Credit Risk Stress Testing & Capital Adequacy Requirements
A Two-Part Online Training Program
Date: 14th & 15th December 2020
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
1 participant: RM995
2 participants: RM1990
3 participants: RM2985
4 participants: RM3980
5 participants: RM4975
Early Payment Discount: Payments made on or before 7th December will receive a 5% discount
* Further attractive packages are available for groups of more than five. Please contact us directly
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
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
- 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
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
1 participant: RM995
2 participants: RM1990
3 participants: RM2985
4 participants: RM3980
5 participants: RM4975
Early Payment Discount: Payments made on or before 7th December will receive a 5% discount
* Further attractive packages are available for groups of more than five. Please contact us directly
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
Online Delivery
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
AGENDA
Day 1: Credit Risk 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?
- What’s the difference?
- How are they used?
- Why are scenarios more useful than sensitivities?
- Quiz
- 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
- Stressed Value-at-Risk
- Reverse stress testing
- Quiz
Day 2: Capital Adequacy for Credit Risk
- 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?
- 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
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
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
