Making a difference

Financial Risk Modelling for Emerging Countries

Globalisation and liberalisation have provided opportunities for growth and development. The recent economic crisis has, however, highlighted the challenges associated with more integrated economies.

This course is designed specifically for financial institutions in the public and private sectors in emerging countries. It will introduce the fundamentals of risk management and cover tools and techniques that can be used to measure and manage risks.

Who should attend
Anyone responsible for identifying, measuring and modelling financial data management in central banks, ministries of finance, treasury departments, debt management departments, financial market regulators and state-owned enterprises.

How you will benefit
By the end of the course you will be able to:

• understand the definition of risk and the different types of risk (market, credit, liquidity etc)
• measure volatility in market prices and make informed judgements on movements in key variables
• statistically measure risk and understand approaches such as value-at-risk and cost-at-risk using Microsoft Excel
• understand the applications of financial risk modelling to investment and policy decisions
• design a strategy to manage financial risks and apply lessons from the financial crises

Course profile

• Financial crises and risk - a historical perspective
• Definitions of risk and why it is important
• Market, credit, liquidity and operational risk
• Basic financial risk mathematics
• Probability theory and measuring volatility (standard deviation, ARCH, GARCH etc)
• Risk in bonds: duration and convexity measures
• Basel II and Bank Capital measurement
• Parametric Value-at-Risk (VaR) measures
• Government applications: public debt management and Cost-at-Risk
• Monte Carlo & historical simulations
• Foreign exchange risk analysis and management
• Commodity price risks management
• Interest rate and currency swaps and options
• Credit risk measurement
• Off-balance sheet risks such as contingent liabilities and public-private partnerships
• Asset and liability management
• Operational risk management and control
• Case studies from the financial sector
• Developing a risk management strategy for public sector organisations