Best Practice in Risk Management in Banks
A Two-day Practical Workshop The Workshop Objective: Bank managers will understand how risks are identified, quantified in terms of their impact on earnings, monitored and managed within banks. Program participants will become better equipped to: • • • Identify and quantify the bank’s vulnerability to credit, market, liquidity, operational, regulatory and reputational risks. Understand and learn best practice procedures to monitor and manage these risks and their impact on revenues. Relate these risks to bank capital.
I. ANALYTIC OVERVIEW Overview • Why risk management is critical to banks • Value drivers and business model of a bank. • ...view middle of the document...
• Documentation: covenant packages, ISDA and CSA and other collateral agreements. • Portfolio techniques • Portfolio management objectives: balancing the risk appetite and diversification to maximise risk adjusted returns. • Diversification, granularity and correlation concepts. • Techniques to spread risk: syndication, sub-participation, whole loan sales, credit derivatives, securitisation.
III. MARKET RISK Identifying and quantifying the risk • Portfolio versus transaction approach. • Trading Book v Banking Book. • Value at Risk (VaR): holding periods, confidence levels and disclosure. • Volatility of trading profits. • Systems and procedures for aggregating exposures. Managing the risk • Risk appetite and capital requirements. • Capital treatment of market risk under Basel I and II. • Key sensitivities to and interest rate and/or FX positions. • Setting and monitoring transaction and portfolio limits.
IV. LIQUIDITY RISK Identifying, defining and quantifying the risk • Types of liquidity risk: funding and transactional. • Gap management: interest, currency, and maturity mismatches. • Concepts of cash capital. Managing the risk •...