DAY ONE - TYPES OF RISK AND THEIR IMPORTANCE : Price sensitivities - Internal performance measures - Importance of regulation; MARKET RISK : Factor Sensitivity Analysis - Some elementary statistics
DAY TWO - MARKET RISK: Monte Carlo simulation - Market Value-at-Risk - Economic and regulatory capital for market risk
DAY THREE - CREDIT RISK: Default risk from a historical / actuarial perspective - Default risk from market prices of securities - Credit risk exposure - Credit derivatives
DAY FOUR - CREDIT RISK: Credit risk management; RISK AGGREGATION: Purposes of risk assessment - Uncertainties, errors and omissions in current risk assessment methodologies - Application-orientated global risk assessment models - Risk management
DAY FIVE - OPERATIONAL RISK: Identifying operational risk - Measuring operational risk - Economic and regulatory capital for operational risk - Managing operational risk
