Page 19 - MONECO Financial Training Catalogue

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 refi nancing – Moral hazard and the future of
Case study: Dexia regulation
15
• The rise and the fall: facts and 12 –13 15
fi gures Lunch break Final Game and Termination of the
15
• Analysis and lessons 13 –16 30 Seminar
Session Six
THURSDAY, NOVEMBER 6 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 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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