Masterclass in Market Risk Management
| Course Provider |  |
| Dates Duration | 20, 21, 22 September 3 Days |
| Venue | Institute of Bankers, IFSC, Dublin 1 |
| Course Fees | Full Fee: €2100 Network Members Fee: €1260 |
| CPD Hours | To be confirmed |
Programme Introduction
The global financial crisis has focused attention on the risks arising from the trading activities of international banks. The Turner Review urges a tripling of the capital which banks must hold against trading risk while the ‘Volcker Rule’ seeks to move proprietary risk-taking activities out of commercial banks.
This Master Class in Market Risk Management is designed to provide participants with the ability to:
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Manage the market risk of portfolios containing equities, bonds, foreign exchange, commodities and derivative instruments;
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Manage interest rate risk in the banking book;
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Meet the regulatory liquidity requirements;
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Interpret the Basel standardised measurement method and internal models approach; and
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Understand the implications of the July 2009 revisions to the market risk framework and so-called ‘Basel 3’ proposals of December 2009.
This Master Class will be delivered in the form of interactive lectures and case studies.
This programme should appeal to those involved in market risk, those responsible for managing it, and senior management responsible for teams in these areas. Such roles should include, but are not limited to:
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Market Risk Analysts
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VAR Analysts
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Market Analytics Specialists
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Trading Risk Analysts
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Regulatory Reporting Officers
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Risk Managers in all risk disciplines
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Existing and aspiring non-executive directors
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Actuaries
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Portfolio Managers / Analysts
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Risk Strategists
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Quantitative Analysts
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Treasury Specialists – Sales and Cash Management
Topics Overview
This Master Class will address topics such as: bank management of its trading book; market risks for equities, interest rates, foreign exchange, commodities and derivatives. Other types of risks also considered include: emerging market risk, liquidity risk, model risk, execution risk, and tracking errors; efficient diversification, the use of derivatives and dynamic hedging strategies; use of commercial data bases.
Examinations and Assessment
There are no examinations or assessments for this Master Class in Market Risk Management.
Master Class Leader - Prof Brian O’Kelly
Brian O’Kelly is Adjunct Professor of Finance at Dublin City University and Programme Director of its MSc in investment, Treasury and Banking. He has engineering and MBA degrees from UCD, and MSc in Investment and Treasury and PhD degrees from DCU. His PhD thesis was on the valuation of Collateralised Debt Obligations (CDO).
Brian has worked in the financial markets for over twenty years. His early experience was in commodity hedging with ESB, followed by a period as a full-time Finance lecturer at DCU. In 1999, he joined the risk management function at AIB Capital Markets where he worked on credit portfolio management, loan pricing, counterparty credit risk management and securitisation modelling. He moved to the corporate banking function in 2006 where he focused on ABS, portfolio tranche and margin lending activities.
In 2007, Brian left AIB Capital Markets and co-founded QED Equity, an IFSC-based private equity firm focusing on opportunities in banking and insurance. He consults widely to IFSC banks and central banks (national and international).
Brian has been a speaker at numerous conferences and has written many articles for financial journals.
To Register
The closing date for registrations is Friday, 10th September 2010. To register, please click BOOK THIS COURSE and complete all sections of the Application Form.