Credit Risk Measurement and Management
Course in Stockholm
Module 1 Market Risk Measurement and Management
Enterprise Risk Management
Fundamental Review of the Trading Book
Value at Risk
Delta Normal Approach
Historical Simulation-based VaR
Delta VaR, Component VaR and Incremental VaR
Duration and Key Rate Duration
Capital Requirements for Market Risk
Simple, Exponentially Weighted Moving Average and GARCH-volatility
Stresstesting and backtesting
Module 2 Credit Risk Measurement and Management
Credit Risk Modelling
Credit Risk and Capital Requirements
Managing Credit Risk using Credit Derivatives
CVA, DVA, FVA and BCVA
Module 3 Operational Risk and Liquidity Risk
Operational Risk Management
Framework for Operational Risk Management
Key Risk Indicators
Operational Risk Self Assessment (ORSA)
Building a Loss Database
Using External Data
Mitigation of Risk
Capital Requirements for Operational Risk (Basic Indicator, Standard Method and AMA)
Liquidity Risk Management
BIS recommendations on Liquidity Risk Management
Additional Liquidity Monitoring Metrics
Net Stable Funding Ratio
Liquidity Coverage Ratio
Liquidity Risk and the Sub Prime Crises
Market Liquidity Risk
Anyone wanting a deep as well as broad knowledge of how to measure and manage risk in a financial institution; among others:
– Risk Managers
– Internal Auditors
– Financial Authorities
– Middle Office Employees
– Back Office Employees
– Account Managers
The education requires an introductory understanding of risks in the financial industry. You will be asked to read relevant literature and solve exercises in between the modules. After the final module there will be an exam.
The course fulfilled all expectations.
Great! Good examples, clear slides, good practice exercises.
Ficope Risk Management AB
Teacher has good knowledge about the companies the participants represent and are linking theory to relevant cases.
Väldigt givande. Givit mig en djupare inblick i risk och bakgrunden till många sett att mäta risk. Instruktören är ödmjuk och pedagogisk. Bra jobbet!
Veldig god balanse mellom teori og praksis. Instruktøren benytter relevante eksempler fra virkeligheten. Instruktøren har meget god og bred kompetanse. Presentasjonen av det faglige innholdet er meget pedagogisk. Instruktøren inviterer også til interessante faglige diskusjoner underveis. Det faglige innholdet er svært relevant i forhold til mitt arbeid innenfor risikostyring.
A good mix between practice and theory. The instructor was easy to understand. Good that he illustrated with different examples.
Theory and practice combined providing af good understanding. The instructor has excellent knowledge and is pedagogical.
Volvo Group Treasury
Highly relevant for my line of work.
iSEC Services AB
Good introduction and easy to follow. The information is easy to relate to my daily work. Good variation with both PPT and whiteboard. It's good to write by yourself, sticks better. The instructor talks in a comfortable way and not too fast. Makes the class ask questions and "tests" us to be better.
Evelina Kalmnäs Lindqvist
Highly competent instructor, took time for all questions and to explain. There was both theory and practice, and the instructor showed the calculations "live" - very useful.
Garantiinstituttet for Eksportkreditt
Really excellent course going to the core of the most fundamental parts. Very much "hands-on" was appreciated. Extremely well balance between theory and practice. Tempo is a little bit high at times but pauses to reflect was appreciated. The instructor really knows the subject and can explain things in many different ways. Really good.
Very good with the excel where we can practice and take it with us home. Very nice course facilities.
Søren Eienfeldt Jensen
Spar Nord Bank
I like theory with examples and practice, it was a very good combination.
Good course with a good mix of theory and practice. Great instructor and very good course facilities.
Volvo Car Corporation
The course fulfilled my expectations and beyond. The instructor had good examples and involved the participants. Very good course facilities.
Very competent instructor and communicating in a pedagogical manner.
Ficope Risk Management
The most useful course I have attended. Some parts will be very useful in my daily work. Very good teaching methods, clear and good pace. Easy to follow. The instructor was highly professional and competent.
Excellent course, very easy to follow. Plenty of exemples. Excellent course facilities and good food.
Frederik Blichert Hauge
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