International Training in Financial Risk Management

Risk Man age ment

Training Programme in Financial Risk Management

BACKGROUND
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OBJECTIVES
Providing professional training in Financial Risk Management at all levels. Validating basic and practical knowledge in the field of Financial Risk Management. Preparing students for the GARP FRM examination. Focusing on regulatory requirements. Promoting the function of risk manager through professional training and qualifications.

In an increasingly complex and interdependent world of financial markets, products and regulations, efficient risk management is a crucial element, which can determine the fate of a company. To offer a solid framework for training in risk management, IFBL and PRiM renewed and extended their former collaboration by signing a partnership agreement in June 2008.

PARTNERS
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TRAINING OFFER
On the basis of their partnership agreement, IFBL and PRiM jointly developed a complete training programme based on the principles of modular course units, tests and the validation of professional knowledge. The offer is designed for different types of audiences ranging from beginners to practitioners specializing in the field of risk management. The culmination of the training programme is a high-calibre seminar with the internationally renowned Prof. Philippe Jorion to prepare students for the FRM examination offered by GARP (Global Association of Risk Professionals).

Established in its current form in 1990 as the training branch of the Luxembourg Bankers Association (ABBL), the IFBL provides participants the means to achieve sound and rapid career progression anchored in the realities of banking and nancial market requirements. Its wide-ranging programmes evolve constantly and range from industry basics to state-of-the art, highly specialised courses, training sessions, seminars, conferences and workshops. To ensure that the offered training programmes match the real needs of the Financial Centre, the IFBL has formed Quality Circles, composed of acknowledged experts in their respective elds. It has also built up partnerships with all the major professional organisations in Luxembourg. www.ifbl.lu www.abbl.lu PRiM, the Luxembourg Association for Risk Management Professionals, founded in July 1997, exists to provide a Luxembourg-based forum for networking and exchange of information between professionals of the risk management world. The association contributes actively to the institutional and regulatory world in the Luxembourg financial sector and promotes education for the needs of risk professionals in Luxembourg. www.prim.lu

FRM EXAMINATION BY GARP

M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX ISSUES IN FINANCIAL RISK MANAGEMENT (PROF. JORION) M FRM MATHEMATICS, PROBABILITIES AND STATISTICS (PROF. HBNER) M FRM REVIEW OF CAPITAL MARKETS
(PROF. HBNER)

EXAMINATION
M2 CREDIT RISK

EXAMINATION
M2 OPERATIONAL RISK

EXAMINATION
M2 MARKET RISK

EXAMINATION
M1 FUNDAMENTALS OF RISK MANAGEMENT

METHODOLOGY
In the training concept of the IFBL, the first training unit (M1) covers most of the fundamental theoretical aspects. As such, it is open to a broad target audience. The M2 training units support a practical approach to studying the different types of risk at an advanced level. The M modules represent a useful complement and propose a review of a series of concepts, enabling participants to qualify for the M3 course. The M3 course is the actual master course that prepares students for the GARP FRM examination on the basis of Professor Jorions Financial Risk Manager Handbook.

EXAMINATION AND CERTIFICATION

For all M1 and M2 modules, an examination can be taken after the course to test the individual participants level of knowledge. The tests are in the form of written examinations and candidates can choose the examination date from the IFBL calendar (every Tuesday and the last Thursday of each month, except during school holidays). The M modules do not include any type of examination. The M3 training programme in itself does not include an examination. Participants wishing to take the GARP FRM examination are required to register directly with GARP. For more information, please consult the following website: www.garp.com/frmexam

Lecturers
The M1 and M2 modules are taught by trainers appointed by the PRiM Quality Circle and approved by IFBL. For the high-level international courses (M and M3), we are pleased to welcome once per year two eminent guest lecturers.

PROF. PHILIPPE JORION

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PROF. GEORGES HBNER

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Philippe Jorion is Chancellors Professor of Finance at the School of Business at the University of California at Irvine. He has taught at UC-Berkeley, Columbia University, Northwestern University, the University of Chicago and the University of British Columbia. He holds an MBA and a Ph.D. from the University of Chicago, and a degree in engineering from the Universit Libre de Bruxelles. He has authored more than ninety publications directed at academics and practitioners on the topics of risk management and international finance. He has also written a number of books, including Value at Risk: The New Benchmark for Managing Financial Risk, which is aimed at finance practitioners and has become a bestseller in its field. Dr. Jorion has also written the Financial Risk Manager Handbook to support the annual examination administered by the Global Association of Risk Professionals.

