Credit Risk Stress Testing & Capital Adequacy Requirements

Credit Risk Stress Testing & Capital Adequacy Requirements
A Two-Part Online Training Program

Date: 14^th & 15^th December 2020

Register Now

PROGRAM INTRODUCTION

WHY THIS COURSE?

Credit risk management is central to the sound financial management of credit institutions. Never before has credit risk been more difficult to measure and manage. During the Global Financial Crisis of 2007-9, and now, amidst an unprecedented global health pandemic, commercial banks able to detect, and furthermore remedy, weaknesses in their credit risk profiles to generate positive net income and safeguard bank capital, continue long into the future. Banks which are unable to detect and remedy critical weakness are far less likely to do so.

This course has been designed for banking practitioners wanting to learn about fundamentally important methodologies, as well as the latest techniques, to perform credit risk stress testing. The course covers how to effectively design credit risk stress scenarios and how to translate these scenarios, for example, macro-economic slowdowns and increased delinquencies into their resulting impact on net income and bank capital. The course also provides in-depth knowledge of capital adequacy requirements within the Basel III contexts of both a minimum regulatory capital charge (i.e. Pillar 1), and ICAAP (Internal Capital Adequacy Assessment Process, i.e. Pillar 2).

The course provides an opportunity for a high level of interactive discussion aided by clear illustrations, examples and quizzes, to learn the methodologies and techniques of credit risk stress testing and capital adequacy for immediate and direct application in practice.

WHAT WILL I TAKE AWAY?

Learn essential methodologies applied by banks for credit risk stress testing
Understand techniques used to relate stress scenarios to resulting impact on bank earnings and capital
Acquire knowledge of capital adequacy for both static (Pillar 1) and dynamic (Pillar 2 – ICAAP) analyses

Fee

1 participant: RM995
2 participants: RM1990
3 participants: RM2985
4 participants: RM3980
5 participants: RM4975

Early Payment Discount: Payments made on or before 7^th December will receive a 5% discount
* Further attractive packages are available for groups of more than five. Please contact us directly

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

Online Delivery

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

Who Will Benefit?

This course has been designed for practitioners, as well as academics interested in practical risk management. Practitioners most likely to directly benefit from the course include:
- Chief Executive Officers
- Chief Risk Officers
- Chief Financial Officers
- Credit risk managers
- Risk analysts
- Treasury analysts
- Credit risk officers
- Credit origination teams
- Credit portfolio managers
- Corporate bankers
- Retail bankers
- Internal and regulatory auditors
- Central bankers

Program Format

This two-part training program will be delivered online through a stable, secure and free-to-access platform. The program itself will be delivered through lectures, worked examples and case studies in order to ensure a detailed and practical understanding of the program content. Participants will have plenty of opportunity to ask questions and interact with the program director. Login details and program materials will be sent to participants upon receipt of payment

Fee

1 participant: RM995
2 participants: RM1990
3 participants: RM2985
4 participants: RM3980
5 participants: RM4975

Early Payment Discount: Payments made on or before 7^th December will receive a 5% discount
* Further attractive packages are available for groups of more than five. Please contact us directly

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

Online Delivery

PROGRAM INTRODUCTION

WHY THIS COURSE?

WHAT WILL I TAKE AWAY?

Learn essential methodologies applied by banks for credit risk stress testing
Understand techniques used to relate stress scenarios to resulting impact on bank earnings and capital
Acquire knowledge of capital adequacy for both static (Pillar 1) and dynamic (Pillar 2 – ICAAP) analyses

AGENDA

Day 1: Credit Risk Stress Testing

Overview of stress testing

What is stress testing in a credit risk context and why do we need it?
Where does credit risk stress testing fit within a bank’s overall risk management framework?

Sensitivities versus scenarios

What’s the difference?
How are they used?
Why are scenarios more useful than sensitivities?
Quiz

Bank-level and macroeconomic factors impacting credit risk, e.g. credit moratoriums

How to build informative stress scenarios

How to calibrate normal versus stressed scenarios

How to translate stress scenarios into resulting financial impact

Quantitative methods for stressed PDs and stressed Risk-Weights
The relevance and role of IFRS9 in stress testing
The role of collateral in measuring LGDs (loss given default)
Quiz

Other stress-testing approaches

Stressed Value-at-Risk
Reverse stress testing
Quiz

Day 2: Capital Adequacy for Credit Risk

Capital adequacy under Pillar 1

What are Pillar 1 risks?
How are credit risk charges calculated under the Standardised Approach (SA)?
- Banking book receivables
- Traded securities, e.g. bonds
- Counterparty credit risk, e.g. derivatives
- Other sources of credit risk, e.g. guarantees
- Quiz
How are credit risk charges calculated using the Internal Ratings Based (IRB) Approaches?
- F-IRB (Foundation IRB)
- A-IRB (Advanced IRB)
- Quiz
How do credit risk mitigants, e.g. collateral, change the calculation of capital adequacy?

