Advanced Bank Risk and Insurance Portfolio Management Training Course

Course overview

Banks and insurers face a connected portfolio-management problem: credit deterioration, market shocks, liquidity pressure, interest-rate movements, underwriting volatility and counterparty default can affect capital and earnings simultaneously. Senior risk practitioners need more than individual risk reports; they need an integrated view that tests whether portfolio limits, asset-liability positions, provisions, reinsurance arrangements and capital buffers remain adequate under plausible stress. This course addresses the practical challenge of turning risk data into defensible management action for risk committees, ALCO, investment committees and boards.

Participants work through advanced bank and insurance portfolio risk methods, including risk appetite design, concentration analysis, credit migration, expected credit loss modelling, value-at-risk and expected shortfall, liquidity stress testing, asset-liability management, economic capital and scenario analysis. The programme connects Basel capital and liquidity requirements with IFRS 9 impairment, Solvency II-style capital concepts, ORSA practice and reinsurance risk transfer. Participants learn to interpret risk-adjusted performance measures, challenge model outputs, set escalation triggers and translate portfolio findings into limit, capital and hedging decisions.

Instruction combines expert-led technical sessions with spreadsheet-based modelling, committee-paper analysis and integrated bank-insurer case work. Teams build a multi-risk portfolio dashboard, run adverse and reverse stress scenarios, assess capital and liquidity impacts, and prepare recommendations for a simulated executive risk committee. Each participant leaves with a completed Portfolio Risk Management Action Pack: a risk appetite and limit structure, stress-testing template, key risk indicator set, capital-impact summary and 90-day implementation plan suitable for adaptation within their organisation.

The course is designed for experienced banking and insurance professionals who already work with risk, finance, treasury, investments, actuarial, credit or regulatory reporting data and need to make cross-portfolio decisions with greater technical confidence.

Course objectives

By the end of this course, participants will be able to:

• Construct an integrated risk appetite statement linking capital, liquidity, earnings volatility and portfolio limits
• Evaluate credit portfolio concentration using migration matrices, default probabilities, loss-given-default assumptions and sector heat maps
• Calculate and interpret value-at-risk, expected shortfall and stressed loss measures for investment portfolios
• Perform IFRS 9 expected credit loss analysis using staging, forward-looking scenarios and probability-weighted cash-flow estimates
• Run liquidity and funding stress tests using contractual cash-flow ladders, survival horizons and contingency funding triggers
• Analyse asset-liability mismatches through duration gaps, cash-flow matching and interest-rate shock scenarios
• Assess insurance underwriting and reinsurance portfolio risk using exposure aggregates, loss scenarios and retention structures
• Produce an executive portfolio risk pack with capital impacts, limit breaches, management actions and escalation recommendations

Benefits of attending

Target competencies

Who should attend

• Chief Risk Officers and senior risk managers — who must integrate credit, market, liquidity, insurance and capital exposures for governance decisions
• Bank portfolio risk managers — who monitor concentration, migration, impairment and risk-adjusted portfolio performance
• Insurance risk managers — who oversee underwriting, investment, reinsurance and solvency exposures
• Treasury and ALM managers — who manage liquidity buffers, funding resilience and interest-rate risk
• Credit risk and IFRS 9 specialists — who need to connect expected credit loss outputs to portfolio limits and capital planning
• Actuarial, finance and regulatory reporting managers — who prepare capital, stress-testing and risk committee submissions

Requirements and prerequisites

Participants should have at least two years of experience in banking, insurance, treasury, risk, finance, investments, actuarial or regulatory reporting roles. They should understand financial statements, portfolio returns, basic probability, credit risk concepts, interest-rate risk and the purpose of capital and liquidity ratios. Familiarity with Excel, including formulas, pivot tables and charts, is assumed because exercises use workbook-based models. Prior exposure to Basel III, IFRS 9, Solvency II or ORSA is helpful but not essential. Programming, advanced derivatives pricing and formal actuarial qualifications are not required.

