Page 14 - MONECO Financial Training Catalogue
P. 14

BANK CAPITAL MANAGEMENT – ECONOMIC CAPITAL, FUNDS TRANSFER PRICING AND RAROC

        DATES: November 12 – 14, 2024 • PRICES: € 1,755 In-class, € 1,316 Online • LOCATION: Prague and Online
        Key points / questions answered:

        •  Understanding the Role          The  purpose  of  this  seminar  is  to  give  you  a  clear  understanding  of  what  is  banks
          of Banks Capital                 capital, why it is crucial and how to use it to create value. Banks are managed using two
                                           desynchronized steering wheels: The regulatory framework that ignores profitability, and
                                           the financial framework, quite disconnected from risk issues. The evolution of the banking
        •  Articulating Capital, Risk      environment, IFRS 9, FinTech, Covid, etc. requires banks to manage more dynamically
          and Return                       their capital. This seminar clarifies for you the issues and the practical ways to handle
                                           them. The seminar consists of six study sessions.
        •  Risk Identification,            The six sessions are articulated as follows: We start by clarifying the nature of capital
          Measurement and                  and why you need capital to take risks. Then we look at risks, how to identify and classify
                                           them, and how to measure them properly. We then articulate risk and return measures
          Aggregation                      to provide transactions pricing and efficient performance indicators. More specifically:
                                           Session  1  starts  with  the  exploration  of  the  different  capital  metrics:  Regulatory,
        •  Regulatory and Economic         accounting and economic. We look at the components of capital, their “raison d’être”
          Capital                          and capital planning.
                                           Session 2: Once the articulation between capital and risk is clearly defined, we address
        •  Internal Funds and Risk         the issues of risk appetite and tolerance, capital usage and allocation. We discover the
          Transfer Pricing                 RICAP, the process used to identify, hunt and classify risks.
                                           Session 3 is dedicated to Economic Capital, the economic measure of risks. It is a neutral
        •  Risk-Adjusted                   and transverse risk metrics, applicable to all measurable risks, and it ultimately provides
                                           the level of capital needed to cover each risk.
          Performance Measurement          Session 4 looks at how to link Economic Capital to profitability and capital measures, in
          and Monitoring                   order to provide powerful top to bottom performance measures and efficient management
                                           decisions support.
        •  Current Issues and              Session 5 addresses the intricacies of funds transfer pricing, or how to move capital, risks
          Concerns                         and funds inside the bank so that performance indicators remain relevant and efficient
                                           from the business level, down to the transaction level.
                                           Session  6  deals  with  how  to  combine  risk  and  return  measures  to  the  pricing  of
                                           transactions (RAROC); and to conclude the seminar, we address the current issues and
                                           concerns related to bank’s capital management.
                                             15
        TUESDAY, NOVEMBER 12                13 –16 30                          Economic Capital Assessment
           00
          09 –09 15                         Session Two                        •  Steps to measuring Economic Capital
         Welcome and Introduction            The Articulation between Capital and      –  Risk Capital as standalone risk
           15
         09 –12 15                         Risk                                  measure
         Session One                        •  Capital as a means to take risks and      –  Economic Capital as Marginal risks
          The Nature and Utility of Banks    generate profits                    measure
         Capital                            •  Risk appetite objective and indicators   •  Measuring Credit Risk Capital
         •  Why do banks need capital?      •  Risk tolerance logic              –  Basel 2/3 formula analysis
         •  The regulatory, accounting and    •  Risk, return and capital, the magic      –  Credit Var and concentration
          economic views of capital          triangle                          •  Measuring market risks
         •  Capital regulation from Basel 1 to    •  Assessing added value       –  Balance sheet and trading risks
          Basel 4 and beyond                  –  Economic Profit                 –  Interest rate, FX, equity, spread and
         •  Accounting capital, its components      –  RAROC and Economic Value Added  other market risks
          and the role of equity                                               •  Measuring operating and other risks
         •  Economic capital and value creation   Foundations of Risk Management   •  Aggregating risks
         •  Capital allocation and financial    •  A brief history of Risk Management     –  Managing inter risks correlations
          planning                          •  The RICAP process
                                              –  Risk hunting and identification   12 –13 15
                                                                                 15
          Capital Planning and Risk           –  Risk taxonomy                 Lunch break
         Management                         •  Game on all issues covered during    13 –16 30
                                                                                 15
         •  Fundamental components of capital   day 1                          Session Four
          planning                                                             Economic Capital in Practice
           –  Internal control and governance  WEDNESDAY, NOVEMBER 13          •  Expected results and interpretation
           –  Capital policy and risk capture   09 –09 15                        –  Business models and risk profiles
                                             00
           –  Forward-looking view          Recap and Warm up                  •  Articulating Economic and Regulatory
           –  Management framework for      09 –12 15                           Capital
                                             15
            preserving capital              Session Three                        –  Perimeters and severity level
         •  Benefits of capital management   Economic Capital Concepts           –  Risk coverage and methodologies
           –  Risk strategies, diversification,    •  Foundations of Economic Capital
            market share, pricing             –  The seven guidelines
                                            •  Implementation steps
           15
         12 –13 15                            –  Articulation with Basel Pillar 2
         Lunch break                          –  Articulation with Finance/IFRS 9
               14                         Hybrid course – both classroom and online training available.
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