Předchozí Příští

Bank Capital Management - Capital Planning, Fund Transfer Pricing and RAROC

Termín:
26. - 28. 11. 2018
Cena:
44.550 Kč
Místo:
Praha, hotel NH Prague
Jazyk:
Angličtina
Lektor:
Jean-Bernard Caen
  • Understanding the Role of Banks Capital
  • Articulating Capital, Risk and Return
  • Risk Identification, Measurement and Aggregation
  • Regulatory and Economic Capital Assessment
  • Internal Funds and Risk Transfer Pricing
  • Forward-Looking View and Capital Allocation to Businesses
  • Risk-Adjusted Performance Measurement and Monitoring
How to link risk, return and capital to maximize the bank's value creation?

The purpose of this seminar is to give you a clear understanding of what is banks capital and how to use it to create value. Banks are currently coming out of a long tunnel where its management was done using two desynchronized steering wheels: The regulatory framework that ignores profitability, and the accounting framework that - until recently - ignored risk. IFRS 9, Economic Capital, Fintech competition and the need for a better servicing of the economy are promoting a review of how banks manage their capital. This seminar gives you the guidelines and the practical ways to do this review.

This three-days seminar is articulated as follows: On day 1, we clarify the nature of capital and its articulation with risk and return; On day 2, we learn how to measure economic risk so that the results are usable both for micro- and macro-management decision support; On day 3 we enter the internal mechanics for transferring funds and risks within the bank and still retaining the coherence required for proper performance and management indicators.

On day 1, we start by exploring the different capital metrics in use, notably regulatory, accounting and economic; we look at the multiple components of capital and their 'raison d'etre'. Once the articulation between capital and risk is clearly defined, we address the issues of risk appetite and tolerance, capital usage and allocation. We end the day with the RICAP, the process used to identify and classify risks.

Day 2 is entirely dedicated to Economic Capital. It is a key component of banks capital management. In its aggregate form, it measures the need for capital. It constitutes a risk metrics that is neutral and transverse, applicable to all measurable risks. We look at how to link Economic Capital with profitability and capital measures, to provide powerful top to bottom performance measures and efficient management decisions support.

Day 3 addresses the intricacies of moving capital, risks and funding within the bank in such a way that performance and risk indicators remain relevant and efficient for any subset of the bank, at any level of aggregation.

And we conclude the seminar with issues related with macro-prudential considerations: what issues are born from the discrepancies between the views of regulators and of shareholders regarding capital levels, and what are the challenges this creates for banks and for the economy as a whole.

09.15 - 12.00

The Nature and Utility of Banks Capital

  • Why do banks need capital?
  • The regulatory, accounting and economic views of capital
  • Capital regulation from Basel 1 to Basel 4 and beyond
  • Accounting capital, its components and the role of equity
  • Economic capital and value creation
  • Capital allocation and financial planning

The Articulation between Capital and Risk

  • Capital as a means to take risks and generate profits
  • Risk appetite objective and indicators
  • Risk tolerance logic
  • Risk, return and capital, the magic triangle
  • Assessing added value
    • Economic Profit
    • RAROC and Economic Value Added

12.00 - 13.00 Lunch

13.00 - 16.30

Capital Planning and Risk Management

  • Fundamental components of capital planning
    • Internal control and governance
    • Capital policy and risk capture
    • Forward-looking view
    • Management framework for preserving capital
  • Benefits of capital management
    • Risk strategies, diversification, market share, pricing

Foundations of Risk Management

  • A brief history of Risk Management
  • The RICAP process
    • Risk hunting and identification
    • Risk taxonomy
  • Game on all issues covered during day 1

Tuesday, November 27th

09.00 - 09.15 Brief Recap

09.15 - 12.00 Economic Capital Concepts

  • Foundations of Economic Capital: The 7 guidelines
  • Implementation steps
  • Measuring Risk Capital
    • Credit risks
    • Market and Equity risks
    • Operating and other risks
  • Managing correlations across risks
  • From Risk Capital to Economic Capital
    • Risk hunting and identification
    • Risk taxonomy

12.00 - 13.00 Lunch

13.00 - 16.30 Economic Capital in Practice

  • Expected results and interpretation
  • The 4 differences between Economic and Regulatory Capital
  • Organization of the Economic Capital team
  • Benchmarks and review of banks disclosures
  • Case study: Dexia

Wednesday, November 28th

09.00 - 09.45 Economic Capital Exercise Review and Discussion

09.45 - 12.00 Funds Transfer Pricing

  • Organization of the ALM, the nuclear reactor of the bank
  • Commercial and Financial margins
  • Steering of the Commercial margin
  • Steering of the Financial margin
  • Pricing internal funding using Reference refinancing

12.00 - 13.00 Lunch

13.00 - 16.30 RAROC, Macro-prudential Regulation

  • RAROC
    • Different types of Risk Adjusted measurement
    • Analysis of RAROC components
    • Live exercise
  • Discussion of macro-prudential regulation issues
    • Can bank still measure their risk properly?
    • What impact of the banking regulation on the economy?
    • Moral hazard and the future of regulation

Final game

Termination of the Seminar and Evaluation

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