Kreditrisiko – måling og styring
Course in København
Early bird
Sign up before 10 Jul 2024 and get 10% discount.
Modul 1 Markedsrisiko – måling og styring
Enterprise Risk Management
Fundamental Review of the Trading Book
Value at Risk
Delta Normal Approach
Historisk simulations-baseret VaR
Delta VaR, Komponent VaR og Incremental VaR
Varighed og nøglerentevarighed
Kapitalkrav til markedsrisiko
Græske nøgletal
Simpel, eksponentielt vægtet glidende gennemsnit og GARCH-volatilitet
Stresstesting og backtesting
Modul 2 Kreditrisiko – måling og styring
Kreditrisikomodellering
Kapitalkrav
Styring med kreditderivate
KMV Moody’s
CreditMetrics
CreditRisk +
Modpartsrisiko
CVA, DVA, FVA og BCVA
Stresstesting
Modul 3 Operationel risiko og likviditetsrisiko
Styring af Operationel risiko
Key Risk Indicators
Heat Maps
Operational Risk Self Assessment (ORSA)
Opbygning af tabsdatabase
Brug af eksterne data
Mitigation af risici
Kapitalkrav til operationel risiko (Basic Indicator-modellen, Standard-modellen og Advanced Measurement Approach)
Likviditetsrisikostyring
BIS-anbefalinger
Gap analyse
Additional Liquidity Monitoring Metrics (ALMM)
Net Stable Funding Ratio
Liquidity Coverage Ratio
Funding analyse
Stresstesting
Hvad lærte vi af finanskrisen
Markedslikviditetsrisiko
Alle medarbejdere og ledere, der ønsker et bredt og dybt kendskab til de metoder, der anvendes i den finansielle sektor til at styre risici; herunder:
– Intern revision
– Risk managers
– Controllers
– Finansielle myndigheder
– Analytikere
– Treasurers
– Middle office
– Compliance
– Middle Office
– Account Manager
– Front Office
– IT-medarbejdere
Uddannelsen kræver, at du har en forståelse af risikostyringsproblematikkerne på introducerende niveau. Du vil blive bedt om at løse små opgaver mellem seancerne. Efter kurset vil der blive afholdt en eksamen.
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We are currently planning future dates.
Please contact us for more information.
Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.
He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.
Jørgen has worked for a number of years as external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planning).
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).
Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income
Course in København
Course in København
Course in København
Course in Stockholm