ΠΕΡΙΓΡΑΦΗ

The programme provides an overview of the risk management function in investment funds (AIFs, UCITS) including the relevant legislation limits. In addition, it includes a variety of risk metrics that can potentially be used in the calculation of exposures, while a deep dive in the investment analysis legislation is also offered. Most importantly, it includes an overview of how stress testing should be conducted under the ESMA guidelines, with focus on the development of Liquidity Stress Test models and other techniques.

ΣΚΟΠΟΣ ΣΕΜΙΝΑΡΙΟΥ

By the end of this programme, participants will be able to:

• Understand the main risk management tools and how these are used in a stress testing framework
• Appraise (qualitatively and quantitatively) the relevant risk drivers for their investments.
• Identify how the stress testing procedure proposed by ESMA should take place
• Perform Liquidity Stress Tests
• Develop quantitative models for Stress Testing Purposes
• Apply the most popular risk management techniques to conduct stress testing

ΣΕ ΠΟΙΟΥΣ ΑΠΕΥΘΥΝΕΤΑΙ

The programme is ideal for

• Risk Managers
• CFOs
• Director of Dealing
• Head of Portfolio Management
• CEOs
• Internal auditors

ΠΕΡΙΣΣΟΤΕΡΕΣ ΠΛΗΡΟΦΟΡΙΕΣ

Training Outline

An Introduction to Risk Management

• Introduction about the course and what to expect
• Training Objectives and Course Structure

The Basic Risk Management Tools

• Main risk types
• Standard Deviation
• Beta
• Tracking Error
• Downside semi-standard deviation
• Value at Risk (VaR)
• Expected Shortfall
• Scenario Analysis

How to stress a portfolio: the tools 

• Correlations and Regressions
• Real-life applications

Risk Management in the UCITS Law 

• Background
• Identification and Measurement of risks
• The Risk Management Function
• Setting Risk Limits
• Legislative Risk Limits

Risk Management in the AIF Law 

• The AIF regulatory framework
• AIF risks by category
• Delegation and delegation prohibitions
• Liquidity risks

ESMA Guidelines in Liquidity Stress Testing 

• Guidelines applicable to managers
• The LST policy
• LST scenarios and outcomes
• Stress testing fund assets to determine the effect on fund liquidity
• Stress testing fund liabilities to determine the effect on fund liquidity

Training Style

The programme is designed to deliver knowledge and enhance participants’ skills via short lectures on the relevant legislations and guidelines, as well as case-studies, practical examples, and real-life simulations/scenarios. Most of the training will focus in enhancing the  participants’ knowledge on the topic of risk management and stress testing. Participants will also benefit from customised feedback throughout the course, and take away the knowledge gained to be transferred at their workplace.

CPD Recognition

This programme may be approved for up to 5 CPD units in Financial Regulation. Eligibility criteria and CPD Units are verified directly by your association, regulator or other bodies which you hold membership.