Page 15 - MONECO Financial Training Catalogue
P. 15

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





         •  Organization of the Economic Capital    •  Organization of the ALM, the nuclear    •  Discussion of macro-prudential
          team                               reactor of the bank                regulation issues
           –  Required functions, committees    •  Commercial and Financial margins     –  Can bank still measure their risk
            and IT support                  •  Steering of the Commercial margin  properly?
         •  Benchmarks and review of banks    •  Steering of the Financial margin     –  What impact of the banking regulation
          disclosures                       •  Pricing internal funding using    on the economy?
                                             Reference refinancing               –  Moral hazard and the future of
         Case study: Dexia                                                       regulation
                                             15
         •  The rise and the fall: facts and    12 –13 15
          figures                           Lunch break                         Final Game and Termination of the
                                             15
         •  Analysis and lessons            13 –16 30                         Seminar
                                            Session Six
        THURSDAY, NOVEMBER 14               RAROC, Macro-prudential Regulation
         Session Five                       •  RAROC
           00
         09 –09 45                            –  Different types of Risk Adjusted
          Economic Capital Exercise Review    measurement
         and Discussion                       –  Analysis of RAROC components
           00
         10 –12 15                            –  Live exercise
         Funds Transfer Pricing









            Lecturer: Jean-Bernard Caen

            As  a  Policy  Advisor  within  the  consulting  firm  PRNS  ‘parnass’  since  2014,
            Jean-Bernard has been working on assignments for Financial Institutions in the
            areas of risk-finance interactions, ALM, capital allocation, risk appetite and the
            economic assessment of risks.
            Before that, as Head of Economic Capital and Strategy for Dexia group for 12
            years, he was in charge of Basel2 Pillar2 and Risk-Finance cooperation. He was
            instrumental in working out and implementing Economic Capital as the internal
            measure of risk. It was subsequently used in all risk vs. return processes across
            the group, such as Risk Appetite, Risk Budgeting, RAROC and Capital Planning.

            In  1990,  Jean-Bernard  founded  the  Management  Consulting  firm  Finance  &
            Technology Management (FTM), which he ran for 12 years as the CEO. As such, he
            directed numerous assignments for European Financial Institutions in the areas of
            Shareholder Value, Risk Management, Capital Allocation and ALM.
            He is a member of PRMIA France Executive Committee, of AFGAP Management Board, and he teaches
            at the French National School of Economics and Statistics; he is also a senior lecturer and he published
            numerous articles.
            He is a French Civil Engineer and he graduated from MIT.



















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