Financial Risk Manager Crash Review Course

• Quantitative and Fixed Income Analysis
• Capital Markets
• Market Risk Management
• Credit Risk Management
• Operational & Integrated Risk Management
• Legal, Accounting, and Tax Risk Management
• Regulation and Compliance

This course has been designed as an intensive preparation for the GARP Financial Risk Manager Certification Exam. You can learn more about this exam at www.garp.com. The course has been designed strictly along the lines of the FRM curriculum. The format will be classroom presentations interchanging with FRM format “examinations” and Q+A sessions. To benefit from this very intensive course, participants must have read or otherwise familiarized themselves with the reference materials suggested by GARP. In addition, participants in the 2001 FRM Crash Review Course will have access to a number of online calculators and "mock" examination sessions.

 

Day One

08.30 - 08.45  Welcome Address

08.45 - 12.00  Quantitative and Fixed Income Analysis

• Time value of money
• Probability distributions and their properties
• Correlation and regression analysis
• Correlation and regression forecasting
• Exercises
• Bond pricing, yield analysis
• Price volatility of bonds
• Yield curve and duration
• Exercises
• Test

12.00 - 13.00  Lunch

13.00 - 17.00  Capital Markets

• Fixed income derivatives
• Foreign exchange derivatives
• Futures, forwards
• Exercises
• Swaps
• Options
• Equity derivatives
• Commodity derivatives
• Emerging markets
• Exercises
• Test

Day Two

08.30 - 08.45  Recap

08.45 - 12.00  Market Risk Management

• Interest rate risk
• Foreign exchange risk
• Equity risk
• Commodity risk
• Emerging market risk
• Liquidity risk
• Derivatives risk
• Portfolio risk
• VaR
  - Approaches to VaR
  - Parametric VaR
  - Delta-Normal VaR
  - Simulation VaR
  - Stress Testing
• Test

12.00 - 13.00  Lunch

13.00 - 17.00  Credit Risk Management

• Credit exposure and credit risk
• Counterparty exposure and countparty risk
• Default probability and recovery rate
• Credit rating migration
• Netting
• Margin and Collateral Requirements
• Pre Settlement Risk
• Settlement Risk
• Counterparty Risk
• Portfolio credit risk
• Measuring and managing credit risk
• Credit derivatives
• Exercises
• Test

Day Three

08.30 - 08.45  Recap

08.45 - 10.30  Operational & Integrated Risk Management

• Operational risk
• Policies and procedures
• Best practices
• Business structure
• Firmwide risk management
• Calculation of risk capital
• RAROC
• Model risk
• Other risks
• Exercises
• Test

10.45 - 12.00  Legal, Accounting, and Tax Risk Management

• Legal, Accounting, and Tax Aspects
• Legal risk
• Accounting risk
• Tax risk
• Exercises
• Test

12.00 - 13.00  Lunch

13.00 - 15.00  Regulation and Compliance

• BIS Capital Accord (1988)
• The New Basel Capital Accord (2001)
• BIS Market Risk Amendment (1996)
• EU Capital Adequacy Directive
• Exercises
• Test

15.15 - 16.15  Final "Stress Test" of participants

16.15 - 16.30  Evaluation and Termination of the Course