Ciele

Learning Objectives

Participants will gain in – depth knowledge of approaches to risk management and the management of economic capital with particular emphasis on:

• The evolving role of risk management in modern banking
• Creating and implementing a risk adjusted performance framework (economic profit and capital)
• Risk management methods and techniques
• Basel II and related requirements
• Imperfections in modern risk management:their implications and how to overcome them
• Structuring a value – added ICAAP process including aspects such as stress testing, scenario analysis and risk appetite
• The chalenges of enterpise – wide  implementation

Účastníci

Who should attend?

This workshop will be of particular interest to those in the following areas:

• ŸRisk management
• Finance
• Audit
• Compliance
• Management involved in developing or reviewing approaches to risk management, risk adjusted performance measures, capital management and the ICAAP

This course is not suitable for risk modellers who do not have general banking experience.

Obsah

Course outline

Session 1: The Essence of Risk Management

• Understanding Risk management
• Confidence levels: General
• Confidence levels: Banking

Session 2: The Basel II Framework

• Basel II overview
• Why regulatory capital?

Session 3: Internal Capital Adequacy Assessment Process (ICAAP)

• Framework and typical content
• Sample capital position
• Sample regulatory and economic capital
• ICAAP „ hot buttons“ and regulatory feedback

Session 4: Risk Appetite

• Definition
• The importance of risk appetite setting and monitoring
• Critiquing a risk appetite statement for Board approval
• Loss sensitivity analysis
• The risk appetite setting process

Session 5: Market and Liqudity Risk

• Issues with basel calculations
• What confidence level and tenure should be used
• Control structure
• ICAAP contents

Session 6: Credit Risk

• Issues with IRB
• Model risk and calibration
• ICAAP contents
• Back to event details

Lektori

Peter J. Hughes FCA is a Chartered Accountant, a Senior Consultant at Risk Reward Limited and a Visiting Research Fellow at the York Management School – University of York.

Peter is a former banker and a risk management and audit expert specializing in cross-enterprise risks, operational risk, Basel II, capital management (including the Internal Capital Adequacy Assessment Process - ICAAP), risk measurement and management systems and risk based auditing. He was formerly a country / area executive with JPMorgan Chase.

As a consultant and trainer, he has worked with a number of leading banks, global IT companies, consulting firms, trade associations and banking institutes in the UK, South Africa, Qatar, Egypt, Abu Dhabi, Kuwait, Mauritius, Rumania, Italy, Russia, Pakistan, USA and the Philippines.

In his 27 year career with JPMorgan Chase he was Regional Audit Manager (South America), Regional Head of Finance Shared Services (EMEA), Chief Auditor (Brazil), Country Operations Executive (Brazil), Country Senior Financial Officer (Brazil), Chief Operating Officer (Germany), Acting Head of Treasury & Trading (Germany) and Global Head of Risk Management – Shared Technology & Operations.

Termín

This one – day, practical workshop is designed to examine the latest tools, techniques and best practices surrounding economic capital calculation and management and how to structure an Internal Capital Adequacy Assessment Process (ICAAP) that maximises the motivational incentives inherent in such processes.

The focus of the workshop will be on risk and capital management  concepts and the strategic and tactical challenges of the enterprise – wide implementation of an ICAAP. The content does not adress financial modeling and explaining the underlying mathematics.