Market Risk Management (MRM) Advanced Level

The objective of this Intermediate course will be to understand the impacts to the banking operations from recent changes directly and indirectly stemming from MRM practices and regulatory developments.

At the end of this course, all participants will be able to:

• Identify and explain sources of market risk in both the banking and trading books of your Bank
• Understand how market risk is measured, managed and how market risk regulatory capital is calculated and the potential impacts of Basel 3 MRM
• Analyse past problems in bank and client losses arising from market risk and overview of using financial instruments for client market risk exposure mitigation and transfer
• Improve their knowledge through some practical exercises and case studies to give course participants better insight into MRM trading & baking books, and on counterparty risk, liquidity and capital management

• Introduction & overview measurement and management methods, external regulatory capital and internal risk appetite limits for banking book (balance sheet and trading book (treasury products) activities with trading book focus for your bank’s end-user
• Basel 3 Fundamental Review of the Trading Book (FRTB) and Pillar 1 market risk capital Standardised Approach (MR-SA) and Internal Models Approach (MR-IMA) Pillar 1 capital calculation revisions.
• Basel 3 revised counterparty credit risk trading bool capital framework requirements – new Pillar 1 Standardised Approach (CCR-SA)
• FX and interest rate risk in the banking book / balance sheet (IRRBB) – understanding the new Basel 3 regulatory framework for IRRBB and how it is applied by the CBE to Egyptian banks — Basel 3 IRRBB Standards 20160
• Overview of how interest rate gap and optionality risks are priced and cost allocated in a bank FLTP (funds & liquidity transfer pricing) framework and its relationship to IRRBB management
• Treasury activities – front-, middle-, and back-office.
• Bank Pillar 2 ICAAP process and how it relates to IRRBB, balance sheet optimisation and capital management.