Financial Risk Management in Practice

To inquire more about our courses, you may call our Program Sales Officers at 830.20.50 or email us at cce-abib@aps.ateneo.edu.

“UBS Raises Unauthorized Trading Loss Estimate to $ 2.3 Billion”
“MF Global Filed for Bankruptcy”
“European Debt Crisis Tightens Its Chokehold on Global Markets”

As the world economy enters into an extremely uncertain phase where one in a million event happens more frequently,  risk management is becoming more important than ever.  Risk management can no longer be divorced from the underlying business activities. Those who emerged unscathed in the crisis showed that risk management creates value by allowing them to seize opportunities in uncertain times, build an image of resilience in the midst of chaos, and create long-term competitive advantage.

This course goes beyond the usual introductory risk management course and highlight the theory and practice of intermediate financial risk management.   It will feature the application of modern risk measurement tools in the area of credit, market, and liquidity risk.  This course will include a discussion of emerging risk management issues such as sovereign risk, model risk, black swan event risk, and special risk issues for financial conglomerates.

This course will feature guest speakers who are thought leaders in the area of financial risk management practice.

Note to Financial Risk Management (FRM) candidates:  This course is an overview of  the FRM curriculum with practical applications.

Everyone in your organization is a risk manager. This is one of the best practices that emerged from the present crisis, appreciated by any type of organization (banks or non-banks). This course is recommended for individuals involved in the following functions:

    Risk Management           
    Investment Management       
    Internal Audit           
    Treasury
    Accounting and Controllership
    Students / Candidates of FRM and PRM

This course may also be taken by prospective FRM and Professional Risk Manager (PRM) exam candidates as a pre-course to gain a comprehensive and solid background of risk management.  FRM is the gold standard certification in risk management.  Becoming a certified FRM will provide you the opportunity to be a globally recognized risk practitioner.

I.    Value creation with risk management
      a.    Basic concepts in risk management and risk measurement
      b.    Linking risk management and value creation
      c.    Developments in risk management (linking corporate governance
            and risk management, recent developments in regulations,
            and accounting)

II.  Credit risk management
      a.    Basic concepts in credit risk management (probability of default,
             recovery rates, expected loss, and default correlation)
      b.    Traditional credit risk analysis
      c.    Retail credit risk management
             i.    Credit scoring models
             ii.    Implementing credit scoring methodologies
      d.    Commercial credit risk management (internal risk rating and
             institutional credit scoring best practices)
      e.    Advanced approaches in credit risk measurement  (portfolio credit
             risk modeling using credit VaR, structural models, actuarial models,
             and reduced form models)
      f.    Best practices in credit risk management and reporting
      g.   Linking IFRS 9 and credit risk measurement (incurred loss model
            and statistical provisioning)

III. Market risk management
      a.    Basic concepts in market risk management
      b.    Traditional market risk analysis
      c.    VaR methodologies (mechanics, calculation and implementation
            issues of the parametric approach, historical simulation approach,
            and Monte Carlo approach)
      d.    Backtesting market risk models
      e.    Advanced approaches in market risk measurement
      f.    Best practices in market risk management and reporting

IV.  Asset Liability Management (ALM)
      a.    Basic concepts in ALM
      b.    ALM tools: Mechanics and implementation (traditional gap analysis,
             earnings-at-risk, duration gap, and liquidity VaR)
      c.    Best practices in funds transfer pricing
      d.    Best practices in liquidity risk management and reporting
      e.    BIS report on sound practices in liquidity risk management

V.   Basel III Primer

VI. Emerging issues in risk management
      a.    Sovereign risk (country risk limit setting methodology,
             sovereign risk indicators)
      b.    Model risk (sources of model risk, the model building process,
             model validation methodology)
      c.    Risk issues for financial conglomerates
      d.    Dealing with Black-Swan events
      e.    Stress testing

is currently an Assistant Vice President at a commercial bank heading the Structures & Investments department.