International Training inFinancial Risk

Management

RiskManage ment

Training Programme in

Financial Risk Management

BACKGROUNDf In an increasingly complex and interdependent world

of financial markets, products and regulations, effi-

cient risk management is a crucial element, which

can determine the fate of a company. To offer a solid

framework for training in risk management, IFBL and

PRiM renewed and extended their former collabo-

ration by signing a partnership agreement in June

2008.

PARTNERSf Established in its current form in 1990 as the training

branch of the Luxembourg Bankers’ Association (ABBL),

the IFBL provides participants the means to achieve

sound and rapid career progression anchored in the

realities of banking and financial market requirements.

Its wide-ranging programmes evolve constantly and

range from industry basics to state-of-the art, highly

specialised courses, training sessions, seminars, confe-

rences and workshops. To ensure that the offered

training programmes match the real needs of the

Financial Centre, the IFBL has formed “Quality Circles”,

composed of acknowledged experts in their respec-

tive fields. It has also built up partnerships with all

the major professional organisations in Luxembourg.

www.ifbl.lu • www.abbl.lu

f PRiM, the Luxembourg Association for Risk

Management Professionals, founded in July 1997, exists

to provide a Luxembourg-based forum for networking

and exchange of information between professionals of

the risk management world. The association contribu-

tes actively to the institutional and regulatory world in

the Luxembourg financial sector and promotes educa-

tion for the needs of risk professionals in Luxembourg.

www.prim.lu

OBJECTIVES

• Providing professional training in

Financial Risk Management at all levels.

• Validating basic and practical knowledge in the

field of Financial Risk Management.

• Preparing students for the GARP FRM examination.

• Focusing on regulatory requirements.

• Promoting the function of risk manager through

professional training and qualifications.

TRAINING OFFER

On the basis of their partnership agreement, IFBL and

PRiM jointly developed a complete training programme

based on the principles of modular course units, tests

and the validation of professional knowledge. The offer

is designed for different types of audiences ranging

from beginners to practitioners specializing in the field

of risk management. The culmination of the training

programme is a high-calibre seminar with the inter-

nationally renowned Prof. Philippe Jorion to prepare

students for the FRM® examination offered by GARP

(Global Association of Risk Professionals).

METHODOLOGY

In the training concept of the IFBL, the first training

unit (M1) covers most of the fundamental theoretical

aspects. As such, it is open to a broad target audience.

The M2 training units support a practical approach to

studying the different types of risk at an advanced level.

The M’ modules represent a useful complement and

propose a review of a series of concepts, enabling parti-

cipants to qualify for the M3 course. The M3 course is

the actual master course that prepares students for

the GARP FRM examination on the basis of Professor

Jorion’s “Financial Risk Manager Handbook”.

EXAMINATION AND CERTIFICATION

For all M1 and M2 modules, an examination can be

taken after the course to test the individual partici-

pant’s level of knowledge. The tests are in the form

of written examinations and candidates can choose

the examination date from the IFBL calendar (every

Tuesday and the last Thursday of each month, except

during school holidays). The M’ modules do not include

any type of examination. The M3 training programme

in itself does not include an examination. Participants

wishing to take the GARP FRM examination are requi-

red to register directly with GARP. For more informa-

tion, please consult the following website:

www.garp.com/frmexam

FRM® EXAMINATION BY GARP

M3

MASTERING ADVANCED

TECHNIQUES AND COMPLEX

ISSUES IN FINANCIAL RISK

MANAGEMENT (PROF. JORION)

M’

FRM MATHEMATICS,

PROBABILITIES AND

STATISTICS (PROF. HÜBNER)

M’

FRM REVIEW OF

CAPITAL MARKETS

(PROF. HÜBNER)

