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5 - FNB - Finance and Banking

FNB 245 - Risk Management Practices in the Banking Sector

Code Start Date Duration Venue
FNB 245 30 October 2023 5 Days Istanbul Registration Form Link
FNB 245 25 December 2023 5 Days Istanbul Registration Form Link
Please contact us for fees


Course Description

In general banking business is regarded as risky business.  The focus of the risk management practices in the banking industry is to manage an institution’s exposure to losses or risk and to protect the value of its assets. The risk management process in banking raises various questions which highlight the importance of having risk management practices in banking. By the end of this course participants will have the ability to centralize risk management decisions to keep banking doors open.

Course Objectives

  • Exploring what kind of events can damage banking business 
  • Identifying and assessing the potential risk in the banking business
  • Discussing all the necessary steps in the process of risk management
  • Understanding the new model developed by Basel Committee for covering the shortage of liquidity at the bank level 
  • Creating a comprehensive framework for full integration of market and credit risk

Who Should Attend?

  • Supervisory Agencies Workers 
  • Central Banks Officials 
  • Financial Institutions Officials 
  • Financial service professionals who want to gain an overview of risk management in financial services.

Course Details/Schedule

Day 1

  • Market Risk & Asset and Liability Analysis (ALM)
  • The Methods of VaR Measurement & Configuration of VaR Limit Systems for Market Risk
  • Other Market Risk Measurement Methods (Sensitivity Based Risk Measures, Expected Shortfall, EVT)
  • Comparing Sensitivities of Interest Rate and Price
  • Maturity- and Duration Mismatch
  • Effective Duration and Convexity
  • Yield Curve Duration
  • Smoothing Methods (Cubic Spline Method, Hermit Spline Method)

Day 2

  • Liquidity Risk Management
  • Types of Liquidity Risk – Funding and Market
  • Classical Measures of Liquidity Risk – Loan to Deposits Ratio and VaR
  • Modern measures of Liquidity Risk – LCR, NSFR and Liquidity Adjusted VaR
  • Analyzing Gap Risk
  • Define and measure liquid and illiquid assets
  • Liquidity of assets under stressed market conditions
  • Key metrics for measuring asset liquidity and funding needs
  • Basel III”s Liquidity Coverage Ratio (LCR) and Net Stable Funds Ratio (NSFR).
  • Liquidity risk tolerance

Day 3

  • Credit Risk
  • Fundamental Concepts regarding the Credit Risk Measurement
  • Loss Distributions
  • Probability of Default (PD), Loss Given Default (LGD) and Exposure At Default (EAD)
  • Expected Loss, Unexpected Loss & Economic Capital
  • Credit Risk Models (KMV,  CreditMetrics, CreditRisk+, CreditPortfolio View)
  • IFRS9 and Defining PD and LGD 
  • Market Practice to define PD and LGD under insufficient data

Day 4

  • Stress Testing & ICAAP Process
  • Stress Testing and Scenario Analyses used for Risk Types (Market Risk, ALM Risk, Credit Risk, Operational Risk) and their Impact on P/L
  • Defining Market Based and Company Specific Scenarios
  • Balance Sheet under Stress Scenarios
  • Economic Capital Calculation
  • Liquidity Analysis under Stress Conditions
  • Defining Actions for Stress Conditions
  • Risk Appetite Statement & Stress Testing

Day 5

  • Operational Risk Management
  • Operational Risk & Operational Loss Database
  • Standards & Regulations (Basel, Coso, Sarbanes-Oxley ve Solvency II)
  • Enterprise Risk Management Framework
  • Construction of the Corporate Risk Map & Determining each “Line of Defense”
  • Construction/ Monitoring of Risk Matrix and Control Risk Self-Assessment (CRSA) Reports
  • Reporting/ Delegation of Risk and Actions that should be taken
  • Business continuity and disaster recovery plan