F71TT - Risk Management: Techniques and Tools

Course leader(s):

• Andrew John George Cairns (Edinburgh, January)

Syllabus

1. Introduction to Risk Management

2. The Risk Management Control Cycle

3. Operational Risk Management (3.1 1. Introduction to Operational Risk, 3.2 2. Types of Operational Risk, 3.3 3. Management of Operational Risk)

4. Regulatory Systems Basel II/III and Solvency II (4.1 1. Introduction, 4.2 2. Basel II & III, 4.3 3. Solvency II)

5. ERM, Corporate Governance and Culture (5.1 1. Introduction, Stakeholders and ERM, 5.2 2. Top Down ERM Corporate Governance and ERM Structures, 5.3 3. Key ERM Personnel, 5.4 4. Risk Management Culture and Communication)

6. ERM Frameworks and Assessment (6.1 1. the COSO framework; The IAA ERM Practice Note, 6.2 2. S&P Review of an insurance company’s ERM framework)

7. Articulating Risk Tolerance and Risk Appetite (7.1 1. Introduction, 7.2 2. Key Concepts, 7.3 3. Details: Risk Appetite and Risk Tolerances, 7.4 4. Risk Limits)

8. Economic Capital, RORAC, Capital Allocation (8.1 1. Economic Capital, RORAC, 8.2 2. Aggregating and Disaggregating Economic Capital, 8.3 3. The Euler Capital Allocation Principle, 8.4 4. The Economic Capital Model and Final Comments)

9. Market Risk Measurement and Management I (9.1 1. Introduction, 9.2 2. Testing for independence, 9.3 3. Stochastic volatility and GARCH models)

10. Market Risk Measurement and Management II (10.1 1. More on Statistical Modelling and Applications, 10.2 2. Risk Management Using the Greeks, 10.3 3. Other Market Risk Management Topics)

11. Interest Rate Risk Management (11.1 1. Introduction and Redington Immunization, 11.2 2. Arbitrage-free stochastic models – short-rate models, 11.3 3. More general multi-factor models, 11.4 4. Stochastic liabilities and instruments for hedging interest-rate risk)

12. Case Studies (12.1 1. Risk management disasters, 12.2 2. Examples of good practice)

Learning outcomes

By the end of the course, students should be able to do the following:

• Implement the main requirements of the Basel II/III and Solvency II and other regulatory environments
• Apply the main international guidelines on good risk management practice and good governance
• Establish an organisation's risk appetite, risk objectives and risk tolerances
• Recommend strategies for active management of risks using a variety of methods
• Apply capital allocation methods within an organization
• Use quantitative and qualitative methods for analysing operational risk
• Propose solutions for the management and mitigation of operational risk
• Apply modern methods for managing market risks

Further details

Curriculum explorer: Click here

SCQF Level: 11

Credits: 15