Financial Risk Manager Crash Review Course
Duration: 3 days
- 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
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