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Risk Based Pricing of Banking Book Products
A Two-Part, Online Course

Date:  31st May & 1st June 2021

Why This Course?

The accurate pricing of credit risk is essential to the profitability and financial sustainability of banks. Credit losses are an ordinary part of doing business. However, products must be accurately priced so that banks are not only profitable, but recover sufficient revenue from financing transactions to compensate for the inherent risk that obligors may become delinquent or default. Additionally, pricing needs to reflect other factors such as credit risk mitigants and recoverability in the event of default.

This course offers a valuable opportunity for banking practitioners to gain knowledge and skills which can be directly applied to strengthen credit risk management practices through the accurate pricing of products at their inception. The course delivers clear instruction in credit risk pricing techniques applicable to both conventional and Islamic banks, and includes a high level of interactive discussion, thereby affording an opportunity for delegates to master the technical intricacies of pricing credit risk for everyday applications.

  • What Will I Take Away?
    • Understand how credit risk arises at product level in both retail and corporate banking books in conventional and Islamic banks.
    • Learn how to price credit risk using an array of techniques ranging from traditional single obligor credit assessment to more advanced portfolio credit risk models.
    • Learn how to incorporate credit risk mitigants and other relevant factors into product pricing.

Fee

1 participant: RM1,450/$375
2 participants: RM2,900/$750
3 participants: RM4,350/$1,125
4 participants: RM5,800/$1,500
5 participants: RM7,250/$1,875

Early Payment Discount: Payments made on or before 30th March 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.

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

Send me Details

For enquiries please contact:

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

Govina Selvanthran

Marketing Manager
[email protected]
Direct Line: +603 2162 7800 ext 22

Send me Details

Why This Course?

The accurate pricing of credit risk is essential to the profitability and financial sustainability of banks. Credit losses are an ordinary part of doing business. However, products must be accurately priced so that banks are not only profitable, but recover sufficient revenue from financing transactions to compensate for the inherent risk that obligors may become delinquent or default. Additionally, pricing needs to reflect other factors such as credit risk mitigants and recoverability in the event of default.

This course offers a valuable opportunity for banking practitioners to gain knowledge and skills which can be directly applied to strengthen credit risk management practices through the accurate pricing of products at their inception. The course delivers clear instruction in credit risk pricing techniques applicable to both conventional and Islamic banks, and includes a high level of interactive discussion, thereby affording an opportunity for delegates to master the technical intricacies of pricing credit risk for everyday applications.

  • What Will I Take Away?
    • Understand how credit risk arises at product level in both retail and corporate banking books in conventional and Islamic banks.
    • Learn how to price credit risk using an array of techniques ranging from traditional single obligor credit assessment to more advanced portfolio credit risk models.
    • Learn how to incorporate credit risk mitigants and other relevant factors into product pricing.

Who Will Benefit?

  • Chief Risk Officers
  • Chief Financial Officers
  • Financial risk managers
  • Senior credit officers
  • Treasury managers
  • Risk analysts
  • Financial analysts
  • Credit origination teams
  • Credit managers
  • Credit portfolio managers
  • Corporate bankers
  • Retail bankers
  • Relationship managers

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: RM1,450/$375
2 participants: RM2,900/$750
3 participants: RM4,350/$1,125
4 participants: RM5,800/$1,500
5 participants: RM7,250/$1,875

Early Payment Discount: Payments made on or before 30th March 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.

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

AGENDA AND FORMAT

Each session will be interactive in a seminar format, with participants encouraged to engage with questions throughout.

PLATFORM

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

Register Now

AGENDA

Day 1: Pricing Credit Risk

Why Price Credit Risk?
  • What is the purpose of pricing credit risk?
  • What happens if credit risk is not priced accurately?
  • What is the difference between risks and costs for pricing purposes?
  • How is the yield curve used to derive overall transaction pricing?
  • What is the role of provisions versus regulatory/economic capital in pricing credit risk?
  • How is pricing different for retail versus corporate banking book products?
  • Quiz
Expected Loss Approach to Pricing Credit Risk
  • What is expected loss and how is it calculated?
  • What are the essential components to pricing credit risk and how do they interact with each other?
    • Probability of default (PD)
    • Loss given default (LGD)
    • Exposure At Default (EAD)
  • What are the internal ratings-based approaches and do they help to price credit risk?
  • Quiz
Pricing Considerations for Islamic Banks
  • The consequences of asset-based financing as opposed to all-purpose lending
  • The status and uses of collateral and guarantees
  • Late payments and the impact of Shariah restrictions on the pricing of Islamic financial products
  • Quiz

Day 2: Calculating Expected Losses

Probability of Default (PD)
  • Subjective measurement of PDs using the traditional 5Cs approach
  • Objective measurement of PDs using option pricing techniques
    • A simple explanation of the highly popular Merton model
    • What is the Option-adjusted Spread (OAS) and how is it used in pricing?
  • Statistical measurement of PDs using the bank’s historical experience of delinquencies
    • Simple explanation of logistic regression models
    • What data do you need to run these types of models?
  • The relevance of IFRS9 to PDs
    • What does IFRS9 require for ECL (expected credit loss) calculations?
    • What is a 12-month versus a lifetime PD?
    • An explanation of the survival analysis method to calculate lifetime PDs
  • What are point-in-time versus through-the-cycle PDs, what are their differences, and why does it matter?
  • How are stressed PDs calculated for macroeconomic stress-testing scenarios?
  • Quiz
Exposure at Default (EAD)
  • Challenges in EAD measurement
    • Credit risk equivalents
    • Treatment of contingencies
    • Treatment of derivatives
  • Relevance of default definition
  • Quiz
Loss Given Default (LGD)
  • How does LGD relate to recovery rate?
  • How is LGD measured?
  • Some important considerations for realistic LGD values
    • Collateral
    • Guarantees
    • Recovery through the courts
  • Quiz

Register Now

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?

  • Chief Risk Officers
  • Chief Financial Officers
  • Financial risk managers
  • Senior credit officers
  • Treasury managers
  • Risk analysts
  • Financial analysts
  • Credit origination teams
  • Credit managers
  • Credit portfolio managers
  • Corporate bankers
  • Retail bankers
  • Relationship managers

For enquiries please contact:

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

Govina Selvanthran

Marketing Manager
[email protected]
Direct Line: +603 2162 7800 ext 22

About Us

REDmoney Events designs, organizes and hosts industry-leading conferences, forums, roadshows and seminars focusing on the Islamic financial markets across a global, regional and national level.

+603 2162 7800
[email protected]

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