EXAMINATIONM2

CREDIT RISK

M2

OPERATIONAL RISK

EXAMINATIONM2

MARKET RISK

EXAMINATIONM1

FUNDAMENTALS OF

RISK MANAGEMENT

EXAMINATION

Lecturers

PROF. PHILIPPE JORIONf Philippe Jorion is Chancellor’s Professor

of Finance at the School of Business at the

University of California at Irvine. He has taught at

UC-Berkeley, Columbia University, Northwestern

University, the University of Chicago and the

University of British Columbia. He holds an MBA

and a Ph.D. from the University of Chicago, and

a degree in engineering from the Université Libre

de Bruxelles. He has authored more than ninety

publications directed at academics and practition-

ers on the topics of risk management and inter-

national finance. He has also written a number

of books, including “Value at Risk: The New

Benchmark for Managing Financial Risk,” which

is aimed at finance practitioners and has become

a bestseller in its field. Dr. Jorion has also written

the “Financial Risk Manager Handbook” to sup-

port the annual examination administered by the

Global Association of Risk Professionals.

PROF. GEORGES HÜBNERf Georges Hübner holds a Ph.D. in Management

from INSEAD. He is the Deloitte Professor of

Financial Management at HEC Management

School–University of Liège. He is also an

Associate Professor of Finance at Maastricht

University and an Affiliate Professor of Finance

at EDHEC (Lille & Nice). He has taught at execu-

tive and postgraduate levels in several countries

in Europe, North America, Africa and Asia.

Georges Hübner has authored several books and

peer-reviewed research articles in the fields of

hedge funds and derivatives. He also invented

the Generalized Treynor Ratio published in the

“Review of Finance” in 2005. He was the recipi-

ent of the 2002 Iddo Sarnat Award for the best

paper published in the “Journal of Banking and

Finance” in 2001 and of the Operational Risk &

Compliance Achievement Award 2006 for the

Best Academic Paper on operational risk, co-

written with Yves Crama (HEC-University of Liège)

and Jean-Philippe Peters (Deloitte Luxembourg).

The M1 and M2 modules are taught by trainers appointed by the PRiM Quality Circle and approved by IFBL.

For the high-level international courses (M’ and M3), we are pleased to welcome once per year two eminent

guest lecturers.

M1 FUNDAMENTALS OF FINANCIAL

RISK MANAGEMENT

f This course is designed for any person from

inside or outside financial services, who is inter-

ested in the basic concepts of Financial Risk

Management. It provides a sound basis to those

who wish to participate in any further training

courses on risk management. Although no specif-

ic prerequisites are required, participants should

have at least a basic knowledge of financial mar-

kets and products.

INTRODUCTIONf Definitions

f Evolution of risk management

and supervision authorities

f Typology of risks

MARKET RISKf Basic components of market risk

• Equity risk

• Interest rates risk

• Exchange rates risk

• Commodities risk

f Market risk on derivatives

CREDIT RISK: DEFINITIONS, EXAMPLES,

MEASURES, ELEMENTS OF MANAGEMENT

LIQUIDITY RISK: DEFINITIONS, EXAMPLES,

MEASURES, ELEMENTS OF MANAGEMENT

OPERATIONAL RISK: DEFINITIONS,

EXAMPLES, MEASURES, ELEMENTS

OF MANAGEMENT

VALUE AT RISKf Definition

f Three different approaches

f Implementation and backtesting

ORGANISATIONAL ASPECTS OF

RISK MANAGEMENT

REPORTING: REPORTING LINE, EXAMPLES

CONCLUSIONS AND BIBLIOGRAPHY

Programmes, Participants

and Prerequisites

M2 MEASURING AND MANAGING

MARKET RISK

f While giving a complete overview of the differ-

ent aspects related to market risks, this module

also provides essential knowledge to those

who wish to participate in any further training

courses on risk management.

f As the approach is a qualitative one, the focus

is on mechanisms and practical applications,

rather than on financial mathematics and

formulas. The course is of interest not only to

employees of risk management departments,

but also to people working in other positions,

such as controllers, accountants, compliance

officers, legal staff, auditors, back and middle

office employees, traders as well as client advis-

ers and portfolio managers.

