Page 10 - MONECO Financial Training Catalogue
P. 10

FINANCIAL RISK MANAGEMENT – METHODS, TOOLS, PRINCIPLES AND REGULATION
        DATES: June 30 – July 2, 2020 • PRICE: € 1,620 • LOCATION: Prague, NH Hotel Prague

         Everything you need to know about Risk Management in Banks

         Key points / questions answered:   The purpose of this seminar is to introduce the principles and mechanisms of risk management
                                            in banks. During these three days, we address all the main issues relevant to this matter. These
         •  What are the objectives of risk   are illustrated by a number of business cases and exercises that facilitate the assimilation of the
           management in banks?             concepts and techniques presented.
                                            On day 1, we identify and uncover the nature of the risks banks are facing. We start with a
         •  How to identify and classify
                                            brief history of risk management, from the Chevalier de Méré and his taste for money games
           risks?                           to the build-up of the modern risk framework and quantitative measurement techniques. This
                                            path is littered with trial and errors that have led to crises and catastrophes, some of which are
         •  What can we learn from          reviewed and analysed. We then classify the risks and discover how to hunt for new, emerging
           passed crises and defaults?      ones. From there, we study the theoretical foundations of risk measurement and how they are
                                            translated into the regulatory and the economic frameworks. As both frameworks coexist in
         •  Can all risks be measured?      banks, we spend some times understanding their differences and how they articulate.
           What if they can’t?              Day 2 focuses on the techniques used for measuring risks. They rest on a limited number of
         •  What is expected from the risk   simple and powerful principle which translate into techniques adapted to each risk type: credit,
                                            market and operating risks. Diverse techniques are explained to assess multiple risk measures
           managers?                        that are complementary and need to be articulated. The issue of how to aggregate risks is
                                            addressed at this point. A number of exercises and games will facilitate assimilating these
         •  How to measure and
                                            principles and techniques.
           aggregate risks?
                                            Day 3 addresses the management of risks: You learn how to control and mitigate them, and
         •  Will the regulatory and         a number of key issues are addressed: Which risks are profi table and should then be taken,
                                            which are not? What are risk budgeting and risk appetite? How to price risk properly? What
           the economic approaches
                                            is expected from Risk Management professionals and how do they relate to other functions in
           converge?                        the bank? Finally we address the most pressing risk issues banks are currently facing: How to
                                            deal with the increasing regulatory pressure? How to fulfi l the new resolution constraints? What
         •  When is risk-taking profi table?  impact of IFRS 9? How will Fintech transform the way banks handle their risks?
         •  What are the current issues     We  fi nish the seminar with a series of exercises/games aimed at rehearsing all the major
           in risk management?              elements learned during these three days: Risk identifi cation, measurement and aggregation;
                                            risk control, mitigation and management; and fi nally risk-return issues and current concerns.
                                              15
         TUESDAY, JUNE 30                   12 –13 15                            •  Credit risk Frameworks
           00
         09 – 09 15                          Lunch                                 –  Basel IRB formula, RWA credit, Basel 2/3
                                              15
          Welcome and Introduction          13 –16 30                             solvency ratios
           15
         09 –12 15                            Quantitative Techniques for Risk      –  Pillar 2 ICAAP, TRIM, Basel 4
           Introduction to Financial Risk    Measurement                           –  Economic Capital and IFRS 9
         Management                          Theoretical Basis of Risk Assessment   •  Credit Risk Models
          A Brief History of Risk Management   •  Non-Statistical Approaches       –  Models for Corporates: Empirical and
          •  The Birth of Mathematical Tools     – What-if and scenario analysis  structural types
            –  Probabilities, Gaussian and    •  Statistical Approaches            –  Models for Retail: From scorecards to
            non-Gaussian statistics            – VaR, CVar, Expected Shortfall    Markov chains
          •  Always Larger Markets             –  Handling correlations, GARCH, OUCH,      –  Regulatory stance on credit risk models:
            –  Bartering, town markets, stock markets,   copulas                  Basel 3 fi nal
            fi nancial markets                  – The limits of the statistical approaches   •  Case Study: The Sovereign Debt Crisis
          •  Finance and Regulation, the Mouse and
           the Cat                           Regulatory Vs. Economic Approaches   Market Risks
            – Quants, bubbles and systemic risks   •  The Regulatory Approach    •   Market Factors And Models
            – Crisis and catastrophes          – Basel 1, 2 and 3                  –  The greeks: Alpha, beta, gamma
                                               –  The standardized, foundation and      –  VaR and Expected Shortfall, tail risks
          Risk Identifi cation and Classifi cation  advanced approaches            •  Market Risks Frameworks
          •  Applying the Risk Framework of Nuclear    •  The Economic Approach     –  Market risks under Basel III
           Events to Financial Risks           –  Economic capital concepts and      –  FRTB, Standardized Approach and IMA
            –  Risks that can be identifi ed and risks that   guidelines            –  Risk dynamics and portfolio management
            cannot                             – IFRS 9                          •  Case Study: Credit National
            –  Risks that can be quantifi ed and risks    •  Articulating the Two Approaches
                                                                                  15
            that cannot                      •  Case Study: Dexia               12 –13 15
          •  Risk Classifi cation                                                  Lunch
                                                                                  15
            –  Is the credit, market, operational risk   WEDNESDAY, JULY 1      13 –16 30
                                              00
            segmentation good enough?       09 – 09 15                           Risk Measurement (cont.)
            –  What business models generate what    Recap                       Balance Sheet Risks
                                              15
            risks?                          09 –12 00                            •   Measuring The Interest Rate Risk Of The
            –  Adapting the classifi cation of risks to the    Risk Measurement   Banking Book
            activities of the bank           Credit risk                           –  Building up the interest rate gaps
                                                                                   –  Sensitivity and duration, embedded
                                             •   Credit Risk Parameters           options, prepayments
                                               –  EAD, PD, LGD                   •  Measuring Spread And Funding Risks
                                               –  Concentration, diversifi cation and      –  The articulation between liquidity, spread
                                               correlations                       and funding risks
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