Risk Management for AFIA which administers the FIA with legal personality

Bucharest 20 March 2018 - 21 March 2018

Trainer: Paul Baranga, Iulian Lupu


The course Risk management for AFIA administered internally or which administers the FIA with legal personality is addressed to persons who work in these entities on leading positions as risk management, internal assessors or to persons who want a career development in the field of risk management. The aim of this course is to acquire and to use skills of assessment and management of the financial risks to which a financial institution is exposed.
The course shows how financial risk assessment requirements set by the EU Regulation 231/2013 can be met by using techniques and methods of financial risk assessment presented in the standardised approach by the provisions of EU Regulation 575/2013 on prudential requirements for credit institutions and investment firms. This is possible for the following reasons:
- Provisions of EU Regulation 231/2013 is the way in which prudential requirements in the banking sector have been extended to the shadow banking system (those entities in the non-banking financial system performing similar activities to the banking ones and that are inducing in the financial system risks similar to the ones induced by a credit institution);
- Categories of financial risks mentioned in the EU Regulation 231/2013 are similar to those presented in the EU Regulation 575/2013;
- Both credit institutions and investment firms are exposed, in the worst case scenario, to the risk of bankruptcy (because of the legal status);
- This approach has the advantage that it can easily compare the financial and prudential creditworthiness of a financial company with those of other financial entities using the methodology described in Regulation no. 575/2013 (credit institutions, investment services companies, central depositories, central counterparties, investment management companies);
- Law no. 74/2015 on alternative investment fund managers and the EU regulation no.231 / 2013 refers to a number of indicators set out in EU Regulation. 575/2013.
The course is divided in theoretical sessions and practical sessions. During the course, in the practical exercises, the lecturer will provide feedback.

Target group

The program Risk management for AFIA which administers the FIA with legal personality is addressed to:

  • managers of financial investment companies;
  • risk managers in financial investment companies;
  • internal evaluators of the financial investment companies;
  • employees of financial investment companies.

Course objectives

At the end, the participants will master the relevant aspects of assessment of financial instruments, types of financial risk, financial risk assessment methods and risk management issues at the level of financial institutions applying CRDIV.


1. Introduction to risk management;
2. Assessment of financial instruments according to the EU Regulation no. 575/2013;
3. Capital requirements;
  a. Own funds requirements/ initial capital for financial investment companies ;
  b. Marketable / non-marketable portfolio (Trading Book vs. Non - Trading Book);
4. Assessment of market risks;
  a. The own funds requirement for position risk;
  b. The own funds requirement for foreign exchange risk;
  c. The own funds requirement for commodities risk;
5. Assessment of counterparty risk;
6. Assessment of credit risk:
  a. the majority holding - in control of an issuer / an unlisted company;
  b. Financial instruments that are held long-term;
7. Credit risk mitigation;
  a. funded credit protection;
  b. unfunded credit protection (types of credit derivatives);
8. Securitization;
  a. Recognition of the transfer of a significant part of the credit risk;
    1. Traditional securitization;
    2. Synthetic securitization;
  b. Calculation of risk weighted exposures;
  c. Requirements for financial institutions;
9. The operational risk assessment:
  a. Quantitative approach
    i. The basic approach;
    ii. Standardised Approach;
    iii. Advanced Measurement Approaches;
    iv. Calculating additional own funds requirements for professional liability risks;
  b. The qualitative approach
    i. The FSA Norm No. 6/2015 on the management of operational risks generated by computer systems used by regulated entities authorized / approved and / or supervised by FSA;
    ii. Rules for assessing and monitoring risks of loss generated either by the use of processes, systems and human resources inadequate or who have not served properly or external events and actions;
10. Own funds;
   a. Common Equity Tier 1;
   b. Additional Tier 1 Capital;
   c. Tier 2 capital;
   d. Minority interest and Additional Tier 1 and Tier 2 instruments issued by subsidiaries;
11. Large exposures (concentration risk);
   a. The limit of large exposures to a single debtor / economic sector / region;
   b. Exposure Limits to activities, classes of instruments (derivatives / equity), bank deposits, current accounts, holdings AOPC/ fund units, other financial assets.
12. Liquidity indicators;
   a. Requirements for liquidity coverage requirement (LCR)
     i. Net liquidity requirement (covering current liabilities);
     ii. Gross liquidity requirements (covering current liabilities and dividends due and not collected);
   b. The net stable funding (NSFR) - share of assets that is financed by the permanent own capital;
   c. Minimum requirements for portfolio liquidity;
   d. Liquidity limits and stress tests:
     i. Reserves liquidity - assets with high liquidity and low credit risk;
     ii. Simulations - assessing stock market indices; the lifting of all unclaimed dividends in a very short time horizon;
13. Leverage;
   a. according to the EU Regulation no. 231/2013:
     i. calculating FIAexposure through gross method;
     ii. calculating FIA exposure through engagement method;
   b. in accordance with the EU Regulation no. 575/2013;
14. Simulations based on historical and stress data made on risk management model introduced by EU Regulation 575/2013;
15. Conclusions.


Iulian LUPU
Mr. Iulian LUPU has been working in the financial domain for 18 years now. He started at Stock Exchange, coordinating all technical aspects for the market launch of derivatives. Mr. Lupu has held various positions, management or execution in several institutions in the capital market, including: Sibiu Stock Exchange, Romanian Clearing House, the Romanian Commodities Exchange, BVB, Bucharest Clearing House. Currently, Mr. Iulian Lupu their professional activity within the ASF, the Risk Management Officer whithin the Directorate for Strategy and Stability of the Financial Sector and Investment Instruments. However, Mr. Iulian Lupu is specialized in financial training programme for people working in the financial market . He was involved in developing and providing more training programmmes for the capital market and financial education programmes.

Mr. Paul Baranga has been working in the capital market for 10 years. Paul worked as Head of Electronic Surveillance financial transactions of the CNVM, he coordinated the Center for Research and Training in the CNVM and supervision of financial sector entities and financial investment instruments. He collaborated with the Romanian Banking Institute and other training providers authorized by CNVM/ ASF making training for people working in the capital market.

Duration / Period



The investment for this program is 750 lei + VAT and includes course support, coffee break (2/day), organising the exam, graduation/participation certificate.


At the above fee, a discount of 5% is applied for the registration of more than 2 persons from the same orgsnization.

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