Market & Credit Risk Management
Exposure measurement, stress testing and risk governance for intermediaries and banks.
Programme overview
Builds the quantitative and governance toolkit a risk function needs: measuring exposure, setting limits, stress testing under Egyptian macro scenarios and reporting credibly to the board.
Participants construct a risk dashboard and run a stress scenario on a sample balance sheet.
Key learning outcomes
- 01Measure market risk with VaR, sensitivities and stress losses
- 02Assess counterparty and credit exposure with mitigation
- 03Design a limit framework and escalation protocol
- 04Build macro stress scenarios relevant to Egypt
- 05Evaluate liquidity and concentration risk
- 06Report risk to executive and board committees
Curriculum
Risk taxonomy
Market, credit, liquidity, concentration and operational overlap.
Market risk measurement
VaR methods, backtesting and sensitivity analysis.
Credit risk
Counterparty exposure, collateral, ratings and provisioning.
Stress testing
Scenario design, reverse stress and capital implications.
Governance
Appetite statements, limits, committees and reporting.
Prerequisites, assessment & certification
Prerequisites
Quantitative comfort; Fixed Income or Derivatives recommended.
Assessment
Stress testing project and examination.
Certification
ECMF Academy advanced certificate.
Reserve a place on the next cohort
Member firms receive preferential rates and can nominate delegates directly through the secretariat. In-house delivery is available for cohorts of ten or more.