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Risk & Treasury Video Courses: Matching your learning needs with video course content

Risk & Treasury Video Courses: E-learning options, topics, content guide

Risk Video Training Courses: ALM and Capital Adequacy Course

Description

The “ALM and Capital Adequacy Course” serves as an introduction as well as a refresher course to Asset Liability Management. The course is divided across a number of core topics from basic concepts such as duration and convexity to more advanced topics such as ALM measurement tools. The following topics are covered in the course:

  • Introduction to ALM
  • Interest Rate/ Maturity Mismatch Risk and Liquidity Risk
  • Duration and Convexity, including relationship with options and volatility
  • Asset and Liability Sensitivity
  • ALM framework
  • Building blocks for an ALM model
  • ALM measurement tools
  • ALM reporting
  • ALM Stress Testing
  • Introduction to Capital Adequacy (including a background of capital adequacy regulation)
  • Internal Capital Adequacy Assessment Process (ICAAP) & Liquidity Risk Capital Extensions

Practical Skills Takeaway

You will be able to understand how to build an ALM framework as well as how to use and interpret ALM measurement tools.

Pre-requisites

Familiarity with basic asset liability management concepts, value-at-risk (VaR), local markets, portfolio management and the Basel II framework.

Audience

The course is targeted to intermediate and advance users and is aimed primarily at banking professionals and individuals responsible for asset liability management and risk management within banks, insurance companies and mutual funds who need to quickly review or refresh their understanding of ALM and Capital Adequacy regulations for work, professional review, audit or personal development.

Risk Video Training Courses: Option Pricing using Binomial Trees

Description

The “Option Pricing using Binomial Trees” video course presents an alternative method of implementing a two-dimensional binomial tree compared to the traditional method of building a binomial tree in Excel. The alternate approach is based on the techniques documented by Professor Mark Broadie at Columbia Business School as part of his coursework in Security Pricing and Computational Finance courses at Columbia University.

The course begins with the pricing of plain vanilla European call and put options; then is followed by the pricing of American options and Knock out and Knock in (Sudden Death) exotic options.

Practical Skills Takeaway

You will be able to extend a simple 3 step tree to a 50 – 100 step option pricing tree in a few minutes to improve the accuracy of the results.

Pre-requisites

Familiarity with basic asset liability management concepts, value-at-risk (VaR), local markets, portfolio management and the Basel II framework.

Audience

The course is targeted at intermediate and advance users and is aimed at professionals who deal with pricing, valuation and risk issues related to structured fixed income and foreign exchange transactions.

Risk Video Training Courses: Cross Selling Treasury Products

Description

Price volatility in crude oil, gold, silver, cotton, sugarcane, wheat and cereals has created an unprecedented opportunity for corporate relationship managers to cross sell treasury products to their institutional, trading, manufacturing and high net worth customers.

The “Crossing Selling Treasury Products” video course presents a framework for empowering client facing treasury teams to go out and cross sell high value, high margin trading concepts to clients. They do this by educating customers about their exposures and by presenting a range of available solutions that would help reduce the risk associated with these same exposures.

Practical Skills Takeaway

You will understand the five core themes surrounding treasury sales team discussions with customers on trading products and related concepts.

You will learn about the various trading strategies offered by Treasury marketing teams and ways to address TMU customer reactions to those strategies.

Pre-requisites

Corporate Banking and Treasury products, Value-at-Risk (VaR) and counterparty limits.

 Audience

This course is targeted at intermediate and advance users and is aimed at banking, corporate, treasury and sales teams, relationship and account managers that offer or present derivative products as part of their marketing and sales efforts and repertoire.

Risk Video Training Courses: Option pricing using Monte Carlo simulation

Description

The “Option Pricing using Monte Carlo Simulation” combines both theory and practice and uses model building and option pricing exercises as learning tools to tie in a number of essential topics such as:

  • the difference between and the significance of the risk-adjusted probabilities of the Black Scholes option pricing model
  • the intuition behind the Black Scholes European call option formula
  • a preliminary overview of how to create a Monte Carlo simulation model of the Black Scholes solution in Excel
  • Estimating errors of and improving results generated from the Monte Carlo simulation model
  • Pricing vanilla and exotic options using the Monte Carlo simulation model

The course splits the time evenly between building a model step by step in EXCEL and working with the model to price and value derivative products.

