Our Courses
We offer a wide variety of online courses covering the most important areas in the banking industry. Our courses are delivered via Zoom to groups of up to 10 delegates. Our topics include: credit risk, counterparty credit risk, financial derivatives, risk management, portfolio modelling, correlation modelling, liquidity risk, Basel regulation, quantum computing for finance, amongst others.
Sample courses:
Credit Portfolio Modelling
Duration: Two Days, online
Cost: 4000 EUR +VAT for up to 10 participants
The purpose of the course is to identify credit risk in financial instruments. We progress from the individual modelling of credit (via intensity and structural models) to the modelling of multiple underlyings in a portfolio setting. Analytical and Monte Carlo Simulation is used to estimate the role distributions of real portfolios, such as the Vasicek and Copula Approaches. Finally, a framework is developed to measure tail risks of portfolio losses via expected shortfall (ES) and value at risk (VAR).
DAY 1
1: Introduction
2: Structural Models
3: Intensity Models
4: Credit Portfolio Models
DAY 2
5: Gaussian Copula
6: Correlation
7: Credit Portfolio Management
8: CPM in Python
Counterparty Credit Risk
Duration: Two Days, online
Cost: 4000 EUR +VAT for up to 10 participants
The aim of this two-day course is to enable attendees to get acquainted with counterparty credit risk in derivative financial instruments. The course will cover both the credit risk models pertinent to CCR, as well as the exposure characteristics of derivative contracts such as futures, forward and swaps. In particular: (a) to understand the nature of counterparty credit risk occurring in derivative products; (b) to assess in detail the mark-to-market and exposure profiles of interest rate, foreign exchange, credit derivative, equity and commodity derivatives; (c) to calculate the net effective exposure of a portfolio of transactions; (d) to understand the credit valuation adjustment (CVA) and how It captures CCR; (e) to explore how to reduce CCR using collateral
DAY 1
1: Introduction
2: Credit Risk Modelling Survey
3: Intensity Models
4: Credit Derivatives
DAY 2
5: Financial Derivatives and Exposure
6: Collateral
7: Counterparty Credit Risk and CVA
8: Bilateral Counterparty Credit Risk
Liquidity Risk Management
Duration: Two Days, online
Cost: 4000 EUR +VAT for up to 10 participants
Liquidity is the ability of a bank to fund increases in assets and meet obligations as they come due, without incurring unacceptable losses. According to the Financial Crisis Inquiry Report prepared by the US Senate identified liquidity risk as one of the main drivers of the 2008 global financial crisis. More recently, the Silicon Valley Bank (SVB) collapsed due to an old-fashioned bank run, forcing the government to intervene to stop a market contagion which could have had extreme consequences. Can it happen again? This course will give an analytic overview of the challenges of liquidity risk as well as tools on how to measure and manage this important risk.
DAY 1
1: Introduction
2: The Liability Side
3: The Asset Side
DAY 2
4: Contingencies
5: Governance and Management
6: Basel Regulation on Liquidity