Georges Hbner holds a Ph.D. in Management from INSEAD. He is the Deloitte Professor of Financial Management at HEC Management SchoolUniversity of Lige. He is also an Associate Professor of Finance at Maastricht University and an Affiliate Professor of Finance at EDHEC (Lille & Nice). He has taught at executive and postgraduate levels in several countries in Europe, North America, Africa and Asia. Georges Hbner has authored several books and peer-reviewed research articles in the fields of hedge funds and derivatives. He also invented the Generalized Treynor Ratio published in the Review of Finance in 2005. He was the recipient of the 2002 Iddo Sarnat Award for the best paper published in the Journal of Banking and Finance in 2001 and of the Operational Risk & Compliance Achievement Award 2006 for the Best Academic Paper on operational risk, cowritten with Yves Crama (HEC-University of Lige) and Jean-Philippe Peters (Deloitte Luxembourg).

Programmes, Participants and Prerequisites

M1 FUNDAMENTALS OF FINANCIAL RISK MANAGEMENT
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This course is designed for any person from inside or outside financial services, who is interested in the basic concepts of Financial Risk Management. It provides a sound basis to those who wish to participate in any further training courses on risk management. Although no specific prerequisites are required, participants should have at least a basic knowledge of financial markets and products.

CREDIT RISK: DEFINITIONS, EXAMPLES, MEASURES, ELEMENTS OF MANAGEMENT LIQUIDITY RISK: DEFINITIONS, EXAMPLES, MEASURES, ELEMENTS OF MANAGEMENT OPERATIONAL RISK: DEFINITIONS, EXAMPLES, MEASURES, ELEMENTS OF MANAGEMENT VALUE AT RISK
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INTRODUCTION
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Definitions Evolution of risk management and supervision authorities Typology of risks

Definition Three different approaches Implementation and backtesting

MARKET RISK
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ORGANISATIONAL ASPECTS OF RISK MANAGEMENT REPORTING: REPORTING LINE, EXAMPLES CONCLUSIONS AND BIBLIOGRAPHY

Basic components of market risk Equity risk Interest rates risk Exchange rates risk Commodities risk Market risk on derivatives

M2 MEASURING AND MANAGING MARKET RISK

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While giving a complete overview of the different aspects related to market risks, this module also provides essential knowledge to those who wish to participate in any further training courses on risk management. As the approach is a qualitative one, the focus is on mechanisms and practical applications, rather than on financial mathematics and formulas. The course is of interest not only to employees of risk management departments, but also to people working in other positions, such as controllers, accountants, compliance officers, legal staff, auditors, back and middle office employees, traders as well as client advisers and portfolio managers.

MARKET RISK REPORTING

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Reporting line Examples

BASIC COMPONENTS OF MARKET RISK

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Equity risk Interest rate risk Forex risk Commodity risk

MARKET RISK ON DERIVATIVES AND PORTFOLIOS VAR

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Definition Different approaches Implementation and backtesting

INTRODUCTION
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Market risk typology Definitions History and evolution Organisational aspects and best practices

RISK MANAGEMENT SOFTWARE

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Examples Differences

CONCLUSIONS

M2 MEASURING AND MANAGING CREDIT RISK

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This training course supports a qualitative and practical approach to credit risk measurement and management, rather than teaching formulas and financial mathematics. Knowledge of market risk measurement techniques (M1, M2) is suggested as a prerequisite. The course will be of particular interest to risk managers, auditors, controllers, legal advisers, loan officers, client advisers and portfolio managers.

TOOLS AND METHODS FOR LOANS CREDIT RISK MEASUREMENT AND MANAGEMENT
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INTRODUCTION
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Definitions
The importance of credit risk The components of credit risk Historical evolution and best practices

Definitions Actual credit exposure Assessment of default probabilities Agency ratings Internal ratings models and credit scoring loss given default Expected loss Unexpected loss Overview of portfolio credit models Loans credit risk pricing and capital allocation techniques

BASIC COMPONENTS OF CREDIT RISK MODELING

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OVERVIEW OF THE BASEL II / CRD REGULATION AND ITS IMPACT ON CREDIT RISK MEASUREMENT CONCLUSIONS

Definitions Examples

M2 MEASURING AND MANAGING OPERATIONAL RISK

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This training course supports a practical approach to operational risk measurement and management. Knowledge of market risk measurement techniques (M1, M2) is suggested as a prerequisite. The course will be of particular interest to risk managers, auditors, controllers, legal advisers, loan officers.

