ORGANISE PROFESSIONAL RISK MANAGER (PRM )

Transcription

1 EN PARTENARIAT AVEC ORGANISE PROFESSIONAL RISK MANAGER (PRM ) DATE DE DEMARRAGE DE LA 1ère PROMOTION 20/9/2012 PROFITEZ DE L EXPERIENCE ET DE L EXPERTISE DES EXPERTS EUROPEENS ET ANGLO-SAXONS POUR PREPARER PRM 1

2 SOMMAIRE Professional Risk Manager (PRM ) Contenu des modules Examen II : Mathematical Foundations Vous aider à réussir un examen en anglais L équipe de préparation au PRM Cursus de préparation PRM preparation courses Informations pratiques 2

3 Professional Risk Manager (PRM ) La certification PRM s adresse aux professionnels qui se destinent à une carrière de Risk Manager mais aussi aux métiers de salle de marchés et de gestion d actifs. Elle s articule autour de 4 examens qu il faut passer en deux ans pour obtenir la certification. Notre programme comprend une réunion de préparation de 2 heures et 12 modules de 3h00 chacun, dispensés par une spécialiste de l accompagnement aux certifications. 13 modules de 3h00 en cours du soir (le jeudi) Groupe restreint et suivi individualisé Parcours adaptatif Contenu des modules Contenu des 4 examens du PRM - I: Finance Theory, Financial Instruments and Markets - II: Mathematical Foundations of Risk Measurement - II: Risk Management Practices - IV: Case Studies, PRMIA Standards of Best Practice, Conduct and Ethics, Bylaws Pour chacun de ces sujets l intervenant(e) articulera l enseignement entre le sujet et des questions type permettant de valider l acquisition des connaissances et de garder en permanence en perspective l objectif de réussite de l examen. Examen II : Mathematical Foundations L expérience prouve que le niveau des candidats en mathématiques est en général suffisant pour préparer l examen seul. Après la session de remise à niveau incluse dans le parcours, ceux qui le choisiront pourront néanmoins opter pour 3 sessions complémentaires pour 8000 Dhs HT. Des conseils pour adapter votre méthode d apprentissage et structurer votre préparation Le parcours comprend 36 heures de formation mais vous devrez ajouter à cette durée entre 100 et 150 heures de travail personnel. Cet effort sera encadré par des travaux à réaliser entre les sesions et contrôlés par un suivi individualisé. Prix : Dhs HT Ce prix comprend les cours, les supports mis à disposition, la hotline et des points d étape individuels. Il ne comprend pas le prix de l examen réglé à PRMIA : 195 USD pour chaque examen ou 500 USD pour les 4 et 295 USD pour les manuels. Une remise de 25% est offerte pour nos candidats. 3

4 Vous aider à réussir un examen en anglais Notre enseignement est adapté pour des étudiants francophones se préparant à un examen en anglais. Les questions sont en anglais et la formation englobe un apprentissage du vocabulaire indispensable pour améliorer la rapidité de compréhension. Les cours sont en français. L équipe de préparation au PRM Les intervenants Marocains, Europeens et Anglo-saxon intervenant dans le cadre du programme PRM sont certifiés CFA Level 1, 2,3, PRM et bilingues. Cursus de préparation Les cours sont en français et ont lieu les jeudis de 18h00 à 21h00 Semestre 2 Sujet Nombre de cours 13 septembre Réunion d organisation 20 septembre Finance Theory, Financial Instruments and 6 27 septembre 4 octobre 11 octobre 18 octobre 25 octobre Markets 2 octobre Mathematical Foundations of Risk 1 8 novembre 15 novembre 22 novembre 29 novembre 6 décembre 13 décembre Octobre / novembre Mardi 9 octobre Mardi 6 novembre Mardi 20 novembre Measurement Risk Management Practices 4 Case Studies, PRMIA Standards of Best Practices, Conduct and Ethics, Bylaws Complément optionnel Mathematical Foundations of Risk Measurement Total Pour vous inscrire : Bd 2 Mars Rue Cheikh El kerouani immeube SARA III App : 1 casablanca Tel : Fax : Cell :

