London School of Bank Risk Management

5 days 26 Feb - 2 Mar 2018, London UK £4,995.00 + VAT* Download brochure Add to basket
5 days 10-14 Dec 2018, London UK £4,995.00 + VAT* Download brochure Add to basket

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Overview

"This programme has given me a total perspective on risk management. No doubt about it, the Instructor knows his stuff"
Senior Manager, Risk Management, Fidelity Bank


Attend this intensive 5-day course and learn:    

  • A broad look across risk management
  • The Basel Accord – what is it, and why do we have it?
  •  Did the Accord work in the current economic crisis?
          -          Basel II.5 and III and beyond
          -          What are the impacts of the proposed changes
  • Development of the ICAAP in preparation for your SRe
  • Creation of a risk frameworK
  • How risk management should be organized
  • The assessment of traded and non-traded market risk using both traditional and modern approaches
  • Credit portfolio management – why is this the new paradigm?
  • How operational risk is being assessed and managed
  • Stress testing – what went wrong, and how this has changed!!
  • How can Risk Management add value??

 

Financial institutions have been formally managing their risks from inception. But the perception of risk management is fundamentally changing within these institutions. No longer is it seen purely as a control mechanism – but as a critical input into the basic business question: am I earning enough revenue out of this transaction to compensate me for the additional risks I am taking on?
This concept permeates all the leading financial institutions. Every transaction needs to be assessed in terms of the increase in risk to the institution, with the assurance that the pricing of that transaction will generate a suitable return. Budgets should be allocated, and performances measured, on the basis of revenue earned per unit of risk generated.
Such a risk culture is reinforced by the new Basel Accord, already implemented in some countries and due to be implemented in many more in the next 2-3 years. This requires the banks to allocate regulatory capital against the major components of risk, using either regulatory or, more likely, internal models.
In the recent Western banking crisis and subsequent economic downturn, many financial institutions lost large amounts of money and had to be assisted by governments. Was this a failure of risk management, and if so, why? This course will discuss what happened, and how some institutions actually came out of the credit crisis with enhanced reputations. This course is designed to provide delegates firstly with an high-level overview of modern risk management, including a breakdown of the new Accord and a comparison with the old one. This is then followed by an in-depth examination of the techniques and management structures used to assess and to control risk, including a detailed discussion on the implementation of Value-at-Risk, which is becoming the de facto standard for measuring risk across all the major classes: market, credit and operational.

This unique course follows closely the proposed structure of the new Accord, and is designed to enhance your knowledge:

  • Why Risk Management has become so crucial to Financial Institutions
  • What decisions you need to make when implementing the new Accord, and what is the timeline
  • How should Risk Management be organised
  • Estimate the level of Economic Capital required to underpin any transaction, and therefore address the question: how much Economic Capital does an institution require?
  • Analyse the major forms of risk generated by financial institutions, particularly within an Value-at-Risk framework
  • What are the competing internal approaches to the measurement of Credit Risk
  • How to implement an Operational Risk methodology successfully
  • What methodologies for Operational Risk measurement are becoming industry-standard
  • Does modelling work: how to mitigate the really big events that may bring you down!

As a result of the banking crisis, the Accord has evolved into what was called Basel II.5 and is now called Basel III – changes continue to be introduced throughout 2015 and beyond. These significant changes to the Accord, and how they will impact on the business model of your bank, will be discussed in detail.


Methodology

  •  A wide range of real-life case-studies discussing the lessons we should learn from these failed institutions - could the same events happen at your institute?
  • Computer simulations of the latest techniques to model market, credit and operational risk, and discussions about commercially-available software

Credited by GARP - Global Association of Risk Professionals (GARP)

Instructors

We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

London
Maurice Ewing

The course instructor holds a PhD, is an experienced executive, Chief Risk Officer (CRO), board member and consultant. He is the founder and CEO of Conquer Risk, a consulting firm that conducts investment due diligence of corporates and banks, specialising in emerging and frontier markets. Until recently, the instructor held the group CRO role for one of Africa's largest banks for which he developed the entire enterprise risk management (ERM) and risk oversight functions, sitting on the board and managing over 400 people within 10 departments, spanning 5 countries. He is a sought after speaker on risk oversight, strategy and corporate governance but has also trained numerous management teams in predictive analytics, market intelligence acquisition and internal model development for Basel II & Basel III purposes. He previously taught Executive-MBAs on the full-time finance faculty of the Kellogg-HKUST business program and, before that, worked as a regulator for both the New York Federal Reserve and the Board of Governors. A former dissertation advisee of Ben Bernanke, the US Federal Reserve Chairman, the instructor holds a PhD and MA in economics from Princeton University and a BA in Economics and Mathematics from Northwestern University. He was recently selected out of over 50,000 candidates to the prestigious board of the Professional Risk Manager's International Association as a Subject Matter Expert on ERM. He is also a certified Financial Risk Manager (FRM) with the Global Association of Risk Professionals.

