Financial Risk Management in a Central Bank 2020 | Banque de France | 24 February 2020 | TBA, Paris

This seminar aims to introduce the main financial credit and market risks faced by central banks. Experts from Banque de France will present the risk framework (calculation of the Value at Risk and default risk models). They will also present the tools developed in-house to evaluate and manage credit risks, to value the collateral, as well as the accounting and institutional mechanisms dealing with those risks.

The seminar will cover the following topics:
• Market risk: definition of market risk, indicators, market risk assessment for investment portfolios, workshops in sub-groups
• Market VaR: calculation methodology and limits of its use, modelling market VaR of portfolios
• Credit risk: definition and credit risk indicators
• Credit VaR : Methodology of calculation and uses within Banque de France
• Credit risk assessment for foreign exchange reserves
• Internal credit assessment tool of issuers and counterparties
• Risk management, collateral and valuation: the case of monetary policy in the euro zone
• Assets admitted as collateral, notions of valuation and discounts
• The single collateral valuation platform within the Eurosystem
• Accounting and institutional mechanisms for mitigating financial and operational risks