5 PRM preparation courses Réunion de presentation 2 heures 13 septembre PRM presentation - Prep Methodology - First assignment : readings and questions for session 1 Exam I: Finance Theory, Financial instruments, Financial markets - 20 septembre - 27 septembre - 4 octobre - 11 octobre - 18 octobre - 25 octobre 6 sessions A: Finance theory (116 slides / 28 questions) 1: Risk and risk aversion - Risk-return trade-off - The concept of utility and utility maximization - The concept of risk aversion - Mean-variance criterion - The Sharpe ratio - The Treynor ratio - Jensen s alpha - Information ratio - The Sortino s ratio Illustration: 8 questions 2: Portfolio mathematics - Covariance and correlation - Cutoff points based on the standard normal distribution Illustration: 10 questions 3: Capital allocation - The efficient frontier and Markowitz portfolio model - The capital market line (CML) - The security market line (SML) - The separation theorem Illustration: 4 questions 5

6 4. The CAPM and multifactor models - Assumptions of the CAPM - The CAPM and the APT 5. Basics of capital structure - Debt / Equity, WACC, FCF and Value of the firm Illustration 2 questions 6. The term structure of interest rate - Spot rates and forward rates - Theories of the term structure of interest rates - The pure (unbiased) expectations theory - Implications for the shape of the yield curve - Biased expectations theories Illustration: 2 questions 7: Valuing forward contracts - Forward Rate Agreements - FRA payoff formula - Futures price Illustration: 2 questions 8: Basic principles of option pricing - European / American Put & Call mechanism - Put-call parity relationship - Call / Put premium price - Greeks Vega / Rho / Gamma / Delta - Illustration: 6 questions B: Financial markets (124 ppt / 33 questions) 1: The structure of financial markets - Repurchase Agreement 6

7 - Reverse Repurchase Agreement - Repos in terms of maturity - Returns on term & short dated repos - Major repo structures available in the market - Uses of repurchase agreements - Equity linked notes - Yield enhancement structure - Bull-Bear structure - Embedded Sold Optionality structure - Principal Protected Structure - Reverse Convertibles Illustration: 13 questions 2: Money market - Bank discount yield - Quoted rate and present value - Money market yield - Settlement amount 3: Bond markets - Coupon bond - Domestic bond / Eurobond - Primary bond - Foreign bond 4: Foreign Exchange market - The spot and forward rate - Quotes, basis and forward points 5: Stock market - Exchanges, dealers and brokers - Market order / Open order / Stop order / Limit order - Rights issue and scrip dividend 7

8 6: The Futures market - Futures pay off mechanism - Commodities Futures - T-Bond futures - Futures settlement - Hedging a portfolio using stock index futures contracts C: Financial instruments (105 ppt / 31 questions) 1: General characteristics of bonds - Inverse floaters - Duration of an inverse floater Illustration: 1 question 2: The analysis of bonds - Interest rates and bond prices - Coupon rate and required rate of return - Maturity and duration - Interest rate sensitivity - Reinvestment risk - Convertible Illustration: 9 questions 3: Futures and Forwards - Bond futures - Hedge strategies - Conversion factor (CF) and Cheapest-to-Deliver (CTD) Illustration: 4 questions 4: Swaps - Swap uses - The swap rate Illustration: 3 questions 8

9 5: Vanilla options - Out / In / At the money - Risks for a call buyer /seller - Bull spread - Premium value Illustration: 4 questions 6: Credit derivatives - Credit derivatives uses - Total return swap - Inverse floater - Credit swap mechanism - Structured credit products - Credit-linked notes Illustration: 3 questions 7: Caps, Floors and Swaptions - Swaption mechanisms - Swaption quotes - Interest rate call and put swaption Illustration: 6 questions Exam III Risk Management practices market risk, credit risk and operational risk - 8 novembre - 15 novembre - 22 novembre - 29 novembre 4 sessions A: Market risk (63 slides / 20 questions) 1: Market risk and introduction to VAR - Definition of Value-at-Risk (VaR) - Basic parameters - Holding period - Significance (confidence) level - Mathematical representation of VaR 9

10 - Expressions of VaR - Historical Var - Normal Linear VaR - Monte Carlo VaR - Monte Carlo VaR for path dependent assets - Monte Carlo simulations of returns with several risk factors - Steps for MC Var calculation - Display of VaR Practice example: comparison the three different approaches (Excel workshop) Illustration: 3 questions 2: VAR Models - Steps to building VaR models o Step 1: identification of the major risk factors o Step 2: map the portfolio to risk factors models o Step 3: model the evolution of the risk factors o Step 4: calculate the VaR B: Market risk (86 slides / 40 questions) 1: Risk factor mapping - Equity portfolios - Normal linear equity VaR - Risk factor covariance matrix - Forex mapping - Fixed income portfolios - Risk mapping - Duration / VaR invariance - PVPB - Covariance matrix Illustration: 6 questions 2. Backtesting - Basics of hypothesis testing - Backtesting - Statistical decision rules - The penalty zone - Basel rules for backtesting Illustration: 6 questions 10