Venue

London

Central London Hotel Venue

All courses are held at four or five star venues in Central London, Zone 1. We strive to provide you with a training environment of the highest quality, to ensure that the whole learning experience exceeds your expectations.

Your training venue will be confirmed by one of our course administrators approximately 3-4 weeks before the course start date.

Related Courses

Inhouse


 

Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:





Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

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We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:


Read more about our offering or complete a call back request to speak to a learning specialist.

 

Agenda

Day 1

Overview


Risk Management and the various forms of risk exposure

  • Market risk
  • Credit Risk
  • Operational Risk
  • Other risks

The Basel III regulatory backdrop

  • Basel II versus the existing Basel Accord
  • Calculation comparison
  • Standardised and Internal Ratings Based (IRB) Approaches
  • Implications for local and non-G7 markets
  • The New Basel Rules

Internal Capital Adequacy Assessment Process (ICAAP)

ICAAP in Pillar I
ICAAP in Pillar II
Structure of undertaking ICAAP

  • Challenges and advantages
  • Undertaking the ICAAP properly
  • Negotiating ICAAP in relation to the Basel II compliance process

Process of ICAAP

  • Establishing capital in relation to the size of the business
  • Sources and management of capital
  • The role of risk models in establishing capital needs
  • Using risk models to ascertain the risk profile
  • Stress Tests and Risk Models
  • Implications for wider capital assessment and provisioning

Risks  not fully captured in Pillar I

  • Risks of rating migrations
  • Residual risks to risk mitigation
  • Controlling concentrated exposures

Risks external to the institution
Establishing a risk tolerance level
Stress tests and scenarios

Day 2

Market Risk Management and Measurement


Redefinitions of Capital under Basel II

The Standardised Approach for Market Risk

  • Fixed risk weights
  • Assessing vertical limits
  • Horizontal limits
  • Qualitative requirements

Internal Models Approach (IMA)

  • Examples of Tail Loss Models
     - Value-at-Risk
     - Expected Shortfall

Applications to various exposure types

  • Equities
  • Fixed income instruments
  • Swaps and Futures
  • Options
  • Spreadsheet examples

Using tail loss measures to establish capital
Applying Tail loss measures in Nigeria

  • Illiquidity issues and Liquidity VaR

Market Risk Exercise

Day 3

Credit Risk Management and Measurement

The Standardised Approach (SA)

  • Ratings agency ratings and what they mean
  • Suggested SA risk weights
  • Risk weighting of various portfolio exposure types
  • Recognition of unrated exposures

Value-at-Risk for Credit Risk: CreditVaR
CreditVaR for portfolios
Overall design of an IRB-compliant system

  • Distinguishing scores and ratings
  • Establishing a ratings scale
  • Understanding risk components (i.e., Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD)) with the scale
  • Establishing provisions and capital
  • How the overall system is meant to function

Day 4

Fundamentals of Credit and Default Risk assessment


Elements of traditional credit scoring

  • Default Drivers
     - Large Corporate default drivers
     - Small-to-Medium sized entity (SME) default drivers
     - Sovereign default drivers
     - Project Financing default drivers
  • Scorecard formation and usage
     - Statistical scorecards (logistic, probit, etc.)
     - Qualitative scorecards
  • From Customer Scores to Probabilities of Default
     - How PDs are established in theory
     - How PDs are determined in practice
  • Obtaining Loss Given Default estimates
     - Researching recovery rates in your institution’s experience
     - Designing an IT platform for obtaining recovery estimates
    - Some methods for obtaining LGDs
  • Obtaining Exposure at Default Estimates
     - Researching facility utilization rates
    - Relating utilization to EAD
     - Estimating EAD statistically
  • Employing Risk Components in Risk-Based pricing of loans and other exposures
  • Credit Risk Case Study

Day 5

Operational Risk Management and Measurement

Definition of Operational Risk Exposure under Basel II
Operational Risk Approaches

  • Basic Indicator Approach
  • The Standardised Approach (TSA)
  • The Advanced Measurement Approach (AMA)

TSA implementation as a precursor to AMA
Managing operational loss and event data

  • Defining Direct and Indirect Losses
  • Defining Near Misses
  • Data capture considerations

Key Risk Indicators KRIs

  • Utilizing Key Risk Indicators
     - Control self-assessment exercises (CSAs)

Utilizing KRIs in scorecards for management

Establishing a risk profile using KRIs and CSAs

Summary and conclusions


 

Why us


We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product