Objectives:

By the end of the course, participants will be able to:

• Define the basic terms related to risk and the fundamentals of Enterprise Risk Management
• Execute a qualitative risk analysis to determine the overall risk level
• Perform a quantitative risk analysis by utilizing techniques such as Value at Risk (VaR), Expected Credit Loss (ECL), stress testing, scenario analysis, Monte Carlo simulations, and decision tree analysis
• Develop effective risk-based response and decision-making strategies based on the relative priorities
• Identify risk management maturity within an organization, create a risk register, and monitor the entire process

Outline:

• Introduction to Enterprise Risk Management
  • Governance, Risk, and Compliance (GRC) framework introduction
  • Three lines of defence
  • Definition of risk and identification of risk types
  • Enterprise Risk Management (ERM) process
  • Definition of risk appetite
  • Introduction to financial markets and products
• Qualitative Risk Analysis
  • Brainstorming and Delphi technique
  • SWOT analysis
  • Risk probability and impact assessment
  • Heat maps and risk score
  • Risk urgency assessment
• Quantitative Risk Analysis
  • Credit risk
    • Credit analysis
    • Credit rating
    • Credit portfolio management
    • Expected Credit Loss (ECL)
  • Market risk

§  Classification of instruments and valuation methodologies

§  Value at Risk (VaR)

§  Stress testing

§  Liquidity risk

• Operational risk
• Risk management and investment management methodologies
  • Monte Carlo simulation
  • Sensitivity and scenario analysis
  • Expected Monetary Value (EMV)
• Risk-adjusted performance measures
• Risk Response Strategies and Decision Making
  • Secondary and residual risks: Risk response strategies
  • Calibrating Key Risk Indicators (KRIs)
  • Contingency planning strategy
  • Incident management
  • Decision tree analysis
  • Decision-making reconciled with risk appetite
• Assessment of Risk Maturity and Monitoring
  • Implementation of a risk register
  • Assessment of the risk management maturity
  • Risk-based internal audit
  • Risk reviews
  • Identification of emerging risks and future trends