Recent Developments in Financial Risk Management

Day One

09.00 - 12.00  Financial Risks and their Interactions

• Overview of Financial Risks and their Interactions
  • Market risks, credit risks, operational risks, energy and power risk, …
  • Leveraged risk and margin risk
• Long-Term Trends
  • Deregulation of financial markets
  • Globalization of risks
  • Integration of risks
  • Securitization of risks
• Recent Financial Crises and Disasters
  • LTCM, Enron, Parmalat, Yukos, …
• Outlook for the Coming Year
  • Key structural risks and industry trends
  • Interest rate and exchange rate scenarios
  • Need for an integrated approach to risk management
  • Need for focus on “business risk” also

12.00 - 13.00  Lunch

13.00 - 16.30  Risk Management Tools (1): Measures of Financial Risk

• Traditional Measures of Risk
  • Beta, duration, convexity, …
• Measuring Asset-Liability Risk
  • Balance sheet mismatches
  • Off-balance risks
• Measuring Liquidity and Margin Risk
• Recent Developments in Credit Risk Measurement
• Recent Developments in Operational Risk Measurement
• Country Risk Analysis
• Advanced Risk Measures
  • Value-at-Risk
  • Cash-flow at risk
  • Shortfall-Risk
  • Extreme VaR

Day Two

09.00 - 12.00  Risk Management Tools (2): Management Tools

• Overview of Risk Techniques for Risk Mitigation
  • “Internal” techniques
  • “External" techniques
• Using Derivatives for Risk Management
  • Recent developments in futures, options and OTC markets
  • Using credit derivatives and credit linked notes
  • Weather derivatives
  • Energy and power derivatives
  • Using exotic derivatives and structured products in risk management
• Developments in “Risk Securitization”
  • Transferring risk with assed backed securities
  • Bank securitization (CDO’s and synthetic CDO’s)
• Other Risk Management Innovations

12.00 - 13.00  Lunch

13.00 - 16.30  Regulatory Developments

• Overview of Regulatory Developments
• Basel II
  • Background and status
  • 2004: Make or break for the new accord?
  • The risk measurement framework
  • The supervisory process
  • The role of market discipline
  • Important issues raised by the implementation of Basel II
  • How will Basel II impact the banking market?
• The EU Financial Services Action Plan
  • Overview and status of the FSAP
  • How will changes to the ISD and other directives affect risk management?
• Other Regulatory Developments

Day Three

09.00 - 12.00  Accounting Issues in Risk Management

• Introduction and Background
• Overview of Important Accounting Standards Related to Risk Management
• Accrual Accounting vs. Fair Value Accounting
• Overview of Principles in FAS133/IAS39
• Recent and Proposed Changes to the Standards
• Differences between FAS/IAS
• Criteria for Use of “Hedge Accounting”
• The Importance of “Disclosures”
• Examples: Valuation and Fair Value Accounting for Selected Risk Management Positions
• Some Critical Questions
  • How FAS 133/IAS 39 will affect the risk management business?
  • How FAS 133/IAS 39 will affect the use of derivatives?
  • Will reported financial performance be more volatile?

12.00 - 13.00  Lunch

13.00 - 16.00  Risk Management and Capital Allocation

• The Role of "Economic Capital" in Modern Bank Management
• Measuring and Allocation Economic Capital
• Using RAROC as a Management Tool

The Infrastructure of Risk Management

• Risk Management Policies
• Risk Management Organization
• IT System Requirements
• Internal and External Data Requirements

Test: FRM/PRM Style

Evaluation and Termination of the Seminar