INTRODUCTIONf Market risk typology

f Definitions

f History and evolution

f Organisational aspects and best practices

MARKET RISK REPORTINGf Reporting line

f Examples

BASIC COMPONENTS OF MARKET RISKf Equity risk

f Interest rate risk

f Forex risk

f Commodity risk

MARKET RISK ON DERIVATIVES

AND PORTFOLIOS

VARf Definition

f Different approaches

f Implementation and backtesting

RISK MANAGEMENT SOFTWAREf Examples

f Differences

CONCLUSIONS

M2 MEASURING AND MANAGING

CREDIT RISK

f This training course supports a qualitative and

practical approach to credit risk measurement

and management, rather than teaching formulas

and financial mathematics. Knowledge of market

risk measurement techniques (M1, M2) is sug-

gested as a prerequisite. The course will be of

particular interest to risk managers, auditors,

controllers, legal advisers, loan officers, client

advisers and portfolio managers.

INTRODUCTIONf Definitions

f The importance of credit risk

f The components of credit risk

f Historical evolution and best practices

BASIC COMPONENTS

OF CREDIT RISK MODELINGf Definitions

f Examples

TOOLS AND METHODS FOR LOANS CREDIT

RISK MEASUREMENT AND MANAGEMENTf Definitions

f Actual credit exposure

f Assessment of default probabilities

f Agency ratings

f Internal ratings models and

credit scoring loss given default

f Expected loss

f Unexpected loss

f Overview of portfolio credit models

f Loans credit risk pricing and

capital allocation techniques

OVERVIEW OF THE BASEL II /

CRD REGULATION AND ITS IMPACT

ON CREDIT RISK MEASUREMENT

CONCLUSIONS

M2 MEASURING AND MANAGING

OPERATIONAL RISK

f This training course supports a practical approach

to operational risk measurement and manage-

ment. Knowledge of market risk measure-

ment techniques (M1, M2) is suggested as a

prerequisite.

f The course will be of particular interest to risk

managers, auditors, controllers, legal advisers,

loan officers.

INTRODUCTIONf Context

f History of operational risk management

IDENTIFICATION OF OPERATIONAL RISKf Definitions

f Typology

f Key components

ASSESSMENT OF OPERATIONAL RISKf Operational risk within the Basel II framework

f Operational risk modeling

f Economic capital aspects

MONITORING OF OPERATIONAL RISKf Putting operational risk management to

practice (a.o. software solutions…)

f Reporting lines

MITIGATION OF OPERATIONAL RISKf Lessons from operational risk monitoring

f Other aspects (Human Resources, procedures,

project management, business continuity and

disaster recovery)

CONCLUSIONS

M’ FRM MATHEMATICS, PROBABILITIES

AND STATISTICS

(formerly: Quantitative Seminar)

by Prof. Georges Hübner

f The 3-day seminar is the first part of a trai-

ning programme preparing for Prof. Jorion’s

subsequent course (M3 Mastering Advanced

Techniques and Complex Issues in Financial

Risk Management). It is designed for a target

audience of persons specialising in the field of

finance and/or risk management: risk managers,

treasurers and traders, risk analysts, portfolio

managers as well as all those who are interested

in this subject.

f The main purpose is to cover the necessary

mathematics, probability and statistics concepts

and techniques to follow Prof. Jorion’s course

in the best conditions, i.e. to respect its pre-

requisites. These tools will be reviewed with a

focus on their likely applications in Financial Risk

Management. A basic knowledge of mathematics

and statistics is welcome, however the require-

ment level in quantitative proficiency is low.

MATERIALSf The seminar will encompass the first nine

chapters of the following book:

Philippe Jorion, Financial Risk Manager

Handbook (5th edition 2009), Wiley.

For the subsequent financial applications,

background material can be found in the fol-

lowing books, which are also on the FRM study

guide list: John Hull, Options, Futures, and Other

Derivatives (7th edition, 2008), Pearson Frank

Fabozzi, Fixed Income Mathematics (4th edition,

2008), McGrawHill-Irwin. A complete syllabus

will be distributed to seminar participants with a

list of selected references.

