Market & Counterparty Risk Management
Centrale Marseille
Clément Depoutre – 14th October 2020
The views expressed here are those of the author and do not reflect those of BNP Paribas
Agenda
2
1. Risk Management in Banks
2. Markets Risks
■Sensitivities
■Value at Risk (VaR)
■Definition
■Methods
■Limitations of the VaR
■Backtesting
■Stress VaR
■Expected Shortfall
■Stress-Tests
■Case Study
3. Counterparty Risks
■Definition
■Key elements
■PFE, EPE and CVA
■Case Study
■Banks are exposed to risks inherent to their activities…
■Market Risks
■Counterparty Risks
■Credit Risks
■Operational Risks
■… And taking financial risks is their core business
Managing risks is vital
3
What is the role of Risk Management in
Banks ?
Chief Risk
Officer
Methodology
Research and
Development
Validation
Systems
Production
IT
development
Analysis
Market Risks
Analysts
Counterparty
Risks Analysts
4
Typical Market & Counterparty Risks
Organisation
5
Risk skills
Risk
skills
Finance
IT
Quant
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