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About The Seminar

The course will provide attendees with detailed tuition on how to manage the entire asset and liability framework by focusing on areas of potential capital savings. A hands-on perspective is followed. The use of worked examples and case studies provides a comprehensive framework to be directly used on a day-by-day basis.

During the first day, margin at risk and liquidity are explored through the lenses of the traditional asset and liability management framework. Case studies help consolidating the broader understanding of the key issues risk managers need to face.

A deep dive into credit risk characterizes the second day. An introduction to portfolio credit risk modelling is followed by the exam of the relationships with Advanced Internal Rating Based (AIRB) modelling. A series of case studies allow attendees to grasp strategic balance sheet management hands-on details. Market and operational risks are also investigated by paving the way to the overall RWA projection.

During the third day, capital allocation is explored by focusing on credit risk policies and strategic planning. Balance sheet and profitability projections are at the very heart of a process aimed at identifying the risk adjusted capital efficient frontier. Case studies help consolidating the broader understanding of the key issues risk managers need to face on a day-by-day basis.

KEY HIGHLIGHTS

  • Estimate asset and liability sensitivity to interest rate shocks
  • Formulate gap analysis and margin at risk in Excel
  • Construct sensitivity analysis
  • Analyze liquidity risk from regulatory & managerial perspective
  • Evaluate Value at Risk and stressed VaR for market risk
  • Aggregate credit, market and operational risks
  • Estimate balance sheet projections under alternative scenarios
  • Construct efficient frontier and capital allocation under different scenario hypotheses

Seminar Agenda

Day 1

8:30am – 9:00am
Registration & Coffee
9:00am – 10:30am
Session 1: Introduction to Asset and Liability Management
  • Course overview
  • Introduction to asset and liability management
10:30am – 11:00am
Coffee
11:00am – 12:30pm
Session 2: Margin at Risk Analysis (a link to Pillar 2 capital requirements)
  • Interest rate gap assessment
  • Margin at risk under instantaneous interest rate shocks
  • Case study: gap analysis and margin at risk in Excel
1:00pm – 2:00pm
Lunch & Prayer Break
2:00pm – 3:30pm
Session 3: Interest Rate Sensitivity Analysis
  • Analysis of the term structure of interest rates
  • Asset and liability sensitivity to interest rate shocks
  • Case study: sensitivity analysis by means of R software
3:30pm – 3:45pm
Coffee
3:45pm – 5:00pm
Session 4: Liquidity Risk: Managerial Approach
  • Time-grid liquidity gap assessment
  • The role of uncommitted facilities
  • Case study: stress testing liquidity risk - managerial approach
5:00pm
Wrap up day 1

Day 2

8:30am – 9:00am
Registration & Coffee
9:00am – 10:30am
Session 5: Liquidity Risk Analysis from a Regulatory Perspective
  • Liquidity coverage ratio (LCR)
  • Net stable funding ratio (NSFR)
  • Liquidity scenario analysis
  • Case study: stress test on LCR and NSFR
10:30am – 11:00am
Coffee Break
11:00am – 12:30am
Session 6: Credit Risk RWA
  • Risk weighted asset analysis: standardized and advanced approaches
  • Impacts of Basel IV on credit risk RWA
  • Credit risk portfolio modelling
12:30pm – 1:30pm
Lunch & Prayer Break
1:30pm – 3:00pm
Session 7: Case Study on Portfolio Modelling
  • Credit portfolio modelling by means of R software
3:30pm – 3:30pm
Coffee
3:30pm – 5:00pm
Session 8: Market and Operational Risks
  • Value at Risk and stressed VaR for market risk
  • Operational risk: from base to advanced methods
  • Impacts of Basel IV on operational risk RWA
5:00pm
Wrap up day 2

Day 3

8:30am – 9:00am
Registration & Coffee
9:00am – 10:30am
Session 9: Overall RWA Aggregation
  • How to aggregate credit, market and operational risks
  • Impacts of Basel IV on RWA aggregation
  • RWA optimization leavers
  • Case study: RWA optimization
10:30am – 11:00am
Coffee Break
11:00am – 12:30am
Session 10: Balance Sheet and Capital Planning
  • Scenario definition
  • Balance sheet projections
  • Profit and loss projections
  • Case study: balance sheet projections under alternative scenarios
12:30pm – 1:30pm
Lunch
1:30pm – 3:00pm
Session 11: Credit Risk Policies and Capital Allocation
  • Name and sector concentration
  • Risk adjusted performances
  • Case study: credit risk and capital allocation
3:00pm – 3:30pm
Coffee Break
3:30pm – 5:00pm
Session 12: Efficient frontier
  • Efficient frontier and capital allocation under different scenario hypotheses
  • Risk integration: credit, market, interest rate, and liquidity analysis
  • Hints on Data envelopment analysis (DEA)
5:00pm
Course Conclusion

Where & When

Date: 15th – 17th July 2019
Venue: Kuala Lumpur

Who Should Attend?

