Front to Back Office: Trading Controls, Risk Measurement and Modelling (VIRTUAL CLASSROOM)

Prerequisite to Session 1 Self-Study Assignments:  2.5 Hours Self-Study

• Introduction to Trading Risk Control (2 hours)
  • Why is risk control important?
  • Key legal requirements for risk control
  • Groups involved in a trading organization (front, mid and back office) and their involvement in risk-taking and risk control
  • Major trading risk categories – market, operational, liquidity, credit, legal, reputational, systemic
  • How companies control specific risks
  • What risks can be measured and the tools used
  • An independent risk management function
• Pre-class case study reading (30 minutes)

Virtual Instructor-Led Session 1:  2 Hours Live

• Market risk
  • Different types of market risk
  • Measurement methods
  • Risk limits
• Operational risk
  • Sources of operational risk
  • Mitigation techniques
• Regulatory and legal requirements
• Additional risks to control: systemic, liquidity
• Discussion of key industry case studies (pre-reading for class)

Prerequisite to Session 2 Self-Study Assignments: 30 Minutes Self-Study

• Pre-class case study reading (30 minutes)

Virtual Instructor-Led Session 2:  2 Hours Live

• Developing trading and risk management controls
  • Risk management control structure and the chain of command
  • Risk tolerance
  • Understanding types of risk, and setting trading authority limits and procedures
  • Trading room controls
  • Effective risk management systems
  • Best practice guidelines
• Regulatory and legal compliance
  • Key regulatory organizations and their requirements
  • Sarbanes-Oxley
  • Dodd-Frank Act
  • Other key regulations and their implications
• Trader ethics
  • Definitions – market manipulation and misconduct
  • Shades of gray
  • Organizational perceptions
  • Ethics in energy trading
• Discussion of key industry case studies (pre-reading for class)

Prerequisite to Session 3 Self-Study Assignments:  2 Hours Self-Study

• Understanding the Value at Risk Concept (2 hours)
  • What is VAR?
  • The uses and benefits of VAR
  • Risk measurement and key VAR parameters
  • Choosing and using certain calculation techniques

Virtual Instructor-Led Session 3:  2 Hours Live

• Market price risk management and controls
• Foundations for risk measures
• Risk modeling methods
  • Types of stress testing
  • Stress testing versus “at risk” measures
• Price volatility issues
• Application and strengths/weaknesses of value‐at‐risk
• Other uses of value‐at‐risk
  • Risk adjusted performance measurement

Prerequisite to Session 4 Self-Study Assignments:  2 Hours Self-Study

• Introduction to Credit Risk Management
  • The difference between credit risk and market risk
  • Internal credit risk ratings and agency credit risk ratings
  • Credit risk limits and the significance of breaching those limits
  • Management’s role in the credit risk management process
  • Portfolio-level credit risk monitoring
  • Key methodologies used to measure credit risk
  • Methodologies and products used to manage and hedge credit risk

Virtual Instructor-Led Session 4:  2 Hours Live

• Credit risk management and controls
  • Calculating credit exposure
  • Portfolio credit risk measurement
  • Forward‐looking credit models
  • Determining credit thresholds and limiting exposure
  • Key measures of capital adequacy
  • Cash-flow-at-risk
  • Impact of margin on working capital
  • Capital adequacy framework
  • Key issues with credit and collateral annexes
  • Credit mitigation and use of credit derivatives