Bank Risk Management

This workshop is designed to provide the participants with an overview on modern bank risk management, including the breakdown of the Basel II requirements and a comparison with Basel I.

Learning objectives

After the workshop the participants will be able to:

• Define risk, uncertainty and exposure in the context of the financial markets;
• Analyse the concept of risk management and its relationship to Capital Management
• Understand and apply the Value at Risk (VaR) methodology to measure market risk
• Understand the contents of Basel II, and identify and measure Credit, Market, and Operational Risk to measure regulatory capital

• Discuss the business model of a commercial bank
• Overview of the main performance ratios
• Identify a bank's main risk categories
• Interest rate risk: Identify interest rate risk, Yield curves, Gap management
• Capital Management: What is capital? Why is capital needed? Different forms of capital. Evolution of capital requirements
• Basel I: overview of main capital requirement
• Basel II:

Controllers Institute
Date: October 4, 2010
Venue: Mercure Hotel, Amsterdam (Schiphol)

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