STRATEGIC BALANCE SHEET MANAGEMENT & OPTIMIZATION:Scenario-Driven Perspective
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
- Course overview
- Introduction to asset and liability management
- Interest rate gap assessment
- Margin at risk under instantaneous interest rate shocks
- Case study: gap analysis and margin at risk in Excel
- 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
- Time-grid liquidity gap assessment
- The role of uncommitted facilities
- Case study: stress testing liquidity risk - managerial approach
- Liquidity coverage ratio (LCR)
- Net stable funding ratio (NSFR)
- Liquidity scenario analysis
- Case study: stress test on LCR and NSFR
- Risk weighted asset analysis: standardized and advanced approaches
- Impacts of Basel IV on credit risk RWA
- Credit risk portfolio modelling
- Credit portfolio modelling by means of R software
- Value at Risk and stressed VaR for market risk
- Operational risk: from base to advanced methods
- Impacts of Basel IV on operational risk RWA
- How to aggregate credit, market and operational risks
- Impacts of Basel IV on RWA aggregation
- RWA optimization leavers
- Case study: RWA optimization
- Scenario definition
- Balance sheet projections
- Profit and loss projections
- Case study: balance sheet projections under alternative scenarios
- Name and sector concentration
- Risk adjusted performances
- Case study: credit risk and capital allocation
- Efficient frontier and capital allocation under different scenario hypotheses
- Risk integration: credit, market, interest rate, and liquidity analysis
- Hints on Data envelopment analysis (DEA)
Date: 15th – 17th July 2019
Venue: Kuala Lumpur
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
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
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
Kindly complete the registration form and email to [email protected] or fax +603 2162 7810
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
Anna Rozana Ramli
Marketing Director
[email protected]
Direct Line: +603 2162 7800 ext 22
Date: 15th – 17th July 2019
Venue: Kuala Lumpur
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
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
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>
Kindly complete the registration form and email to [email protected] or fax +603 2162 7810
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
- Course overview
- Introduction to asset and liability management
- Interest rate gap assessment
- Margin at risk under instantaneous interest rate shocks
- Case study: gap analysis and margin at risk in Excel
- 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
- Time-grid liquidity gap assessment
- The role of uncommitted facilities
- Case study: stress testing liquidity risk - managerial approach
- Liquidity coverage ratio (LCR)
- Net stable funding ratio (NSFR)
- Liquidity scenario analysis
- Case study: stress test on LCR and NSFR
- Risk weighted asset analysis: standardized and advanced approaches
- Impacts of Basel IV on credit risk RWA
- Credit risk portfolio modelling
- Credit portfolio modelling by means of R software
- Value at Risk and stressed VaR for market risk
- Operational risk: from base to advanced methods
- Impacts of Basel IV on operational risk RWA
- How to aggregate credit, market and operational risks
- Impacts of Basel IV on RWA aggregation
- RWA optimization leavers
- Case study: RWA optimization
- Scenario definition
- Balance sheet projections
- Profit and loss projections
- Case study: balance sheet projections under alternative scenarios
- Name and sector concentration
- Risk adjusted performances
- Case study: credit risk and capital allocation
- Efficient frontier and capital allocation under different scenario hypotheses
- Risk integration: credit, market, interest rate, and liquidity analysis
- Hints on Data envelopment analysis (DEA)
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
Anna Rozana Ramli
Marketing Director
[email protected]
Direct Line: +603 2162 7800 ext 22
