Professional Course

Mastering Risk Management

ACF Academy, In London (+3 locations)
3 days
3,400 USD, 2,350 - 2,700 GBP
Next course start
8 July, 2024 (+3 start dates)
Classroom, Virtual Classroom
3 days
3,400 USD, 2,350 - 2,700 GBP
Next course start
8 July, 2024 (+3 start dates)
Classroom, Virtual Classroom
This provider usually responds within 48 hours 👍

Course description

Mastering Risk Management

The Mastering Risk Management course is a comprehensive seminar that gives participants a clear understanding of risk: how it arises, how to measure it, and – most important of all – how to manage risk. Participants will explore and master a wide spectrum of risks, including market, credit, and operational risks.

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Upcoming start dates

Choose between 3 start dates

8 July, 2024

  • Classroom
  • London

8 July, 2024

  • Virtual Classroom
  • Online

7 August, 2024

  • Classroom
  • New York City

Who should attend?

Who Should Attend

Anyone involved in risk management, measurement, and control.



Training content

Overview of Banking Risk

  • Definition of risk and uncertainty
  • The dimensions of risk
  • Market risk: FX, I/R, equity, commodity, basis, and volatility risks
  • Credit and counterparty risk
  • Liquidity risk
  • Operating risk – including fraud and settlement risk
  • Legal, regulatory, and political risk
  • The risk / return trade-off

Review of Statistical Concepts

  • Statistical distributions
  • Mean, variance, standard deviation, skewness and kurtosis
  • Probability distributions
  • Mastering the Normal distribution
  • Confidence intervals
  • Volatility
  • Correlation and auto-correlation
  • Calculating Volatility from Market Data

Pricing Principles for Financial Products

  • FRAs
  • Swaps
  • Options
  • Why options behave differently
  • Option pricing models – how do they work?
  • The "Greeks" for options
  • Market risk for financial products
  • Symmetrical vs. non-symmetrical products
  • Pricing Options

Overview of VaR

  • Objective of Value At Risk (VaR)
  • Establishing confidence intervals
  • Principles of calculating VaR
  • Methods of calculating VaR
  • The variance / covariance (parametric) approach
  • The Monte-Carlo risk approach
  • Using historical simulation
  • Stress-testing and scenario analysis

Implementing VaR

  • Principles
  • Choosing a confidence levels (5%?, 1%?, 0.0001%?)
  • Choosing a time horizon (1d?, 10d?, 30 days?)
  • Gathering risk data
  • Full valuation vs. parametric approaches
  • Implementing the variance / covariance approach
  • Historical simulation
  • Choosing scenarios for Monte-Carlo and stress-testing
  • Comparing methodologies
  • Verifying VaR
  • Back-testing and model validation
  • Expected Shortfall
  • Calculating VaR using the Historical Simulation approach

VaR for a Portfolio of Instruments

  • Combining and integrating risk exposures
  • Portfolio risk and correlation concepts
  • Components of portfolio risk – the Greeks again
  • Risk managing the entire portfolio
  • Additive, non-additive, and offsetting risks
  • Managing a portfolio of linear instruments
  • Managing a portfolio of non-linear instruments
  • Special problems caused by convex products
  • Correlations between interest rates, currencies, and other financial risk dimensions
  • Calculating VaR for a Banking Portfolio

The Basel Market Risk Amendment and FRTB

  • The Basel Accord for Market Risk
  • The standard model
  • Using internal models
  • Qualitative standards for internal models
  • Calculating VaR using internal models
  • The multiplier, "yellow cards", and the "red card"
  • Stress testing
  • The Fundamental Review of the Trading Book (FRTB)
  • Revised Internal Models Approach
  • Revised Standardised Approach
  • Revised boundary between trading and banking books
  • Adoption of Expected Shortfall
  • The meaning of: DRC, RRAO, ES, SES and other acronyms
  • Default risk
  • Stress testing
  • Workshop: Calculating market risk

Review of Credit Risk

  • Definition of credit risk
  • Sources of credit risk: bank lending, LCs, money market and bonds, derivatives
  • Country and counterparty risk
  • Measuring credit risk: traditional methods
  • Measuring credit risk for financial products
  • Z-score and similar statistical approaches
  • Credit ratings and methodology

Credit Risk and Credit VaR

  • Default risk and equity prices – the KMV approach
  • Determining expected default frequency (EDF)
  • CreditMetrics
  • Calculating value volatility and Credit VaR
  • Choice of time horizon for Credit VaR
  • The transition matrix
  • Estimating migration probabilities
  • Markov processes and chains
  • Modelling recovery rates and credit spreads
  • Determining correlations from equity data
  • Standalone risk vs. portfolio risk
  • Monte-Carlo methodology
  • CreditRisk+
  • Comparison of different credit models
  • Measuring Credit Risk for a Loans Portfolio

Credit Derivatives

  • Principles and functions of credit derivatives
  • Types of credit derivatives
  • Credit default swaps
  • Index products
  • Pricing CDS
  • Using CDS to reduce credit exposure

Mitigating Counterparty Risk

  • Monitoring and controlling counterparty risk
  • Netting
  • Collateral management
  • Settlement – delivery versus payment
  • Using credit derivatives to modify risk profile

Basel III and Credit Risk

  • Basel III
  • Pillars I, II, and III
  • Menu of approaches
  • Standardized vs. Internal Ratings Based (IRB) approaches
  • Foundation vs. Advanced IRB approaches
  • Tier One, Tier Two, and RWA
  • Using internal credit models
  • Allowance for credit risk mitigation
  • Use of credit derivatives
  • Collateralization
  • Operational risk
  • The Capital Conservation Buffer
  • The Countercyclical Buffer
  • Workshop: Calculating capital for credit risk

Management and Current Issues

  • Segregation of discretion and responsibilities
  • Role of senior management
  • What do the numbers really mean?
  • Limits of VaR – what VaR can and cannot achieve
  • The credit crisis and its implications
  • Global risk management
  • Risk-adjusted and capital-adjusted profit and performance measures
  • Efficient allocation of capital and risk resources
  • Examples of best practices
  • Situations to be avoided (and how)
  • Lessons to be learned from recent financial disasters
  • Risk management in the future


  • New York: $3,400
  • London: £1,700 (plus VAT)
  • Virtual: £2,350 (plus VAT)

Certification / Credits

CPD: 21 hours

Learning Outcomes

By attending this course, you will:

  • Obtain a thorough insight into credit and market risk management concepts and practices
  • Gain an in-depth understanding of the varied risks– both credit and market – arising from FX, swaps, futures, options, and other financial products.
  • Explore the principles used in the active hedging and risk management of derivative instruments and portfolios, and the practical problems faced by banks in managing their books.
  • Examine counterparty and credit risk issues, and the methods available to mitigate these risks
  • Develop your understanding with extensive practical examples illustrating each of the concepts covered

Why choose ACF Academy?

Over 100,000 professionals trained globally

Award-winning practical financial simulations

Consistently high ratings

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ACF Academy
28 King Street
EC2V 8EH London

ACF Academy

ACF Consultants are a global leader in providing practical and effective training for financial professionals. Leading banks, companies and financial institutions from all over the world partner with us to develop their people to achieve their goals. They trust our...

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