Internal Capital Adequacy Assessment Process (ICAAP) under Pillar 2

What are Pillar 2 risks?
What is the purpose of the ICAAP?
Where does credit risk stress-testing fit in with ICAAP?
How is the bank’s Risk Appetite Statement (RAS) important to the ICAAP?
What is economic capital and how is it different to regulatory capital?
How is the ICAAP actually used for credit risk management?
How is capital adequacy proven on a forward-looking basis?
What can be done if the bank’s future capital adequacy is under threat due to credit risk?
Quiz

EXPERT COURSE DIRECTOR

Dr Ken Baldwin
Former Director, Financial Policies & Planning, Islamic Development Bank

Dr. Ken Baldwin has worked as a practitioner in banking and finance for over 25 years in senior positions spanning the front and middle offices. Having graduated from Oxford University with a first-class honors degree in Physics in 1989, he qualified as a Chartered Accountant with PWC, before joining UBS, and then later Credit Suisse, in derivatives risk and control functions based in London.

He gained a PhD in the microeconomic theory of risk sharing in Islamic contracts, and worked in the GCC for 15 years in Islamic retail and Islamic investment banks. Whilst at Abu Dhabi Islamic Bank, Dr. Ken built an ALM analytic technology platform capable of capturing liquidity and interest rate risks inherent in the many varied Islamic financing products used at retail and corporate levels. He then moved to take up the position of MENA Regional Head of Quantitative Analysis for Citigroup. At Citicorp, Dr. Ken worked on structuring complex products used by Gulf-regional corporations to hedge FX and interest risks. Still residing in Bahrain, Dr. Ken then joined Investcorp, where he worked on the risk due diligence of corporate private equity and real estate private equity transactions and portfolio management. After leaving Investcorp, he set up the risk management department for venture capital bank, providing Basel III compliance and deal analysis for the bank. He then operationalized a new Islamic investment bank as its Chief Operating Officer for 3 years, before his most recent industry role at the Islamic Development Bank, where he set up and ran a new department tasked with developing Financial Policies and Planning underpinned by robust financial analytic tools and methodologies designed specifically for the IDB. Dr. Ken is currently a senior university lecturer in finance in the UK. He has published quantitative finance articles in peer-reviewed academic journals including the Journal of Risk, and during his earlier career, taught CFA and FRM professional certifications as a pastime for the Bahrain Institute of Banking and Finance.

Ken is a British Muslim.

WHO WILL BENEFIT?

This course has been designed for practitioners, as well as academics interested in practical risk management. Practitioners most likely to directly benefit from the course include:
- Chief Executive Officers
- Chief Risk Officers
- Chief Financial Officers
- Credit risk managers
- Risk analysts
- Treasury analysts
- Credit risk officers
- Credit origination teams
- Credit portfolio managers
- Corporate bankers
- Retail bankers
- Internal and regulatory auditors
- Central bankers

PROGRAM FORMAT

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*Please note there is a fee for attending this program. Please contact us for more details.

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Before completing this registration form please read and understand our booking and cancellation policy. Thank you.

Booking, Payment and Cancellation Policy – important, please read carefully

By completing, signing and revised, sent separately us this registration form you are conﬁrming participants on the program. You are also conﬁrming your understanding of our Booking, Payment and Cancellation Policy.

Cancellation Policy: If participants cannot attend the program, replacement participants are always welcome. Otherwise, participants must notify us any of cancellations or requests to transfer to a diﬀerent program at least 14 days before the program date to be eligible for a refund, less a 5% administration on fee. Participants who cancel within 14 days of the program start date are liable to pay the full program fee and no refunds will be given. Instead fees will be converted to a REDmoney Seminars voucher equivalent to the original fee, less a 10% administration charge. This voucher is transferable within your organization and must be redeemed within one year of issue or become void. If a program is postponed for whatever reason registrations and fees will be automatically transferred to the new program date. Participants who wish to transfer to a diﬀerent program will be subject to the same terms as above and charged any diﬀerence in fees. No refunds or program vouchers will be issued for a no-show.
Payment Terms: All program fees are payable upon invoice. REDmoney shall receive the full program fee with no deductions of any description. All telegraphic transfer fees, taxes and levies (domestic or otherwise) shall be borne by the sponsoring organization.

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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