SEMINAR OUTLINE

MATHEMATICS APPLIED TO FINANCEf Logarithms and exponentials

(application to interest rates and bond prices)

f Derivatives and differential calculus

(application to bond duration)

f Taylor series expansion

(application to bond convexity)

f Integrals (application to bond valuation)

f Optimization (application to portfolio selection)

PROBABILITIES f Principles of probabilities

(application to stochastic dominance)

f Moments of random variables

(application to portfolio returns)

f Discrete probability functions

(application to derivatives pricing)

f Continuous probability functions

(application to stock prices and returns)

f Multivariate distributions

(application to portfolio diversification)

f Convolutions and copulae

(application to credit and operational risk)

STATISTICSf Point estimators

(application to asymptotic distributions)

f Confidence intervals and hypothesis testing

(application to performance measurement)

f Tail estimation (application to extreme losses)

REGRESSION ANALYSISf Univariate regression

(application to beta measurement)

f OLS/GLS (application to multi-factor models)

f Autoregressive models

(application to conditional variance models)

f Logit/probit (application to default probabilities)

CONTINUOUS TIME FINANCEf State pricing

(application to financial binomial trees)

f Brownian motions and Itô processes

(application to financial price processes)

f Monte Carlo simulations

(application to interest rate forecasting)

f Risk-adjusted valuation

(application to option pricing)

M’ FRM REVIEW OF CAPITAL MARKETS

(formerly: incl. Quantitative Seminar)

by Prof. Georges Hübner

f The 2-day seminar is the second part of the

training programme preparing for Prof. Jorion’s

subsequent course (M3 Mastering Advanced

Techniques and Complex Issues in Financial Risk

Management). It is exclusively designed for the

participants of the M3.

f The main purpose is to review the necessary

concepts and products of capital markets to fol-

low Prof. Jorion’s course in the best conditions,

i.e. to respect its prerequisites. These concepts

will be reviewed with a focus on their implication

in Financial Risk Management.

MATERIALSf Philippe Jorion, ”Financial Risk Manager

Handbook” (5th edition 2009), Wiley

f FRM study guide list: John Hull, Options,

Futures, and Other Derivatives (7th edition,

2008), Pearson Frank Fabozzi, Fixed Income

Mathematics (4th edition, 2008), McGrawHill-

Irwin. A complete syllabus will be distributed

to seminar participants with a list of selected

references.

SEMINAR OUTLINE

CAPITAL MARKETSf Introduction to derivatives

Valuation of forwards and futures

f Options

Valuation of options

f Fixed-income securities

Term structure of interest rates, fixed-income

and asset-backed securities

f Fixed-income derivatives

FRAs, Eurodollar futures, T-Bond futures, swaps,

caps, swaptions

f Equity, currencies & commodities markets

Convertible bonds and warrants, stock index

futures, currency swaps, commodity futures

M3 MASTERING ADVANCED TECHNIQUES

AND COMPLEX ISSUES IN FINANCIAL RISK

MANAGEMENT

(formerly: Financial Risk Management Seminar)

by Prof. Philippe Jorion

f This 5-day master course is designed for a target

audience of persons specialising in the field of

finance and/or risk management: risk managers,

treasurers and traders, risk analysts, portfolio

managers as well as all those who are interested

in this subject.

f Participants in the seminar should have had prior

exposure to quantitative methods, derivatives

and fixed income markets. At a minimum, they

should have taken the equivalent of an invest-

ment class in a conventional MBA programme.

f Ideally, these participants will follow the 2 pre-

vious preparation courses M’ FRM Mathematics,

Probabilities and Statistics and M’ FRM Review of

Capital Markets. Participants who do not regis-

ter for the M’ preparatory courses are asked to

provide a short curriculum vitae covering their

academic background and work experience.

f The purpose of this 5-day seminar is to provide

an overview of advanced techniques in Financial

Risk Management. It will cover market, credit,

operational risk, and integrated risk mana-

gement, as well as complex issues facing risk

managers in financial institutions. The format

will involve a mix of presentations, spreadsheet

examples and FRM exam questions. At the same

time, the seminar will provide a preparation to

the FRM examination administered in November.

f Please note that from 2010 onwards, candidates

will have two opportunities yearly as GARP will

also introduce a spring session. For more infor-

mation, please consult the following website:

www.garp.com/frmexam

MATERIALSf The seminar will follow the structure of the

following book, revised for 2009: Philippe

Jorion, ”Financial Risk Manager Handbook”,

(5th edition), Wiley. The book provides the core

body of knowledge for financial risk managers. It

was designed to provide support for candidates

taking the Financial Risk Manager (FRM) exami-

nation administered by the Global Association of

Risk Professionals (GARP).