11 3. Lessons from failures: Orange County - The events leading up to the losses - The investment strategy - The adverse move - The trigger events - Restructuring - Court settlements - Lessons from the failure Illustration: 5 Questions C: Credit risk (160 slides / 40 questions) 1. Introduction to Credit risk - Default risk and expected loss - Exposure, default and recovery - Expected and unexpected loss Illustration: 6 questions 2: Credit exposure - Pre-settlement vs settlement exposure - Exposure profiles - Mitigation of exposures 3: Default and credit mitigation - Default probabilities and term structures - Credit ratings and credit spreads - Credit scoring and internal rating models - Market implied default probabilities Illustration: 8 questions 5: Portfolio models of credit loss - Credit migration framework - Conditional transition probabilities - The contingent claim approach - The actuarial approach and KMV model 11

12 6: Credit risk capital calculation - Economic credit capital calculation - Regulatory credit capital calculation - Credit model estimation and VaR 7: Basel approach - Basel agreement principles - Pilar II on Credit risk - Internal Rating Based Approach principles and application - Credit model estimation - Basel III prospects 8. Lessons from failures: Washington Mutual - History of WaMu - WaMu sources of income - Events leading to the collapse - Timeline of events to the collapse - The aftermaths of the restructuring Illustration: 4 Questions D: Operational risk (53 slides / 20 questions) 1. Introduction to Operational risk - Operational risk principles - Operational risk measurement approaches - Operational Value at Risk - Basel aspects Illustration: 6 questions 2. Operational risk management - ORM principles - Operational risk management process and tools Illustration: 4 questions 3. Lessons from failures: Barings 12

13 - Events - Risks incurred - Lessons to be learnt Illustration: 7 questions 4. Lessons from failures: National Australia Bank : FX options - Events - Risk incurred - Potential mitigation Illustration: 8 Questions 5. Lessons from failures: Bankers Trust - Case history - Analysis - Lessons learnt Illustration: 5 Questions 6. Lessons from failures: Metallgesellschaft Fannie Mae and Freddy Mac, Bankgesellschaft Berlin - Metallgesellschaft - Fannie Mae and Freddy Mac - Bankgesellschaft Berlin Illustration: 5 Questions Exam IV Standards of best practice, conduct and ethics, and PRMIA governance - 6 décembre - 13 décembre 2 sessions A: Standards of best practices (40 slides / 10 questions) 1: PRMIA governance principles - Definitions: Governance, Risk, Risk event, Risk management, Board of directors - Governance and decision making - The Ten Principles of Corporate Governance - Application of the Principles - Duties of key parties 13

14 2. PRMIA Standards of Best Practice, Conduct and Ethics - Purpose of Professional Standards - Best practices in risk management 3. Group of Thirty Derivatives best practices - Why Do Derivatives Matter? - Derivatives and risks - The Group of 30 - Recommended Best Practices for Risk Management 4. PRMIA bylaws - Articles 1 & 2: Name, Corporate Offices and Official Language; Mission Statement and Purpose - Article 3: Membership - Article 4: Meetings of Members and Regional Directors - Article 5: Board of Directors - Article 6: Officers and Duties - Article 7: Committees - Articles 8, 9, 10 & 11: Regional Chapters; Finances; Indemnification; General Provisions - Article 12: Amendments Illustration: 10 questions Vous passerez les quatre examens constituant le PRM à l issue du cycle, lorsque vous le souhaitez. Il n y a pas de dates arrêtées, les sessions sont organisées en fonction de la demande. est un centre officiel d examen. 14

15 Contact : Mr DEBBARH PS INGENIERING MOROOCCO INFORMATIONS PRATIQUES Bd 2 Mars Rue Cheikh El Kerouani immeuble SARA III app : 1 Casablanca Tel: /06 Fax: Fax: Cell: Mail: debbar.performancesstrategy@gmail.com Mme CHRISTINE VERPEAUX Responsable pédagogique PRM Tel: Fax: Cell: Mail: christineverpeaux@gmail.com 15