Practical Skills Takeaway

You will be able to build a Monte Carlo simulator in EXCEL and use the model to price vanilla and exotic options.

You will be able to improve the results of the simulation model by increasing the number of runs/ scenarios with the use of EXCEL’s data table functionality.

Pre-requisites

Comfort with basic mathematics, numbers and EXCEL and familiarity with derivative products.

 Audience

The course is targeted at intermediate and advance users and is aimed at professionals who deal with pricing, valuation and risk issues related to structured fixed income and foreign exchange
transactions.

 

Risk Video Training Courses: Quant Crash Course

Description

The “Quant Crash Course” covers volatility, value at risk, capital and limit management frameworks for a treasury function. The course material has evolved over a number of years as part of our risk training practice particularly in the areas of derivative pricing and risk management. The following topics among others are discussed in the course:

  • The Distribution or generator function
  • The importance of Volatility and Correlation to a risk management or control function
  • The importance of having pre-trade controls and limits
  • Duration, Convexity and Optionality
  • Value at Risk (VaR) measure and its various applications
  • The limitations of using a VaR measure
  • Various types of capital and risks for which capital may be attributed
  • A capital focused risk management framework
  • A limits management framework
  • Types of limits such as stop loss, transaction, expectations and counterparty limits

Practical Skills Takeaway

You will understand terminology such as volatility, correlation, duration, convexity, optionality as well as their importance to the risk management function.

You will learn about the various Value-at-Risk methods, the difference between methods and the qualifications for using this tool to measure risk.

You will understand the various elements of a limits management framework.

Pre-requisites

Comfort with basic mathematics and an understanding of the risk management environment together with a familiarity of financial markets, banking industry, economic capital, portfolio management concepts and the Basel II framework.

 Audience

This course is targeted at intermediate and advanced users and individuals responsible for capital allocations, limit setting and risk management with the treasury functions of banks and other financial institutions.

 

Risk Video Training Courses: Selling Derivative products

Description

A derivative product is a financial instrument whose value is determined completely by external variables. The external factor, or the underlying, could be anything but in general is either a financial asset or an economic variable (such as interest rates). Derivative instruments include forward and futures contracts, vanilla and exotic options, and swaps.

The “Selling Derivatives Products” course introduces basic vanilla and exotic derivative products. Vanilla products, such as forwards, futures and options, are discussed in detail with simple examples. A comparative view of these products is also presented to highlight the similarities and differences between them.

Practical Skills Takeaway

You will understand:

  • the uses of core treasury products and other trading strategies.
  • vanilla and exotic derivative products.

Pre-requisites

Some familiarity with corporate banking and treasury products.

 Audience

This course is an introductory course on derivative products for beginners and is also aimed at banking, corporate, treasury and sales teams

 

Risk Video Training Courses: Setting Value-at-Risk, Stop Loss, Pre-settlement and Counterparty limits

Description

There are a number of challenges when it comes to communicating, enforcing and setting limits in a trade, treasury, portfolio and risk function. One big factor is the language of limits. Traders speak and understand Stop loss, risk managers work and vouch for value at risk, credit officers track and live for PSR (Pre-Settlement). How do we link the three?

The “Setting Limits” video course introduces the linkage between Stop loss and Value at Risk by defining the median trading loss. We then link the median trading loss to a VaR confidence level that can be used for communicating results and suggesting limits to Board Risk Committees. Next we focus on PSR (Pre Settlement Risk) limits calculations. PSR limits are counterparty limits that calculate the worst case likely loss on account of default on the settlement date by a given counterparty. Once again a VaR measure subject to changing volatilities, our approach highlights the usage of maximum, minimum and median volatilities and suggests that the underlying VaR estimates need to be reviewed more frequently than the once in 2 or 3 year practice we have observed in the region.

