This course explains the basic methods used by financial institutions to measure market risk, how the measurements are made and what they show. It will also explain the advantages and disadvantages of the techniques and why several risk measures are normally used together.

Who is this course for?

The course is relevant for those working in treasury, supporting treasury or using treasury reports and information. This includes risk, finance, audit, product control, regulatory reporting and NEDs.

What is the level?

The course is at an introductory level and assumes no prior knowledge. There will be a mixture of presentation material, case studies, questions and answers.

This is what you will learn:

• What market risk is and how it is measured including;
• Foreign exchange risk;
• Gap reports and what they show you;
• Duration -  what it is and how it is used;
• Basis point value, (PV01/DV01);
• Value at risk;
• Earnings at risk;
• The strengths and weaknesses of these measures;
• Stress testing and why it is important;
• Basis risk, what it is, how it is reported and why it is important;
• When things go wrong.

Course date 25th April 2012.

Course fee £595 + VAT per person.

Cancellations may be made up to 20 days before the event. A £50 administrative charge will apply. Refunds cannot be made for later cancellations but substitution can be made at any time.

If you prefer an invoice please contact us.

Also available as an in-house course

This course has expired

Venue
London

Course Director
William Webster

Questions
Any questions about this course?

Course Summary

Morning

Introduction

• What market risk is
• Why we measure it

How market risk occurs

• Foreign exchange exposure
• Interest rate risk
• Day-to-day mismatches
• Trading
• Ineffective hedging

Measuring foreign exchange risk

• Spot equivalency
• Strengths & weaknesses

Measuring interest rate risk:

Gap reports

• What they are and how they work
• What they show and what they don’t show
• Pipeline risk and options
• Strengths & weaknesses

Duration

• Simple & modified duration
• What it shows
• How you can use it
• Strengths & weaknesses

Basis point value

• What it shows
• How you can use it
• Strengths & weaknesses

Afternoon

Value at risk

• What it is
• Single position VAR
• Diversified & undiversified VAR
• Why it is used
• Strengths & weaknesses

Earnings at risk

• What it shows
• How you can use it
• Strengths & weaknesses

Basis Risk

• What it is
• Why you need to measure it
• Limits on basis risk

“Normal” market conditions

• Why risk measures do not capture all the risks you have
• Why it is important to use a combination of measures to report risk

Where risk reporting can go wrong

• Unreported exposures
• Data validity
• Interpretation

End of workshop and review

What do people think about this course?

"I would like to thank you once again for an excellent introduction to interest rate risk and as you have noted it was well received by us all. 

From my point of view you have given me the confidence to look forward to the challenge of implementing a new interest rate risk system and to further develop my understanding of this complex yet increasingly more important area". 

LG, Group Finance

"I really enjoyed the course, and hope to get the chance to attend more in the future".

AC, Balance Sheet Risk Management

"Many thanks for the information and a thoroughly informative and enjoyable course".

RL, Finance

Course Director

William Webster has 27 years of practical financial markets experience. He has worked for Barclays, First Chicago, BNP and ANZ. From 1994 to 1999 he was Head of Treasury at Nacional Financiera, London branch. He has first hand experience of trading foreign exchange, money market, fixed income and derivative products in both mainstream and emerging markets.

William established Barbican Consulting Limited in 1991 in response to the need for practical financial training.  He now runs this business on a full time basis undertaking training & consultancy for an established client base of financial institutions in Europe. He holds a degree in Banking and Finance, together with an MBA from City University, is an Associate of the Chartered Institute of Bankers and a member of The Institute of Directors.

In the words of one client "William knows his stuff".