About This Event
“See the tail risk before it sees your reserves.”
The capstone risk course, integrating enterprise risk management with advanced quantitative modelling of tail risk for reserve portfolios facing extreme market conditions.
What You'll Explore
An integrated risk-reporting dashboard designed for executive use
Advanced VaR and Conditional VaR (Expected Shortfall) modelling technique
A model validation and governance approach that satisfies auditors
Enterprise-wide risk framing appropriate for governor-level accountability
A model validation checklist that satisfies both internal audit and external regulatory review
Who Should Attend
Open to all qualifying staff — particularly: Governors, Chief Risk Officers, Senior Portfolio Managers.
Why This Course Matters
Enterprise-Wide View
Frame risk at the level a governor has to answer for: the whole institution, not one desk.
Beyond the Normal Curve
Model tail risk and fat-tailed distributions where standard VaR quietly runs out of road.
Dashboard, Not Just Model
Close with an integrated risk-reporting dashboard designed for executive use.
Programme
Day 1
Enterprise risk management frameworks for central banks
Frame risk at the enterprise level the way a governor has to answer for it.
Day 2
Advanced VaR & Conditional VaR (Expected Shortfall) modelling
Learn what each captures that standard VaR misses.
Day 3
Tail risk, fat-tailed distributions & extreme value theory
Learn where the normal-distribution assumption behind standard VaR quietly runs out of road.
Day 4
Model validation & governance
Learn what an auditor or regulator actually checks before signing off on a risk model.
Day 5
Integrated risk reporting & executive dashboard design
Design an integrated risk-reporting dashboard for executive use.
Standards & Faculty Benchmark
Basel Committee FRTB methodology
Market, credit, operational and FRTB risk principles underpinning the risk-track courses.
GARP FRM curriculum
Global risk and portfolio-management body-of-knowledge benchmarks for practitioner rigour.
Basel Committee FRTB methodology and the GARP FRM curriculum are the standards your tail-risk modelling will be measured against.
Is This Right for You?
- ☑Your work touches enterprise-wide risk, not just one desk
- ☑Your institution needs advanced tail-risk modelling capability
- ☑You want the capstone risk course, having completed earlier risk-track courses
Good to Know
This capstone assumes participants have completed earlier risk-track courses or bring equivalent enterprise-wide risk experience.
The Bottom Line
See the tail risk on a dashboard you built, before it shows up as a headline you did not see coming.
Recommended For
Open to all qualifying staff — particularly: Governors, Chief Risk Officers, Senior Portfolio Managers.