# Risk Management Training Course – Singapore 2013

Risk Management is a full time MBA course that I teach at the SP Jain Campus in Dubai and Singapore. In Q1 2013 (January and February ’13), I will be teaching the two part course at the Singapore Campus. The core themes covered in the course are:

- Understanding the Risk Management mindset
- Moving from Volatility to Value at Risk
- Tweaking Value at Risk – Value at Risk Hacks
- Applying Risk Management Tools to Airline Fuel Hedging
- Applying Risk Management Tools to Margin Lending businesses
- Introducing Asset Liability Management – ALM
- Moving from Static ALM Shocks to Dynamic ALM Shocks
- Linking Value at Risk and ALM

I will update this course page every alternate day after classes for that day and topic have been completed.

## Risk Management – Understanding Risk Management – Day 1

Risk Training Course Introduction – Self Study Guide – – From Risk and Volatility to Value at Risk. The first installment of the online study note introduce the concept of risk, volatility and value at risk. The material is covered across two 2 hour lectures spread over two days.

## Risk Management – Fuel Hedging Case Study – Day 2

The second installment includes a session transcript and a step by step review of the Oil & Fuel hedging case studies. Two separate examples are used.

The first example is the application of hedging concepts to an oil refinery, the second is the extension of the same concept to hedging fuel costs in the airline industry.

Fuel hedging concepts can be applied to logistics, transportation & supply chain management providers struggling with the impact of changes in fuel prices on P&L.

- Fuel Hedging – The Refinery Case study – Session Transcript
- Fuel Hedging – Aviation – Airline Hedging Case Study – Context & Data
- Fuel Hedging – Aviation – Airline Hedging Simulation Model
- Fuel Hedging – Hedge Effectiveness Calculation – Aviation – Results

## Duration Convexity – Fixed Income Portfolio Optimization & Margin Lending – Day 3

We review the concepts of Pre-Settlement Risk, Duration, Convexity, Fixed Income Value at Risk and Fixed Income Portfolio Optimization. Here are the links to class notes from Day 3.

## Monte Carlo Simulation Models – Modeling Simulations – Day 4

A complete walk through of building Simulation Models for financial securities in Excel. The “How To” reference includes background reading materials, as well as a step by step model building walk through of the Fuel Hedging case spreadsheet and the application of Monte Carlo Simulation for option pricing as well as Delta Hedging and Option Greek modeling.

- Monte Carlo Simulation – Simulation Modeling – How to reference
- Option Pricing – Quick Study Guide
- Option Value – Determinants of Option Value
- Option price sensitivities – Option Greeks – Delta, Gamma, Vega, Theta & Rho

## Asset Liability Management – ALM Models & Bank Regulation

- Why does bank regulation fail? The Kill a bank in one day simulation
- ALM Banking Models – Introductory Case Study
- ALM Banking Models – Assumptions, Confusion, Tweaks & Hacks

## Power point presentation & slide decks

- RM I – Monte Carlo Simulation – Class Notes & Scratchpad
- RM II – Outline – Options Risk – Greeks, Kill a Bank Simulation
- RM II – Basel II, Basel III, ICAAP & PD Models Orientation

## Risk Management Related Links & Posts