Market Risk Management

Bucharest 16 October 2019 - 17 October 2019

Trainer: Adrian Codirlașu

Details

Through this course the lecturer intends to provide an introduction to market risk and management methodologies for this risk, to regulations in this area, and methods of evaluation and control. Moreover, through the course, the key issues involved in this subject will be identified, analyzed and illustrated with practical examples.

Target group

The target group of this workshop is represented employees within the risk management department of financial institutions, insurance companies and investment firms and other interested persons.

Course objectives

At the end of the workshop, the participants will have acquired knowledge regarding the identification, evaluation and control of market risk.

Subjects

1. Market risk

- Origin

- Definition

- Examples

2. The main prudential regulations on market risk

- Basel II, Basel II.5, Basel III

- CRD IV and CRR

- European Market Infrastructure Regulation (EMIR)

3. Measurement and control of market risk

- The calculation of capital requirement for market risk

- Market risk models

- Value at Risk (VaR) models

- Risk management for complex portfolios (financial derivatives)

- Hedging of market risk

Trainer

ADRIAN CODIRLAŞU, CFA, PhD holds the CFA certification in 2006 and a PhD in Economics with specialization in international finance. Adrian has experience of 4 years as Head of Market Risk and Operational Risk at Unicredit Bank and five years as Senior Options Dealer at ING Bank and Associate Professor of the Doctoral School of Finance Banks - DOFIN, the master program Management of Banking systems within which he teaches subjects such as econometrics, derivatives and risk management. In the last 8 years Adrian has been a member of the Board of CFA Romania and during the period 2009-2011 was the president of the association. Adrian is the chairman of CFA Romania as of December 2015. Between 2011 and 2013 Adrian was president of the Association of Financial-Banking Analysts in Romania. Adrian has served as senior economist in the research department of the National Bank of Romania for more than 5 years.