM • Portfolio and Marginal Credit Risk 7. Credit Default Swaps • Conventions and Market of CDS’ • Hedging using CDS Module 3 - Operational Risk and Liquidity Risk December 1, 2020 December 2, 2020 Operational Risk Liquidity Risk 1. Introduction to Operational Risk 1. Introduction to Liquidity Risk Management Management 2. Liquidity Ratios 2. Measuring and Managing Operational • Liquidity Coverage Ratio Risk • Net Stable Funding Ratio • Heat Map • Additional Liquidity Monitoring Metrics • Risk Control Self Assessement • Building Databases 3. GAP-analysis • Liquidity Curve 3. Key Risk Indicators • Liquidity at Risk 4. Capital Requirements for Operational 4. Stresstesting and Contingency Funding Risk Plan • Basic Indicator, Standard Method or • Market Liquidity Risk Advanced Measurement Approach • Building a CFP • Operational Risk in the Insurance Industry • Future Regulation (BIS IV) EXAM Practical information Time and place Instructor The education consists of three modules all held Jørgen Just Andresen in central Stockholm. The modules are held from Jørgen Just Andresen is managing director of 9 am to 4.00 pm. Financial Training Partner A/S, which he co- founded in 2002. Language All modules are presented in English. He has many years of teaching experience as a chief consultant at SimCorp’s training depart- Registration ment, which he joined in 1996. Prior to SimCorp Via www.FinancialTP.com he worked at Danske Bank with fixed income research and fixed income sales. Price Jørgen Just Andresen is also an external lecturer The price for the education is SEK 40.000 at Copenhagen Business School and was awar- and covers training, lunch and refreshments, ded teacher of the year at Graduate Diploma in exercises between the modules, course material, Business Administration (Financial planning). exam and diploma. He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing. He holds an M.Sc. (international finance) and an HD (accounting). Financial Training Partner A/S Financial Training Partner is a leading Scandinavian provider of financial training and have worked with all large financial institutions in Scandinavia. We offer open financial courses, certification programs, tailor made inhouse courses, confe- rences and consultancy. Tlf. +45 70 23 23 10 [email protected] www.FinancialTP.com.
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