This course is designed to be of most benefit to:

  • CFOs, heads of finance and finance officers
  • CROs, risk managers, and risk analysts
  • Compliance and audit professionals
  • Treasurers and treasury managers and ALM professionals
  • Portfolio and other fund managers
  • Credit administration managers and credit porfolio analysts
  • regulators

Fee

Early bird : RM5,399
Standard : RM5,999 per delegate
2 delegates (5% Discount) : RM5,699 per delegate
3 delegates (15% Discount) : RM5,099 per delegate
4 delegates (20% Discount) : RM4,799 per delegate
5 delegates (30% Discount) : RM4,199 per delegate

In-house/group training

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More

Manual Registration

Kindly complete the registration form and email to [email protected] or fax +603 2162 7810

Register Online

For enquiries please contact:

Mathias Sosovele
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 25

Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44

Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810

For sponsorship & speaking opportunities:

Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802

For marketing and media enquiries

Tiviaa James
Marketing Executive
[email protected]
Direct Line: +603 2162 7800 ext 62

Where & When

Date: 15th – 17th July 2019
Venue: Kuala Lumpur

Who Should Attend?

This course is designed to be of most benefit to:

  • CFOs, heads of finance and finance officers
  • CROs, risk managers, and risk analysts
  • Compliance and audit professionals
  • Treasurers and treasury managers and ALM professionals
  • Portfolio and other fund managers
  • Credit administration managers and credit porfolio analysts
  • regulators

Fee

Early bird : RM5,399
Standard : RM5,999 per delegate
2 delegates (5% Discount) : RM5,699 per delegate
3 delegates (15% Discount) : RM5,099 per delegate
4 delegates (20% Discount) : RM4,799 per delegate
5 delegates (30% Discount) : RM4,199 per delegate

In-house/group training

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802./p>

Manual Registration

Kindly complete the registration form and email to [email protected] or fax +603 2162 7810

Register Online

About The Seminar

The course will provide attendees with detailed tuition on how to manage the entire asset and liability framework by focusing on areas of potential capital savings. A hands-on perspective is followed. The use of worked examples and case studies provides a comprehensive framework to be directly used on a day-by-day basis.

During the first day, margin at risk and liquidity are explored through the lenses of the traditional asset and liability management framework. Case studies help consolidating the broader understanding of the key issues risk managers need to face.

A deep dive into credit risk characterizes the second day. An introduction to portfolio credit risk modelling is followed by the exam of the relationships with Advanced Internal Rating Based (AIRB) modelling. A series of case studies allow attendees to grasp strategic balance sheet management hands-on details. Market and operational risks are also investigated by paving the way to the overall RWA projection.

During the third day, capital allocation is explored by focusing on credit risk policies and strategic planning. Balance sheet and profitability projections are at the very heart of a process aimed at identifying the risk adjusted capital efficient frontier. Case studies help consolidating the broader understanding of the key issues risk managers need to face on a day-by-day basis.

KEY HIGHLIGHTS

  • Estimate asset and liability sensitivity to interest rate shocks
  • Formulate gap analysis and margin at risk in Excel
  • Construct sensitivity analysis
  • Analyze liquidity risk from regulatory & managerial perspective
  • Evaluate Value at Risk and stressed VaR for market risk
  • Aggregate credit, market and operational risks
  • Estimate balance sheet projections under alternative scenarios
  • Construct efficient frontier and capital allocation under different scenario hypotheses

