The "Market Risk & Treasury Control" workshop offers participants a thorough understanding of effective market risk management and treasury controls, covering regulatory requirements and internal perspectives. Through theoretical discussions, practical exercises, and case studies, attendees learn to identify, measure, and report market risk, draft Market Risk Policies and SOPs, and understand stakeholder roles. The workshop addresses various market risk components and regulatory guidelines, providing hands-on experience with assessment tools like VaR Models and liquidity risk ratios. Targeted at Treasury Operations, Market Risk Teams, and relevant stakeholders, it equips participants with practical insights and tools for navigating today's financial landscape.
Understand the framework that can be used to effectively identify, measure and report market risk, and how to properly draft these activities in Market Risk Policies and Standardized Operational Procedures (SOP), all of which will facilitate the communications and roles assignment between all relevant parties (Market Risk, Front, Back, and Middle office teams).
Differentiate between various components/sub risks of market risk, including risks surrounding Fixed Income Portfolio, FX Trading and Open Position, equity trading, interest rates, Mutual Funds.
Comprehend the major guidelines from main regulators, including Basel Committee on Banking Supervision (BCBS), Central Bank of Egypt (CBE), and international best practices.
Gain a Hands-on experience of main market risk and Treasury controls assessment & monitoring tools, including returns calculations, volatilities, Value at risk Models (VaR), marking to market (MTM), Basis Points Present Value (PV01), Funds Transfer Pricing (FTP), yield curve construction and periodical review, along with calculating Market Risk Regulatory capital requirements.
Understanding main rationale and components of Interest Rate Risk for Banking Book (IRRBB), and its main monitoring ratios; Economic Value of Equity (EVE) and Earnings at risk (EaR), and Repricing Gap
Comprehend the essence of Liquidity risk main pillars and ratios including Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR), Maturity Ladder (Gaps).
Treasury Operations (Back Office) = Market Risk Team=Other teams closely dealing with market risk (including Treasury front office, Treasury Operations Control (Middle Office), Internal Audit, and Finance team).
