Advanced Risk Management for Private Bankers

Course Content:

Day One

Introduction

Ø Convergence of Capital Measurement and Capital Standards
Ø Banking Securities and financial Subsidiaries
Ø Insurance Entities
Ø Commercial Entities - big industrial groups

Minimum Capital Requirements

Ø Regulatory Capital
Ø Risk-Weighted Assets
Ø Constituents of Capital- Tier 1, Tier 2 and Tier 3
Ø Detailed Analysis for the various products

Credit Risk

Ø Standardised Approach
Ø Treatment of off balance Sheet items
Ø Advanced Credit Mitigation Techniques
Ø Dealing with the principles behind the mathematics
Ø Guarantees and Derivatives

Portfolio credit risk

Ø Syndicated deals
Ø Managing the credit risk
Ø Stress Testing
Ø Valuing the portfolio
Ø Securitised deal

Day Two

Corporate, Sovereign and Bank Exposures

Ø Derivation of Probability of Default (PD)
Ø Loss Given Default (LGD)
Ø Exposure at Default (EAD)
Ø Correlation
Ø Maturity Adjustments
Ø Risk Weights for Specialised Lending
Ø High Volatility Commercial Real Estate
Ø Capital Requirement for Hedged and Unhedged Exposure

Ratings Approach

Ø IRB Model
Ø External Rating Model
Ø Product and Facility rating
Ø Efficiency vs Risk

Group Study: Example of defining the rating model for housing loans, credit cards, SME loans, property development loans. Use of Excel and Power Point necessary for presentation

Preparation of Credit policy

Ø Participants should bring their banks' credit policies for discussion
Ø Organisation Structure
Ø Delegation of Authority
Ø Checks and Balances
Ø Flow of Credit request
Ø Real strength of collective decision making
Ø Main constituents in arriving at a Credit Policy of a Bank
Ø Dynamic monitoring

Restructuring Assets

Ø Provisioning
Ø Estimate of Hair-cuts
Ø Determinants
Ø Value of distressed asset
Ø Managing debt equity swaps, credit derivatives etc
Ø Investigative auditing