Seminar Agenda

Day 1

8:30am – 9:00am
Registration & Coffee
9:00am – 10:30am
Session 1: Introduction to Asset and Liability Management
  • Course overview
  • Introduction to asset and liability management
10:30am – 11:00am
Coffee
11:00am – 12:30pm
Session 2: Margin at Risk Analysis (a link to Pillar 2 capital requirements)
  • Interest rate gap assessment
  • Margin at risk under instantaneous interest rate shocks
  • Case study: gap analysis and margin at risk in Excel
1:00pm – 2:00pm
Lunch & Prayer Break
2:00pm – 3:30pm
Session 3: Interest Rate Sensitivity Analysis
  • Analysis of the term structure of interest rates
  • Asset and liability sensitivity to interest rate shocks
  • Case study: sensitivity analysis by means of R software
3:30pm – 3:45pm
Coffee
3:45pm – 5:00pm
Session 4: Liquidity Risk: Managerial Approach
  • Time-grid liquidity gap assessment
  • The role of uncommitted facilities
  • Case study: stress testing liquidity risk - managerial approach
5:00pm
Wrap up day 1

Day 2

8:30am – 9:00am
Registration & Coffee
9:00am – 10:30am
Session 5: Liquidity Risk Analysis from a Regulatory Perspective
  • Liquidity coverage ratio (LCR)
  • Net stable funding ratio (NSFR)
  • Liquidity scenario analysis
  • Case study: stress test on LCR and NSFR
10:30am – 11:00am
Coffee Break
11:00am – 12:30am
Session 6: Credit Risk RWA
  • Risk weighted asset analysis: standardized and advanced approaches
  • Impacts of Basel IV on credit risk RWA
  • Credit risk portfolio modelling
12:30pm – 1:30pm
Lunch & Prayer Break
1:30pm – 3:00pm
Session 7: Case Study on Portfolio Modelling
  • Credit portfolio modelling by means of R software
3:30pm – 3:30pm
Coffee
3:30pm – 5:00pm
Session 8: Market and Operational Risks
  • Value at Risk and stressed VaR for market risk
  • Operational risk: from base to advanced methods
  • Impacts of Basel IV on operational risk RWA
5:00pm
Wrap up day 2

Day 3

8:30am – 9:00am
Registration & Coffee
9:00am – 10:30am
Session 9: Overall RWA Aggregation
  • How to aggregate credit, market and operational risks
  • Impacts of Basel IV on RWA aggregation
  • RWA optimization leavers
  • Case study: RWA optimization
10:30am – 11:00am
Coffee Break
11:00am – 12:30am
Session 10: Balance Sheet and Capital Planning
  • Scenario definition
  • Balance sheet projections
  • Profit and loss projections
  • Case study: balance sheet projections under alternative scenarios
12:30pm – 1:30pm
Lunch
1:30pm – 3:00pm
Session 11: Credit Risk Policies and Capital Allocation
  • Name and sector concentration
  • Risk adjusted performances
  • Case study: credit risk and capital allocation
3:00pm – 3:30pm
Coffee Break
3:30pm – 5:00pm
Session 12: Efficient frontier
  • Efficient frontier and capital allocation under different scenario hypotheses
  • Risk integration: credit, market, interest rate, and liquidity analysis
  • Hints on Data envelopment analysis (DEA)
5:00pm
Course Conclusion

Seminar Speaker


Dr Tiziano Bellini 
PhD, (Statistics)

  • Worked in risk management and finance across Europe, London and New York for the past 20 years.
  • Experience include Barclays Investment Bank, EY Financial Advisory Services in London, HSBC headquarter, Prometeia and other global leading companies.
  • Guest lecturer at the London School of Economics and Political Science, Imperial College of London.
  • Doctorate in statistics from University of Milan and London School of Economics and Political Science.
  • Authored the books “Stress Testing and Risk integration in Banks: a Statistical Framework and Practical Software guide in Matlab and R”, “IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS”.
  • Authored papers published in European Journal of Operational Research (EJOR), Computational Statistics and Data Analysis (CSDA) and other top reviewed Journals.
  • Referees of Journal of Banking and Finance (Elsevier), European Journal of Operational Research (EJOR), Journal of Applied Statistics (Taylor &Francis), Journal of Risk, and other top Journals.
  • Trainer in risk management and statistics, he is also a Qualified Chartered Accountant and Registered Auditor.

For enquiries please contact:

Mathias Sosovele
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 25

Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44

Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810

For sponsorship & speaking opportunities:

Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802

For marketing and media enquiries

Tiviaa James
Marketing Executive
[email protected]
Direct Line: +603 2162 7800 ext 62