Training methodology

The programme uses instructor-led technical briefings followed by guided Excel modelling and structured committee-style discussion. Participants analyse bank credit and liquidity data, insurer underwriting and reinsurance exposures, investment portfolio shocks and capital scenarios. Case exercises require teams to reconcile conflicting indicators, identify material limit breaches and recommend actions such as de-risking, hedging, repricing, provisioning, funding measures or reinsurance changes. The final session is an executive simulation in which participants defend a portfolio risk pack and convert feedback into a practical 90-day application plan.

Course outline

Day 1: Integrated risk governance and portfolio risk appetite

• Enterprise risk taxonomy for banks and insurers
• Risk appetite statements, tolerances and operating limits
• Linking strategic plans to capital and liquidity capacity
• Risk-adjusted return measures including RAROC and RoRAC
• Portfolio concentration dimensions by sector, geography and counterparty
• Key risk indicators and early-warning escalation thresholds
• Risk committee reporting architecture and management information design

Workshop: Participants map a sample financial institution's exposures into a risk appetite cascade and produce a draft limit-and-escalation schedule.

Day 2: Credit, impairment and counterparty portfolio risk

• Probability of default, loss given default and exposure at default drivers
• Credit migration matrices and transition-rate interpretation
• IFRS 9 staging criteria and significant increase in credit risk
• Probability-weighted expected credit loss scenario design
• Sector concentration analysis and correlated default risk
• Counterparty credit exposure, collateral and wrong-way risk
• Credit portfolio stress testing and provisioning impact analysis

Workshop: Participants build a credit migration and expected credit loss stress model, then recommend revised sector limits and provisioning actions.

Day 3: Market, investment and asset-liability risk management

• Value-at-risk, expected shortfall and back-testing limitations
• Sensitivity analysis using duration, convexity and key-rate durations
• Interest-rate risk in the banking book and earnings-at-risk
• Cash-flow matching and duration-gap analysis
• Investment portfolio credit spreads, rating migration and liquidity risk
• Foreign-exchange exposure aggregation and hedge effectiveness
• Insurance investment risk and policy liability interaction

Workshop: Participants assess an interest-rate and spread shock across assets and liabilities and produce an ALM response recommendation.

Day 4: Liquidity, insurance risk transfer and capital resilience

• Contractual maturity ladders and behavioural cash-flow assumptions
• Liquidity coverage ratio and net stable funding ratio mechanics
• Liquidity survival horizons and contingency funding plans
• Underwriting exposure aggregation and catastrophe accumulation
• Reinsurance structures including quota share, surplus and excess-of-loss
• Economic capital, regulatory capital and available financial resources
• ORSA-style solvency assessment and management actions

Workshop: Participants run a combined liquidity and insurance loss scenario, then design funding and reinsurance actions to preserve capital resilience.

Day 5: Integrated stress testing and executive portfolio decisions

• Multi-risk scenario construction and dependency assumptions
• Reverse stress testing and business-model failure points
• Capital adequacy projection under adverse scenarios
• Risk appetite breach analysis and action prioritisation
• Model risk, data lineage and assumption challenge
• Executive dashboard design for ALCO and risk committees
• Portfolio remediation roadmaps and implementation governance

Workshop: Participants present an integrated portfolio risk pack to a simulated executive risk committee and finalise their 90-day implementation plan.

Tools & standards covered

Microsoft Excel, Basel III Framework, IFRS 9 Financial Instruments, Solvency II Directive

A typical training day

Live online deliveries follow the same structure in the East Africa Time zone, with shorter screen blocks and longer breaks.

What the fee includes

How you can take this course

Certification

Participants who complete the full five days receive the Skillset Development Certificate of Completion, stating the course title, course code, dates and delivery format — suitable for professional-development records and employer reimbursement.

Frequently asked questions