Practical Skills Takeaway

You will understand how to link Stop Loss and Value-at-Risk limits and how to calculate VaR- based PSR limits.

You will learn how to communicate VaR results to Board Risk Committees in terms that will make sense to them so that any recommendations made in view of those results may more likely be heeded.

Pre-requisites

Comfort with basic mathematics and EXCEL and an understanding of the risk management environment together with a familiarity of financial markets, banking industry, economic capital, portfolio management concepts and the Basel II framework.

And the following video courses:

  • Quant Crash Course
  • Calculating Value at Risk

 Audience

This course is targeted at intermediate and advanced users and individuals responsible for capital allocations, limit setting and risk management with the treasury functions of banks and other financial institutions as well as finance departments of non-financial organizations.

 

Risk Video Training Courses: Calculating Value-at-Risk

Description

One of the most asked questions in risk management has been: How much do you stand to lose, over a certain period and with a certain probability? The common answer to this question today is Value at Risk, a risk measure that expresses itself as one number.

This course takes an in-depth look at the calculation methodologies of the Value at Risk measure. We review Value at Risk (VaR) calculation methods in particular the Variance-covariance approach and the Historical simulation approach. We build a simple portfolio comprising of Euro, Australian dollar, Yen, GBP, Brent, WTI, Gold and Natural Gas and calculate VaR for the portfolio using both of these methodologies.

Practical Skills Takeaway

You will learn how to calculate the Value at Risk measure using the Variance-covariance approach and the Historical simulation approach for individual securities as well as a portfolio of securities in EXCEL.

Pre-requisites

Comfort with basic mathematics, statistics, probability and EXCEL and some familiarity with local markets and portfolio management.

 Audience

The course is targeted towards intermediate and advanced users and is aimed primarily at individuals responsible for capital allocation, limit setting and risk management within banks, insurance companies, mutual funds, as well as finance departments of non-financial organizations who need to quickly review or refresh their understanding of VaR methodologies for work or personal development.

 

Risk Video Training Courses: Stress Testing

Description

The “Understanding Stress Testing” video reviews the concept of stress testing, risk capital, value at risk, asset liability management and capital adequacy applications for stress testing. The following topics are covered:

  • The need for stress testing
  • Stress testing capital
  • Stress testing framework
  • Stress testing methodologies for price risk, credit risk, interest rate mismatch and ALM risk
  • ALM reports

Aside from the main course there are a number of annexure topics that cover the following:

  • Value at Risk
  • Capital and Understanding Capital Adequacy & ICAAP
  • Duration & Convexity

Practical Skills Takeaway

You will understand how stress testing ranges can be calculated using tools like value at risk, analyst expectations and worst case price history.

You will understand the essential elements required for creating a viable stress testing framework.

Pre-requisites

Familiarity with economic capital, local markets, portfolio management concepts and the Basel II framework.

 Audience

The course is targeted at intermediate and advanced users and is aimed primarily at banking professionals who need to review stress testing material for work, professional review, audit or personal development as well as for individuals responsible for capital allocation, risk management and implementing the ICAAP framework within banks.

 

Risk Video Training Courses: Understand N(d1) and N(d2)

Description

The “Understanding N(d1) and N(d2)” course provides a theoretical and practical overview of the risk-adjusted probabilities of the Black-Scholes option pricing formula. The theoretical overview considers the various elements underlying the Black-Scholes European call option formula, whereas the practical application involves the creation of a Monte Carlo simulation based model in Excel to further clarify these concepts.

Practical Skills Takeaway

You will have a better understanding of the risk adjusted probabilities of the Black Scholes model.

You will be able to build a basic Monte Carlo simulation model to illustrate the difference between N(d1) and N(d2) and to calculate the call option value using the Black Scholes formula within the Monte Carlo simulation approach for determining N(d1) and N(d2).

Pre-requisites

Comfort with basic mathematics, statistics, probability and EXCEL and some familiarity with derivative products and pricing.

 Audience

The course is targeted at basic and intermediate users and is aimed at individuals who deal with pricing, valuation and risk issues related to structured fixed income and foreign exchange transactions.

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