COURSE OUTLINE

MARKET RISKf Introduction to market risk

Risk measurement methods,

Value at Risk (VAR), stress tests

f Sources of market risk

Interest rate risk, equity risk, currency risk,

commodity risk, mapping approach

f Hedging linear risk

Hedging with futures, minimum variance hedge

ratios, duration hedging

f Non-linear risk: options

Hedging with options, partial derivatives,

dynamic hedging

f Modeling risk factors

Choice of distributions, time variation in risk

f VAR methods

Delta-normal, historical simulation, Monte Carlo

simulation, limitations of risk systems

f VAR Tools: marginal, incremental and

component VAR

From measuring to managing risk: assessing the

effect of changing the portfolio

INVESTMENT RISKf Portfolio risk management

Risk and performance management,

risk budgeting

f Hedge fund risk management

Hedge fund strategies, mechanics of leverage

and shorting, hedge fund specific risks

CREDIT RISKf Introduction to credit risk

Drivers of credit risk

f Measuring actuarial credit risk

Measuring default risk from default rates

and recovery rates

f Measuring credit risk from market prices

Using bond prices and stock prices, structural

(Merton) models

f Credit exposure

Assessing current and potential credit exposure

on bonds and derivatives

f Credit derivatives and structured products

Credit default swaps, collateralized debt obliga-

tions, tranching, issues with securitization

f Portfolio credit risk model

Pricing credit risk, measuring portfolio credit risk,

commercial models (e.g. CreditMetrics)

INTEGRATED RISKf Operational risk

Approaches, assessment and management

f Liquidity risk

Asset liquidity risk and funding liquidity risk,

gap analysis

f Integrated risk management

Measuring economic capital, controlling traders,

RAROC, best practices reports

f Legal issues

Legal risks with derivatives, netting, ISDA master

netting agreement

REGULATORY REQUIREMENTf Regulation of financial institutions

Goals of financial regulation, systemic risk

f The Basel risk charges

Basel I and Basel II charges against credit, market

and operational risks

f The Basel market risk charges

Standardised approach, Internal Models

Approach (IMA), backtesting

LANGUAGESf M1 is available both in English and French.

All other courses are in English.

VENUEf Centre de Formation IFBL/Chambre de Commerce

7, rue Alcide de Gasperi, L-1615 Luxembourg

DATES, FEES AND CONDITIONSf See separate leaflet and check our website.

CONTACTSf PRiM

Risk Management Professionals in Luxembourg

c/o ABBL

59, boulevard Royal

L-2449 Luxembourg

Tel. +352 26 94 59 97 / Fax +352 26 94 59 98

www.prim.lu

f IFBL

Luxembourg Institute for Training in Banking

Customer Service

Tel. +352 46 50 16-1 / Fax +352 46 50 19

customer@ifbl.lu, www.ifbl.lu

Practical

information

DURATION

M1 FUNDAMENTALS OF FINANCIAL

RISK MANAGEMENT

M2 MEASURING AND MANAGING

MARKET RISK

M2 MEASURING AND MANAGING

CREDIT RISK

M2 MEASURING AND MANAGING

OPERATIONAL RISK

M’ FRM MATHEMATICS, PROBABILITIES

AND STATISTICS (Prof. Hübner)

M’ FRM REVIEW OF CAPITAL MARKETS

(Prof. Hübner)

M3 MASTERING ADVANCED TECHNIQUES

AND COMPLEX ISSUES IN FINANCIAL RISK

MANAGEMENT (Prof. Jorion)

Course Optional examination

8 hours 1 hour

16 hours 1.5 hours

16 hours 1.5 hours

8 hours 1.5 hours

24 hours n.a.