ASSESSMENT OF OPERATIONAL RISK

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Operational risk within the Basel II framework Operational risk modeling Economic capital aspects

MONITORING OF OPERATIONAL RISK

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Putting operational risk management to practice (a.o. software solutions) Reporting lines

INTRODUCTION
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MITIGATION OF OPERATIONAL RISK

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Context History of operational risk management

IDENTIFICATION OF OPERATIONAL RISK

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Lessons from operational risk monitoring Other aspects (Human Resources, procedures, project management, business continuity and disaster recovery)

Definitions Typology Key components

CONCLUSIONS

M FRM MATHEMATICS, PROBABILITIES AND STATISTICS

(formerly: Quantitative Seminar) by Prof. Georges Hbner
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SEMINAR OUTLINE MATHEMATICS APPLIED TO FINANCE

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The 3-day seminar is the first part of a training programme preparing for Prof. Jorions subsequent course (M3 Mastering Advanced Techniques and Complex Issues in Financial Risk Management). It is designed for a target audience of persons specialising in the field of finance and/or risk management: risk managers, treasurers and traders, risk analysts, portfolio managers as well as all those who are interested in this subject. The main purpose is to cover the necessary mathematics, probability and statistics concepts and techniques to follow Prof. Jorions course in the best conditions, i.e. to respect its prerequisites. These tools will be reviewed with a focus on their likely applications in Financial Risk Management. A basic knowledge of mathematics and statistics is welcome, however the requirement level in quantitative proficiency is low.

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Logarithms and exponentials (application to interest rates and bond prices) Derivatives and differential calculus (application to bond duration) Taylor series expansion (application to bond convexity) Integrals (application to bond valuation) Optimization (application to portfolio selection)

PROBABILITIES
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Principles of probabilities (application to stochastic dominance) Moments of random variables (application to portfolio returns) Discrete probability functions (application to derivatives pricing) Continuous probability functions (application to stock prices and returns) Multivariate distributions (application to portfolio diversification) Convolutions and copulae (application to credit and operational risk)

STATISTICS MATERIALS
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The seminar will encompass the first nine chapters of the following book: Philippe Jorion, Financial Risk Manager Handbook (5th edition 2009), Wiley. For the subsequent financial applications, background material can be found in the following books, which are also on the FRM study guide list: John Hull, Options, Futures, and Other Derivatives (7th edition, 2008), Pearson Frank Fabozzi, Fixed Income Mathematics (4th edition, 2008), McGrawHill-Irwin. A complete syllabus will be distributed to seminar participants with a list of selected references.

Point estimators (application to asymptotic distributions) Confidence intervals and hypothesis testing (application to performance measurement) Tail estimation (application to extreme losses)

REGRESSION ANALYSIS
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Univariate regression (application to beta measurement) OLS/GLS (application to multi-factor models) Autoregressive models (application to conditional variance models) Logit/probit (application to default probabilities)

CONTINUOUS TIME FINANCE

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State pricing (application to financial binomial trees) Brownian motions and It processes (application to financial price processes) Monte Carlo simulations (application to interest rate forecasting) Risk-adjusted valuation (application to option pricing)

M FRM REVIEW OF CAPITAL MARKETS

(formerly: incl. Quantitative Seminar) by Prof. Georges Hbner
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M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX ISSUES IN FINANCIAL RISK MANAGEMENT

(formerly: Financial Risk Management Seminar) by Prof. Philippe Jorion
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The 2-day seminar is the second part of the training programme preparing for Prof. Jorions subsequent course (M3 Mastering Advanced Techniques and Complex Issues in Financial Risk Management). It is exclusively designed for the participants of the M3. The main purpose is to review the necessary concepts and products of capital markets to follow Prof. Jorions course in the best conditions, i.e. to respect its prerequisites. These concepts will be reviewed with a focus on their implication in Financial Risk Management.

