Introduction

Worldwide the FRM® examination offered by GARP (Global Association of Risk Professionals) is a major milestone in each Risk Manager’s career.

For several years now, IFBL and PRiM jointly organize high-caliber training programmes designed to provide optimal preparation to those who aspire to register for one or both of the GARP examinations which take place twice a year – in May and in November. Candidates will first have to complete and pass the FRM® Exam Level 1 in order to register for Level 2.
IFBL and PRiM have updated their offer and propose the following courses:
• International Training FRM GARP - Part 1 under the leadership of Prof. Georges Hübner and Dr. Luc Neuberg. Besides the principal 5-day seminar one optional preparatory session and one optional mock exam session are on offer;
• International Training FRM GARP - Part 2 under the leadership of Prof. Philippe Jorion.

Structure and contents

The International Training FRM GARP - Part 2 - certification is a 5-day master course under the leadership of Prof. Philippe Jorion. It is specifically - but not only - designed for candidates preparing for the FRM® - Level 2 examination offered by GARP (Global Association of Risk Professionals)*.

Course outline

MARKET RISK

Introduction to market risk

• – Risk measurement methods, Value at Risk (VAR), stress tests, liquidity risk

Advanced risk models: Univariate

• – VAR methods (Delta-normal, historical simulation, Monte Carlo simulation), mapping, copulas

Advanced option models

• – Implied volatility, volatility swaps, convertible bonds

Mortgage-backed securities

• – Prepayment risk, option adjusted spreads, securitization, tranching, collateralized mortgage obligations

INVESTMENT RISK

Portfolio risk management

• – Risk and performance management, risk budgeting, VAR tools (marginal, incremental and component VAR)

Hedge Fund risk management

• – Hedge Fund strategies, issues with transparency, liquidity risk

CREDIT RISK

Introduction to credit risk

• – Drivers of credit risk

Measuring actuarial credit risk

• – Measuring default risk from default rates and recovery rates

Measuring credit risk from market prices

• – Using bond prices and stock prices, structural (Merton) models

Credit Exposure

• – Assessing current and potential credit exposure on bonds and derivatives

Credit Derivatives and Structured Products

• – Credit default swaps, collateralized debt obligations, tranching

Portfolio credit risk model

• – Pricing credit risk, measuring portfolio credit risk, measuring expected and unexpected credit risk, commercial models (e.g. CreditMetrics)

OPERATIONAL and INTEGRATED RISK

Operational risk

• – Approaches, assessment and management

Integrated risk management

• – Measuring economic capital, benefits of enterprise-wide risk management

The Basel risk charges

• – Basel I, II, and III charges against credit, market and operational risks Standardised approach, Internal Models Approach (IMA)

*Disclaimer
GARP does not endorse, promote, review or warrant the accuracy of the products or services offered by IFBL of FRM related information, nor does it endorse any pass rates claimed by the provider. Further, GARP is not responsible for any fees or costs paid by the user to IFBL nor is GARP responsible for any fees or costs of any person or entity providing any services to IFBL. FRM®, GARP® and Global Association of Risk Professionals™ are trademarks owned by the Global Association of Risk Professionals, Inc.

Audience and objectives

This 5-day master course is designed for a target audience of persons specializing in the field of finance and/or risk management: risk managers, treasurers and traders, risk analysts, portfolio managers as well as all those who are interested in this subject. Participants in the seminar are asked to provide a curriculum vitae covering their academic background and work experience. They should have had prior exposure to quantitative methods, derivatives and fixed income markets. At a minimum, they should have taken the equivalent of an investment class in a conventional MBA programme.

The purpose of this five-day seminar is to provide an overview of advanced techniques in financial risk management. It will cover market risk, investment risk, credit risk, operational risk, and integrated risk management, as well as complex issues facing risk managers in financial institutions.

Exams

There is no exam for the course International Training FRM GARP - Part 2.

Candidates wishing to take the FRM® Exam administered by GARP (Global Association of Risk Professionals) have to register directly with GARP (www.garp.com).

Language

This training programme is only available in English.

Dates and registration fees

 The next session of this training will be offerd in 2013.

 

Venue

The courses take place at the Training Center of LSC/IFBL, in the premisses of the Chamber of Commerce in Luxembourg.
Adress:
7, rue Alcide de Gasperi
L-1615 Luxembourg

Registration and contacts

Registration
To register for this training, please take the following steps:

1) download the registration form below and fill it in
Registrations on a private basis:
If your registration is accepted, IFBL will send you payment instructions to your address. Your registration will be final upon receipt of the registration fees by IFBL.
Registrations on a professional basis (via your employer):
If your registration is accepted, IFBL will send the invoice to your employer.

2) send the form back to IFBL
- by fax: (+352 46 50 19)
- by mail (B.P. 13, L-2010 Luxembourg)
- by e-mail (scan form and send it to customer@ifbl.lu)

Registration deadline:
Applications for the complete programme have to be submitted at the latest 2 weeks prior to the beginning of the course.

Conditions for cancellation
Regarding our cancellation policy, please read our General Conditions or refer to the FAQ.

Contact the Institute
For further questions related to this training programme, please contact our Customer Service by e-mail (customer@ifbl.lu) or by phone (46 50 16-1).