Market Risk Management (MRM) Intermediate Level

The objective of the Intermediate course will be to understand the impacts to the bank 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 the Bank
• Understand how market risk is measured, managed and how market risk regulatory capital is calculated and the potential impacts of Basel 3 MRM related reforms
• 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).
• Counterparty market risk exposure risk trading and banking book activities.
• FX and interest rate risk in the banking book / balance sheet (IRRBB) – understanding the Basel regulatory framework for IRRBB and how it is applied by the CBE to banks in Egypt.
• Overview of how interest rate gap and optionality risks are priced and cost allocated in a bank FTP (funds transfer pricing) framework
• Treasury activities – front-, middle-, and back-office.