Associate PRM e-Coach Program

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1. Overview of Risk Management

• Common definition of financial risk
• General role that a risk manager plays in a company, financial or non-financial
• Basic language used by financial risk managers, including risk types like market risk, credit risk, operational risk, reputation risk, legal risk, business risk, and liquidity risk-

2. A Primer in Corporate Risk Management

• Balance between risk and reward is a choice that can be managed
• Basic steps towards implementing a financial risk management program
• Concept of hedge accounting
• Hedging at Merck as an example

3. A Non-Quantitative Guide to Theory of Risk and Return

• Diversification
• Efficient frontier
• Call option’s value
• Risk-adjusted returns

4. The Role of Governance in Risk Management

• Importance of Governance
• Role of the Board of Directors
• Typical financial risk management structure
• Basic risk management policies
• Importance and meaning of an Escalation Policy
• Role that external parties play in governance (external audit, regulators, “the market”)

5. PRMIA Standards of Best Practice, Conduct and Ethics

• The purpose and need for a framework on ethical purpose
• The elements of the standards of Best practice, conduct and ethics prescribed by PRMIA
• Guidelines on how to maintain high standards of professional conduct and ethics

6. PRMIA Governance Principles

• The constitution, organization and mission of PRMIA
• Provisions relating to its members, Board of Directors and other officers of PRMIA

7. Introduction to Financial Markets

• Types of instruments in the money markets
• Bond markets
• Foreign exchange markets

8. Introduction to Financial Markets – II

• Stock markets
• Futures markets
• Commodities markets
• Energy markets

9. Interest Rate Risk Analysis

• Definition of interest rate risk
• How changes in yield affect bond prices
• How changes in the shape of yield curve affects bond prices
• Concepts of duration and convexity
• Calculation of risk in a single security versus a portfolio of securities

10. Hedging Interest Rate Risk

• Futures and forwards
• Swaps
• Puts and calls
• Caps and floors
• Swaptions, exotics and financial engineering

11. Overview of Market Risk Management

• Notional amounts of exposure
• Identify and define “The Greeks” as measures of market risk
• Basic concepts behind value at risk and stress testing

12. Value at Risk

• Basic concepts behind Value at Risk
• Use of Value at Risk in setting Risk Limits
• Different approaches to determining Value at Risk measures
• Situations in which these approaches work or don’t work

13. Stress Testing, Scenarios & Other Market Risk Measures

• Concept of stress testing and need for it
• Analyze the creation of hypothetical and historical scenarios
• Application of stress test scenarios into market risk modeling
• Importance of stress testing to risk managers

14. Asset Liability Management

• Definition and implication of Liquidity risk
• Role of ALCO
• Concept of funding gaps
• Implications of duration gaps
• Measures of liquidity risk
• Funds transfer pricing

15. Retail Credit Risk Management

• Role that a credit officer plays
• Unique concerns of retail credit risk
• Credit scores
• Defaults, default rates and loss rates
• Factors involved in determining the value of a customer
• How securitization can transfer risk
• Pricing risk

16. Commercial Credit Risk Management

• Role that rating agencies play in measuring credit risk
• Basic credit ratings from these agencies
• Implied impact of migration in credit ratings
• Internal rating scores and methods
• Basic financial measures in a loan risk assessment
• Loss given default

17. Securitization

• Process of asset securitization
• Cash flows in asset securitization
• Benefits of securitization to different parties

18. Credit Modeling

• Use and importance of Credit Models
• Calculation of risk in a single credit versus a portfolio of credits
• Credit VaR
• Credit Metrics models
• MKMV models
• Actuarial and reduced-form models

19. Credit Derivatives

• Basic types of credit derivatives
• Credit default swaps
• Total return swaps
• Credit linked notes and spread options
• Collateralized debt obligations

20. Operational Risk Management

• What constitutes an operational loss and how might we quantify it
• How operational events are linked to other risk types, such as market, credit, liquidity or reputation risk
• Key risk indicators
• Key risk drivers
• How to differentiate a key risk indicator from a key risk driver
• Basic operational risk framework
• Approach to implementation of an operational risk framework
• Mitigation and examples of mitigation techniques
• Role of insurance in operational risk transfer

21. Performance Measures

• Concept and definition of risk capital
• Core uses of risk capital
• Compare and contrast risk capital and regulatory capital
• Definition of RAROC
• Uses of RAROC in business decision making

22. Case Study: Metallgesellschaft

• Investment deals that led to its liquidity crisis
• The strategies adopted by Metallgesellschaft
• Key lessons to be learnt from the case

23. Case Study: Orange County

• Investment techniques that led to the disaster
• Lessons learnt

24. Case Study: Riggs Bank

• Role played by the federal regulators
• Key findings of the investigations

25. Group of 30 – Derivatives Best Practices

• The use of risk associated with derivatives as financial instruments
• The purpose of G30 report: ‘Derivatives: Practices and Principles’
• The salient recommendations of derivative report with reference to individuals, institutions and legislators

26. Case Study: LTCM

• The lessons in risk management to be learnt from LTCM
• The corrective measures and recommendations of CPRMG and Basel committee

27. Case Study: California Power Crisis

• The major flawed assumptions that underpinned the crisis
• The factors explaining how the deregulation plan went wrong
• The lessons learnt

28. Case Study: US Savings & Loan Crisis

• Various factors that contributed to the S&L crisis
• Rescue of Savings and Loan industry
• Lessons learnt

29. Case Study: Continental / Penn Square

• Case history of Continental Illinois
• Collapse of Penn Square Bank
• Mexico’s debt default
• Crisis at Continental Illinois
• Resolution of the problem

30. Case Study: Bankgesellschaft Berlin

• Timeline of the case
• Background of the case
• Cause of the problem
• Effects of the problem
• Lessons learned

31. Case Study: Credit Lyonnais

• Problems at Credit Lyonnais
• Altus Finance and its dealings with US insurance industry
• MGM fiasco
• Real Estate Investments
• Risks / Objectives / Controls
• Creation of CDR: Asset Management Company

32. Case Study: Barings

• The use of unsounded practices and improper structure that brought down Barings bank
• The mechanics of rogue trader Nick Leesons trading operations on SIMEX and OSE
• The huge losses kobe earthquake caused to Leeson’s reported and unreported operations on SIMEX and OSE

33. Case Study: National Australia Bank F/X Options

• How the losses occurred
• Analysis of the losses
• How the losses were concealed
• The impact of risk
• Who discovered the losses and how
• What went wrong
• The currency options business
• Warning signs from relevant reports

34. Case Study: World Com

• WorldCom’s growth through acquisition strategy
• Accounting irregularities
• Loans to senior executives
• Role of analysts
• The hero of the case

35. Case Study: Bankers’ Trust

• Case history
• Analysis of the case
• Lessons learnt

36. Case Study: Daiwa

• The conspiracy and concealment of Daiwa’s $ 1.1 Billion trade loss
• The insufficient risk management and Internal controls
• Lessons learnt

$195 – 12 Month Program – Enroll Now

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