Risk Simulation Lab for Risk Management, Sharjah

The long term sustainability of the banks depends largely on management of their risk exposures. Bank failures in history have been mainly due to failure of banks to foresee and manage the risk. The expansions, diversification, and strategic positioning of the bank depend on the level of risk management expertise it has on board.

The Basel Committee on Banking Supervision has set up a detailed framework for measuring the capital adequacy, which requires banks to measure and apply capital charges with respect to their market risk and credit risk positions. These guidelines help banks in setting up parameters for defining the risk levels.

Why Risk Simulation Lab

Several factors affect the risk exposure in banks. These factors create several scenarios, which are difficult to understand and predict. EIBFS-IRIS Risk Simulation Lab (RSL) is a part of sustained long-term efforts of EIBFS to bring world class knowledge for banking community locally. The EIBFS-IRIS RSL is first of its kind in GCC to provide simulation based real-time creation of Risk Management scenarios.

Features

This lab will focus on the calculation of the capital charges for credit risk. Participants will learn the different approaches to measure capital charges including risk mitigations and the implementation of the framework based on guided simple and more complex examples. At the end of the course you will be able to start the functional implementation of an according project in your organization.
The management of market risk requires apart from the knowledge of the analysis methods, analysis structures, the modeling risk factors and data. During the course participants will be introduced into the dimensions of market risk analysis. They will learn how to build analysis structures, how to define stress scenarios for the risk factors and how to enter your financial contracts. At the end of the course participants will be able to interpret the results of the various analysis methods, contracts and to propose strategies to optimize risk profile.
The dynamic Simulation functionalities deliver the answers to ALM questions. The Dynamic Simulations allows to model market price scenarios over time, to parameterize deterministic / contingent customer behavior and to configure business strategy. The results of Dynamic Simulations are earnings (NII, book income), gaps, and economic capital over time. Participants will be introduced to functionalities based on guided simple and complex examples.

Modules

• Implementing static ALM
• Risk factors
• Analysis structures
• Financial contracts
• Analysis results
• Implementing Basel II
• Implementing dynamic ALM
• Scenario modeling
• Analysis results
• Strategy modeling
• Analysis results
• Customer behaviour

Duration

The program is for the duration of 5 days. Pre-requisites Basic understanding of ALM, Basel II, and Banking Operations.

Language:

The program is offered in English.