Market, credit, liquidity risk and how each is interconnected is the cornerstone of a risk manager's day-to-day job function. We learn the principles and methods from a wide array of resources, which often provides only a conceptual understanding. Knowing when and how to use these principles and methods can take years of on-the-job practice. 

In this course, you’ll participate in hands-on exercises designed to replicate real-life financial risk measurement and mitigation situations. Each exercise is described in detail before you attempt to solve it. Afterwards the instructor walks you through the solution and key takeaways. Join us and experience, first-hand, practical use of market, credit, liquidity, and interconnected risk measurement and mitigation methods and the decisions necessary to complete these financial risk management functions.

Requisite

• Microsoft Word and Excel™ 

Learning Objectives

• Deepen understanding of financial risk measurement and mitigation methods
• Practice the application of well-established financial risk management concepts and terminology
• Understand the appropriateness, reliability and limitations of financial risk measurement tools and methodologies

How It Works

There are four courses in this series. Each course contains exercises that provide practical application of the topic. Each Tuesday one of the four courses is launched and you can work through the video lectures and exercises at your own pace. Each lesson contains either an overview of the topic and an explanation of the exercise or the solution to the exercise. The instructor, Steve Lindo, will be monitoring the course and is available for Q&A via our online learning platform through October 19, 2020.

Market Risk Measurement (3 exercises)

• Portfolio VaR Calculation
• Stress Test of Assets, Liabilities, Currencies, and Hedges
• Case Study

Credit Risk Analysis (4 exercises)

• Fixed Asset Finance
• Loss Given Default for Interest Rate, Currency Swap, Option Counterparties
• Expected Loss Calculation for Portfolio of Loans, Bonds, Swaps
• Expected Loss of Counterparty Exposure Exceeds Limit

 Funding Liquidity Risk Management (3 exercises)

• Funding Mix
• Investment Mix
• Rebalancing a Portfolio within Investor's Liquidity Tolerance

Interconnected Risk (2 exercises)

• Assess Contagion Risk in an Investment Portfolio
• Assess Wrong Way Risk in a Currency Forward

• Risk professionals who have basic knowledge of:
  • Bond and derivative valuations, currency forward pricing, VaR, and stress testing
  • Financial statement analysis, secured and unsecured lending, counterparty exposure measurement, expected loss calculation [PD x EAD x LGD]
  • Contingent funding sources, funding, and investment liquidity buckets, market-based investment liquidity criteria, funding and investment liquidity diversification
  • Complexity, contagion, and wrong way risk

• Risk professionals who want to learn more by using exercises to apply financial risk management concepts and methods

• Risk professionals working in non-financial risk management roles, such as ERM or operational risk management

• Finance professionals working in accounting, reporting, payments, and treasury roles who have a basic understanding of market, credit, liquidity, and interconnected risk identification, measurement and mitigation, either through study or by working alongside financial risk management professionals.

Steve Lindo is a professional risk manager with over 30 years’ experience managing risks in financial and other organizations. He is currently Principal of SRL Advisory Services, an independent consulting firm specializing in risk management methods and strategy, and Co-Principal of Intelligent Risk Management LLC, an executive education and advisory partnership that shows organizations how to test their high-stakes decisions using analytical methods pioneered by the CIA. He previously held risk management positions at Fifth Third Bancorp, Ally Financial, Cargill Financial Services, First Chicago (now part of JPMorgan Chase), and Lloyds Bank.

Steve is a faculty member in the Enterprise Risk Management MS program at Columbia University School of Professional Studies and a regular presenter at conferences, webinars and author of risk management articles and case studies. He has a BA and MA from Oxford University and speaks fluent French, German, Spanish and Portuguese.