A two-day workshop to give a better understanding of enterprise risk management procedures within banks and how these risks are addressed by both Basel II and internal economic capital models. An overview of lessons learned and best practice in the identification, monitoring and management of risk.
2010 Early Bird Offer - 2nd person 25% discount.
If you register 8+ weeks before the course date, the 2nd person gets a 25% discount.
*Terms and conditions apply.
Course Objectives
Understand how risks are categorised, quantified, monitored and managed within banks.
Participants will be equipped to:
- Identify, categorise and quantify credit, market, liquidity, operational, legal, regulatory and reputation risks.
- Understand the systems and procedures needed to track, monitor and manage these risks.
- Relate the risks to the capital of a bank.
Target Audience
Bankers, internal auditors, regulators and analysts but is also appropriate for a broader audience who wish to gain insight into the risk management process and how capital is allocated. The course is targeted at an intermediate level and assumes a basic understanding of banking products.
The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisite courses to attend our programmes, however some topic knowledge maybe required. Please refer to the target audience to see what level of prior knowledge is required for a specific course.
Content
ANALYTIC OVERVIEW
Overview
- Why risk management is critical to banks
- An overview of lessons learned from risk management failures and best practice in the identification, monitoring and management of the different risks faced by a bank
- Value drivers and business model of a bank
- Differing perspectives: shareholders, regulators, debt providers.
Risk Management
- Identifying and defining major risk groups: credit, market, liquidity, operational, legal, regulatory, and reputation
- Significance of risk groups for different banking businesses
- Inter-relationship between key risk groups
- Management objectives – risk versus return
- Lessons learned from recent risk management failures.
Capital Allocation
- Definition of capital: expected and unexpected losses
- Types of capital: shareholder, regulatory and economic capital
- Regulatory capital:
- Structure of the Basel capital adequacy model
- Regulatory capital: Basel II and Basel III changes
- Pillars I, II and III
- Economic capital and Economic Value Added (EVA)
- Key assumptions, benefits and shortcomings
- How management can use economic capital in the business
- Managing capital structures: comparisons between banks.
MARKET RISK
Identifying and quantifying the risk
- Defining market risk
- Types of market risk and relation to products
- Trading Book versus Banking Book
- Value at Risk (VaR):
- Key concepts: holding periods, confidence levels, disclosure
- The basic VaR calculation
- Limitations to VaR
- Complementary risk measures:
- Stress testing and simulation modelling
- Limit structures in the dealing room
- Market risk in the banking book
- How it arises and accounting impact
- Measurement using VaR and simulation techniques
- Fair Value Pricing Hierarchy
- Comparative analysis of market risk disclosures
- Capital treatment of market risk under Basel II.
CREDIT RISK
Identifying and quantifying the risk
Importance of credit risk and relation to other risks
Categories of credit risk:
- Risk types: lending, issuer, contingent, pre-settlement, settlement, transfer/ country risk
- Methodologies for quantifying the exposures (particularly pre-settlement risk).
Managing credit risk
- Limits and safeguards – policy, process and procedures
- Credit approval authorities and transaction approval process
- Aggregating exposure limits by customer, sector, correlations
- Credit mitigation techniques: collateral; termination clauses, re-set clauses, cash settlement, netting agreements
- Applications and risks of mitigation: wrong way trades
- Documentation: covenants, ISDA /CSA and other collateral
- Credit portfolio management techniques: syndication, sub-participation, whole loan sales, credit derivatives, securitisation
- Fundamentals of credit risk capital measurement: probability of default, exposure, loss given default and correlation
- Capital treatment of credit risk under Basel I and II and III.
OPERATIONAL RISK
Identifying, defining and quantifying the risk
- Examples of operational risk failures in financial institutions
- Best practice systems and management procedures
- Statistical challenge of high value, low frequency losses
- Capital requirements: standardised, models based approaches.
LEGAL, REGULATORY, REPUTATION RISK
Identifying, defining and quantifying the risk
- Legal risks and their management
- Corporate governance and managing reputational risks
- Impact of changing regulations on banks.
LIQUIDITY RISK
Identifying, defining and quantifying the risk
- Types of liquidity risk: funding and transactional
- How liquidity risks affects different financial institutions
- Gap management: interest, currency, and maturity mismatches
- Concepts of cash capital and stable funding ratio
Managing liquidity risk
- Asset and liability management techniques: gap limits
- Regulatory requirements: proposed Basel changes
- Measuring and managing stress scenarios: elements of a contingency plan.
Workshop Times
Below are typical timings for our courses; upon registration we shall advise you if these have changed.
Breakfast: 8.30am
Course Start: 9.00am
Course End: Between 5.00pm and 5.30pm
Lunch starts between 12.30pm and 1.00pm, and lasts no longer than 1 hour.
Short breaks of 10 - 15 minutes are taken mid morning and mid afternoon.
*Terms and Conditions:
This applies only to two people from the same company registering for the same course on the same dates at the same time. The on-line registration form must be submitted 8+ weeks before the course start date. This offer is only applicable to new registrations, it cannot be applied retrospectively to existing participants and no refunds will be given. It can not be used in conjunction with any other offer.