16 hours n.a.

40 hours n.a.

Form to be returned by mail or by fax to: IFBL ı 7, rue Alcide de Gasperi ı L-1615 Luxembourg ı Fax: 46 50 19 ı E-mail: customer@ifbl.lu

PARTICIPANT

Surname First name

Date of birth

Address

Work phone Home phone

E-mail Fax

(for notification of all details)

EMPLOYER

Member Non-member GARP or PRiM Member (please attach proof)

Name

Surname of Training Manager First name

E-mail (obligatory)

(mandatory for notification of all details)

Billing address

Tel Fax

By signing the registration form, the participant declares that s/he accepts the general terms and conditions as set out in this brochure.

Date Signature

(Employer’s stamp mandatory)

REGISTRATION

PROFESSIONAL (Both sections to be completed (participant and employer))

PRIVATE (Non-members' price)

Participants who do not register for the preparatory week are asked to provide a short Curriculum Vitae covering their academic

background and work experience.

Training in Risk Management

Registration Form Course Please indicate date Examination* Please indicate date

M1 FUNDAMENTALS OF FINANCIAL RISK MANAGEMENT

M1 RISQUES FINANCIERS

M2 MEASURING AND MANAGING MARKET RISK

M2 MEASURING AND MANAGING CREDIT RISK

M2 MEASURING AND MANAGING OPERATIONAL RISK

M’ FRM MATHEMATICS, PROBABILITIES

AND STATISTICS (PROF. HÜBNER)

M’ FRM REVIEW OF CAPITAL MARKETS

(PROF. HÜBNER)

M3 MASTERING ADVANCED TECHNIQUES AND COMPLEX

ISSUES IN FINANCIAL RISK MANAGEMENT (PROF. JORION)

* The optional examinations can be taken every Tuesday and the last Thursday of each month, except during school holidays.

www.ifb l.luwww.prim.lu

Training in

Financial Risk Management

M1 FUNDAMENTALS OF

FINANCIAL RISK MANAGEMENT

M1 RISQUES FINANCIERS

M2 MEASURING AND

MANAGING MARKET RISK

M2 MEASURING AND

MANAGING CREDIT RISK

M2 MEASURING AND

MANAGING OPERATIONAL RISK

M’ FRM MATHEMATICS,

PROBABILITIES AND STATISTICS

(PROF. HÜBNER)

M’ FRM REVIEW OF CAPITAL

MARKETS (PROF. HÜBNER)

M3 MASTERING ADVANCED

TECHNIQUES AND COMPLEX

ISSUES IN FINANCIAL RISK

MANAGEMENT (PROF. JORION)

6 April

7 May / 1 December

24 & 25 June /2 & 3 December

2 & 3 July / 10 & 11 December

9 July / 14 December

5, 6 & 7 October

Deadline for registration: 10 September

8 & 9 October

Deadline for registration: 10 September

12-16 October

Deadline for registration: 10 September

EUR 155,-/195,- (+ 3% VAT)

EUR 155,-/195,- (+ 3% VAT)

EUR 405,-/505,- (+ 3% VAT)

EUR 405,-/505,- (+ 3% VAT)

EUR 205,-/255,- (+ 3% VAT)

EUR 900,-/1,125,- (+ 3% VAT)

EUR 600,-/750,- (+ 3% VAT)

EUR 2,750,-/3,425,- (+ 3% VAT)

CONDITIONS FOR CANCELLATION

Cancellations must be made in writing. Full

course fees are payable if the cancellation is

received less than 5 working days before the

start of the course and if no medical certificate

has been handed in. For cancellations received

before this deadline, 20% of the registration fees

will be charged, with a minimum amount of

50 EUR and a maximum amount of 1,200 EUR.

A course participant can be replaced by another

participant at any time without additional

charges. This must be notified to us in writing.

EXAMINATION DATES AND PRICES

The optional examinations can be taken every

Tuesday and the last Thursday of each month,

except during school holidays.

DATES AND PRICES 2009