Page 14 - MONECO Financial Training Catalogue

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.