PURPOSE

To present the modern techniques and practices in financial-risk management. Market examples are solved with Excel spreadsheets, with emphasis in models and risk analysis of Brazilian financial products.

 MAIN TOPICS

. Application of regulation circular 2972
. Fixed-risk assets
. Evaluation of parameters provided by the Brazilian Central Bank (BCB)
. Backtesting
. VaR calculation for market risk, credit risk and liquidity
. Economic scenarios and their effect on volatility
. How to estimate volatility and the co-variance matrix
. Systemic crisis and minimum capital needed
. Implicit volatility curve and smile analysis
. Duration and portfolio VaR
. Extreme move effect
. Examples with local assets
. History and recent disasters
. Importance of operational risk
. Integrating risks
. Lessons from recent disasters (Orange County, Barings, LTCM and others)
. Mapping of vertex flows
. Marking to market
. Market squeeze and its effect on derivatives
. Risk measures: maximum lost, volatility, VaR, EaR, Surplus-at-risk
. CVaR
. Monte Carlo method and its application
. Delta-normal method
. Minimization of risks
. Asset-correlation modeling
. Internal model x standard model
. Full and partial Monte Carlo
. MV, EWMA, extreme values and X-GARCH methods
. Need for risk management
. Risk budget
. Contingency plans and special reports
. Stochastic processes
. The risk manager job
. Funding risk and pricing risk
. Liquidity risk and application of regulation 2804
. Operational risk
. History simulation and parametric method
. Risk management systems
. VaR for derivatives