This 5-day master course is designed for a target audience of persons specialising in the field of finance and/or risk management: risk managers, treasurers and traders, risk analysts, portfolio managers as well as all those who are interested in this subject. Participants in the seminar should have had prior exposure to quantitative methods, derivatives and fixed income markets. At a minimum, they should have taken the equivalent of an investment class in a conventional MBA programme. Ideally, these participants will follow the 2 previous preparation courses M FRM Mathematics, Probabilities and Statistics and M FRM Review of Capital Markets. Participants who do not register for the M preparatory courses are asked to provide a short curriculum vitae covering their academic background and work experience. The purpose of this 5-day seminar is to provide an overview of advanced techniques in Financial Risk Management. It will cover market, credit, operational risk, and integrated risk management, as well as complex issues facing risk managers in financial institutions. The format will involve a mix of presentations, spreadsheet examples and FRM exam questions. At the same time, the seminar will provide a preparation to the FRM examination administered in November. Please note that from 2010 onwards, candidates will have two opportunities yearly as GARP will also introduce a spring session. For more information, please consult the following website: www.garp.com/frmexam

MATERIALS
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Philippe Jorion, Financial Risk Manager Handbook (5th edition 2009), Wiley FRM study guide list: John Hull, Options, Futures, and Other Derivatives (7th edition, 2008), Pearson Frank Fabozzi, Fixed Income Mathematics (4th edition, 2008), McGrawHillIrwin. A complete syllabus will be distributed to seminar participants with a list of selected references.

SEMINAR OUTLINE CAPITAL MARKETS

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Introduction to derivatives Valuation of forwards and futures Options Valuation of options Fixed-income securities Term structure of interest rates, fixed-income and asset-backed securities Fixed-income derivatives FRAs, Eurodollar futures, T-Bond futures, swaps, caps, swaptions Equity, currencies & commodities markets Convertible bonds and warrants, stock index futures, currency swaps, commodity futures

MATERIALS
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The seminar will follow the structure of the following book, revised for 2009: Philippe Jorion, Financial Risk Manager Handbook, (5th edition), Wiley. The book provides the core body of knowledge for financial risk managers. It was designed to provide support for candidates taking the Financial Risk Manager (FRM) examination administered by the Global Association of Risk Professionals (GARP).

COURSE OUTLINE MARKET RISK

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Measuring credit risk from market prices Using bond prices and stock prices, structural (Merton) models Credit exposure Assessing current and potential credit exposure on bonds and derivatives Credit derivatives and structured products Credit default swaps, collateralized debt obligations, tranching, issues with securitization Portfolio credit risk model Pricing credit risk, measuring portfolio credit risk, commercial models (e.g. CreditMetrics)

Introduction to market risk Risk measurement methods, Value at Risk (VAR), stress tests Sources of market risk Interest rate risk, equity risk, currency risk, commodity risk, mapping approach Hedging linear risk Hedging with futures, minimum variance hedge ratios, duration hedging Non-linear risk: options Hedging with options, partial derivatives, dynamic hedging Modeling risk factors Choice of distributions, time variation in risk VAR methods Delta-normal, historical simulation, Monte Carlo simulation, limitations of risk systems VAR Tools: marginal, incremental and component VAR From measuring to managing risk: assessing the effect of changing the portfolio

INTEGRATED RISK
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Operational risk Approaches, assessment and management Liquidity risk Asset liquidity risk and funding liquidity risk, gap analysis Integrated risk management Measuring economic capital, controlling traders, RAROC, best practices reports Legal issues Legal risks with derivatives, netting, ISDA master netting agreement

REGULATORY REQUIREMENT
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INVESTMENT RISK
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Regulation of financial institutions Goals of financial regulation, systemic risk The Basel risk charges Basel I and Basel II charges against credit, market and operational risks The Basel market risk charges Standardised approach, Internal Models Approach (IMA), backtesting

Portfolio risk management Risk and performance management, risk budgeting Hedge fund risk management Hedge fund strategies, mechanics of leverage and shorting, hedge fund specific risks

CREDIT RISK
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Introduction to credit risk Drivers of credit risk Measuring actuarial credit risk Measuring default risk from default rates and recovery rates

Practical information
DURATION Course M1 FUNDAMENTALS OF FINANCIAL RISK MANAGEMENT M2 MEASURING AND MANAGING MARKET RISK M2 MEASURING AND MANAGING CREDIT RISK M2 MEASURING AND MANAGING OPERATIONAL RISK M FRM MATHEMATICS, PROBABILITIES AND STATISTICS (Prof. Hbner) M FRM REVIEW OF CAPITAL MARKETS (Prof. Hbner) M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX ISSUES IN FINANCIAL RISK MANAGEMENT (Prof. Jorion)
8 hours

Optional examination
1 hour

16 hours

1.5 hours

16 hours

1.5 hours

8 hours

1.5 hours

24 hours

n.a.

