Page 11 - MONECO Financial Training Catalogue

FINANCIAL RISK MANAGEMENT – METHODS, TOOLS, PRINCIPLES AND REGULATION

15
15
12 –13 15 THURSDAY, APRIL 10 12 –13 15
Lunch break 09 –09 15 Lunch break
00
15
15
13 –16 30 Recap and warm up 13 –16 30
Risk Measurement (cont.) 09 –12 15 Perspectives on Risk
15
Balance Sheet Risks Managing the risks of the bank Risk and Finance and the Management
• Measuring the Interest Rate Risk of Risk Management in Banks of the Bank
the Banking Book • Organization of the Risk Management • The management mechanisms of the
– Building up the interest rate gaps Function bank
– Sensitivity and duration, • Expected Internal and External – Top to bottom: Capital allocation and
embedded options, prepayments Disclosures global limits
• Measuring Spread and Funding – Regulatory disclosures – Bottom-up: Committees and
Risks – Accounting disclosures Reporting
– The articulation between liquidity, – Internal management reporting • The Convergence of Risk and Finance
spread and funding risks • Funds Transfer Pricing Operating Models
– Accounting considerations – Locating risk management in the – Different objectives, different cultures,
• Assessing Liquidity right expertise center different silos
– Liquidity gap and ratios, LCR and – Financial and commercial risks and – IFRS 9 breaks the silos
NSFR margins • Processes Supporting Risk-Return Type
• Case study: Credit National • IT and Data Concerns Decisions
– Categories of IT tools used to – RAROC or how to price risk
Other Risks and How to Aggregate All manage risks – Financial planning
Risks – Emerging technologies, machine
• Assessing Operating Risks learning, report teaching Current Issues
– Operational, business and residual • Regulatory Pressure and Banks
risks Controlling Risks, Hedging and Profi tability
• Aggregating Risks Mitigation • Sovereign and Systemic Risks
• Tools for Risk Control and Mitigation • IFRS 9, a Game Changer
– Limits, securitization and hedging • Fintechs and Blockchain
• Hedging: Value and Cash Flow Hedges
– Interest rate and credit derivatives Seminar wrap up and fi nal game
– Value and cash fl ow hedges
– Micro and micro hedges
• Case Study: LTCM

Lecturer: Jean-Bernard Caen

As a Policy Advisor within the consulting fi rm PRNS ‘parnass’ since 2014,
Jean-Bernard has been working on assignments for Financial Institutions in the
areas of risk-fi nance 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 fi rm 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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