Market risk management

Market risk management

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CLASS OBJECTIVES

Considering the latest developments in the international markets and the regulatory requirements for market risk, the class offers an in-depth presentation of the traded products and an intuitive and practical understanding of the mathematical models used for market risk. The class presents the implementation of the theory in financial applications through the use of intuitive and practical examples.

TARGE GROUP

Employees from the risk management, controlling, asset-liability management, audit departments from credit institutions, non-banking financial institutions, insurance companies; middle management of these institutions or any other interested persons.

SUMMARY

Introduction to market risk:

  • Regulatory standards for measuring and management of market risk

 Exchange traded products:

  • Forward contracts
  • Futures contracts
  • Options

Models used for price estimation:

  • Binomial tree model
  • Implementation of pricing algorithm
  • Arbitrage theory and the numeraire approach for price estimation
  • Black-Scholes formula

Portfolio risk measures:

  • Sensitivity risk measures Delta, Theta, Vega
  • Distributional risk measures: Value at risk, Expected Shortfall

Value at Risk estimation:

  • Delta normal approach
  • Historical and Monte Carlo simulations

LECTOR

Cezar Chirilă holds a PhD in Finance with specialization in Financial Mathematics, obtained in 2013 at Frankfurt School of Finance and Management.

Starting 2017, he is a Senior Economic Risk Capital Modeler – Credit Suisse, Switzerland. From 2014 to 2017, he has coordinated the Rating Models and Risk Parameters Team – BCR Erste. He participated in the projects related to stress tests, IFRS9 and the implementation of the Internal Rating Based approach (IRB) in the retail, corporate and municipality’s portfolios of the bank.

In BCR he created the Credit Risk Workshop, dedicated to students in the last year of the master program from ASE, Mathematics Faculty and Polytechnic Faculty. He is Associated Professor for Academy of Economic Studies in Bucharest, where he teaches risk management at the Doctoral School of Finance and Banking – DOFIN and at the research in finance master program – CEFIN. He is also Associated Professor for the University of Bucharest, where he teaches credit risk for the Applied Mathematics Master Program.

SEMINAR DURATION

2 days, for a total of 16 hours.

PERIOD

TBA, between 09:00 – 17:00

Registration is made following the registration form.

RBI will organise the seminar on its premises, and will provide specialized lecturer, course materials and catering services during the training day.

At the end of the course, participants will be given a certificate, issued by RBI (under the aegis of the founding members: NBR and RBA), with 14 CPD credits.

CONTACT

Georgiana Gojgarea

Phone: 0748886819

email: georgiana.gojgarea@ibr-rbi.ro