16 hours

n.a.

40 hours

n.a.

LANGUAGES
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CONTACTS
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M1 is available both in English and French. All other courses are in English.

VENUE
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Centre de Formation IFBL/Chambre de Commerce 7, rue Alcide de Gasperi, L-1615 Luxembourg

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PRiM Risk Management Professionals in Luxembourg c/o ABBL 59, boulevard Royal L-2449 Luxembourg Tel. +352 26 94 59 97 / Fax +352 26 94 59 98 www.prim.lu IFBL Luxembourg Institute for Training in Banking Customer Service Tel. +352 46 50 16-1 / Fax +352 46 50 19 customer@ifbl.lu, www.ifbl.lu

DATES, FEES AND CONDITIONS

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See separate leaflet and check our website.

Training in Risk Management Registration Form

Course Please indicate date Examination* Please indicate date

M1 FUNDAMENTALS OF FINANCIAL RISK MANAGEMENT M1 RISQUES FINANCIERS M2 MEASURING AND MANAGING MARKET RISK M2 MEASURING AND MANAGING CREDIT RISK M2 MEASURING AND MANAGING OPERATIONAL RISK M FRM MATHEMATICS, PROBABILITIES AND STATISTICS (PROF. HBNER) M FRM REVIEW OF CAPITAL MARKETS (PROF. HBNER) M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX ISSUES IN FINANCIAL RISK MANAGEMENT (PROF. JORION)
* The optional examinations can be taken every Tuesday and the last Thursday of each month, except during school holidays.

REGISTRATION
PROFESSIONAL (Both sections to be completed (participant and employer)) PRIVATE (Non-members' price)
Participants who do not register for the preparatory week are asked to provide a short Curriculum Vitae covering their academic background and work experience.

PARTICIPANT
Surname Date of birth Address Work phone E-mail
(for notification of all details)

First name

Home phone Fax

EMPLOYER
Member Name Surname of Training Manager E-mail (obligatory)
(mandatory for notification of all details)

Non-member

GARP or PRiM Member (please attach proof)

First name

Billing address Tel Fax

By signing the registration form, the participant declares that s/he accepts the general terms and conditions as set out in this brochure.

Date

Signature
(Employers stamp mandatory)

Form to be returned by mail or by fax to:

IFBL 7, rue Alcide de Gasperi L-1615 Luxembourg Fax: 46 50 19 E-mail: customer@ifbl.lu

www.prim.lu

www.ifbl.lu

Training in Financial Risk Management

DATES AND PRICES 2009
M1 FUNDAMENTALS OF FINANCIAL RISK MANAGEMENT M1 RISQUES FINANCIERS M2 MEASURING AND MANAGING MARKET RISK M2 MEASURING AND MANAGING CREDIT RISK M2 MEASURING AND MANAGING OPERATIONAL RISK M FRM MATHEMATICS, PROBABILITIES AND STATISTICS (PROF. HBNER) M FRM REVIEW OF CAPITAL MARKETS (PROF. HBNER) 6 April EUR 155,-/195,(+ 3% VAT)

7 May / 1 December 24 & 25 June /2 & 3 December

EUR 155,-/195,EUR 405,-/505,-

(+ 3% VAT) (+ 3% VAT)

2 & 3 July / 10 & 11 December

EUR 405,-/505,-

(+ 3% VAT)

9 July / 14 December

EUR 205,-/255,-

(+ 3% VAT)

5, 6 & 7 October Deadline for registration: 10 September 8 & 9 October Deadline for registration: 10 September 12-16 October Deadline for registration: 10 September

EUR 900,-/1,125,-

(+ 3% VAT)

EUR 600,-/750,-

(+ 3% VAT)

M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX ISSUES IN FINANCIAL RISK MANAGEMENT (PROF. JORION)

EUR 2,750,-/3,425,- (+ 3% VAT)

CONDITIONS FOR CANCELLATION

Cancellations must be made in writing. Full course fees are payable if the cancellation is received less than 5 working days before the start of the course and if no medical certificate has been handed in. For cancellations received before this deadline, 20% of the registration fees will be charged, with a minimum amount of 50 EUR and a maximum amount of 1,200 EUR. A course participant can be replaced by another participant at any time without additional charges. This must be notified to us in writing.

EXAMINATION DATES AND PRICES

The optional examinations can be taken every Tuesday and the last Thursday of each month, except during school holidays.