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Financial Risk


Date: 3 - 4 April 2009

Venue: Victoria Palace Hotel, Sliema

Three easy ways to book:
1. Post to Intel-act Ltd, ‘Il-Persjana’, Dun Guzepp Xerri Street, St. Julian’s.
2. Email via info@intel-act.com
3. Alternatively, phone Intel-act on 00356 79918991

Download Workshops Programme (PDF)

Content and Objectives

Construction of different financial models and analysis of their application and uses

· Risk definition - what is risk?
· What is financial risk? How does it arise?
· How is risk managed? Model, market, operational and credit risk.
· Risk models - VaR, credit risk models, problems and possible solutions
· The Basel Accords - what are they, why are they important, how do they contribute to the measurement of risk?

On completion of this 2-day training program delegates will be able to:

· Understand different types of financial risk
· Assess the impact of risk on various instruments in the banking book or trading book
· Acknowledge the importance of financial risk and identify processes to limit risk
· Incorporate risk, sensitivity, optimisation and forecasting into models
· Understand the significance of the Basel Accords and their contribution to best practice in risk measurement and management.



Introduction and Overview
· Overview of the course
· Financial risk
· Brief overview of the manifestation of financial risks
· Introduction to market risk, operational risk, credit risk and mode risk
· Exercise - Model review (Chaos, Challenger, Mars probe. Model risk)

Market Risk
· Where and how does market risk originate?
· How is market risk measured?
· Understanding volatility and correlation and how these are measured
· How is market risk managed? VaR
· Some examples - including some worked Excel examples
· Exercise - Constructing a VaR model using techniques described in the course


Credit Risk and simulation
· Understanding credit risk
· Building a simulation model
· Monte Carlo simulations
· Modelling and understanding credit losses
· Understanding credit correlations
· Exercise - Building a credit loss model in Excel

Operational risk and model risk
· Understanding operational risk
· Building operational risk models
· Understanding model risk
· The Basel II accord - how does the regulator view risk?
· What went wrong in the current credit crisis?
· Exercise - operational risk models in Excel, modelling the tails of
distributions, model risk examples, Basel equations and modelling
in Excel