training financial monecomoneco.com/pdf/moneco-financial-training-catalogue-of-courses.… ·...

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2 0 1 2 4 5 9 6 5 4 2 7 3 0 1

Trai

ning

Cou

rses

202

0Knowledge Leads the Way …

MONECOFINANCIALTRAINING

2

CALENDAR OF THE MONECO FINANCIAL TRAINING SEMINARS

Seminar prices and bundle prices are quoted in EUR. The all-in prices are inclusive of the course documentation, lunches and refreshments, but exclusive of local VAT (21 %).

DATESPRICE FOR

ONLINE

BU

ND

LE

SEMINARPRICE

SEMINAR DURATION

Participants are encouraged to bring their own notebook with MS Excel to maximize the interaction, practical examples and benefi t from

the seminar.

• Responsible Investing: How to get it right? € 1,295 € 6482November 2 – 3, 2020

• Reform of Interest Rate Benchmarks: Transition to a World without IBORs € 1,295 € 6482October 14 – 15, 2020

• Corporate Credit Rating Systems: Design, Development, Calibration and Validation € 1,260 € 6302November 5 – 6, 2020

• Bank Capital Management – Capital Planning, Fund Transfer Pricing and RAROC € 1,755 € 8783November 3 – 5, 2020

• Bank Asset-Liability Management € 1,755 € 8783September 8 – 10, 2020

• Interest Rate Risk in the Banking Book € 1,295 € 6482September 21 – 22, 2020

• Counterparty Credit Risk € 1,295 € 6482November 26 – 27, 2020

• Stress Testing – Quantitative Techniques, Regulatory Framework and Practical Use in Risk Management

€ 1,295 € 6482

€€ 2

,13

02

,13

0

October 14 – 15, 2020

• Central Counterparty Clearing € 1,295 € 6482October 12 – 13, 2020

• Interest Rate Products – Mechanics, Pricing and Applications

• Interest Rate Risk Hedging Workshop

€ 1,295 € 648

€ 1,295 € 648

2

2

November 23 – 24, 2020

November 25 – 26, 2020 €€ 2,

130

2,13

0

3

Online SeminarsAll of our seminars are now also available online!

Save time and money on your education and get any of our training seminars on offer in the online form.

BENEFITS OF OUR ONLINE TRAINING

● An effective way of learning without the need to travel. You can participate our seminars in the safety and comfort of your home or offi ce.

● With online training you save time and money on accommodation and travel.

● Live interaction with a trainer during the seminar, with the ability to respond immediately to your questions.

● All study materials for online seminars are provided electronically.

KEY FEATURES

● Wherever you are located around the globe, you can learn from our expert trainers, 100% online.

● You just need a computer and an Internet connection.

● A standard video conferencing platform for online meetings and education is used.

● The online training takes place live with one lecturer and other seminar participants.

● Upon completion you will receive the same printed diploma as at the onsite seminar.

4

MONECO FINANCIAL TRAINING

Training Programme for Financial Professionals

Training Format

The training format is an effi cient mix of theory, practical examples, case studies,

group discussions and networking opportunities. Seminars are structured at various

levels spanning from introductory events for the fi nancial juniors to advanced

courses for persons with higher seniority, seeking to attain the expert and focused

knowledge. A reasonable care is taken so that our participants get instant working

skills for their time and money. The unique blend of top quality training delivered in

a truly inspiring way is offered at internationally competitive prices.

International Coverage and Networking

The MONECO Financial Training provides focused trainings for fi nancial experts

internationally. The participants come from a continually increasing number

of countries. This provides the clients with added value of unique networking

opportunities among colleagues from fi nancial institutions and groups operating

worldwide.

Training Programme

The MONECO Financial Training is an educational programme, consisting of seminars and training workshops

aimed at the real needs of fi nancial professionals. MONECO is a specialised fi nancial training provider, enjoying

a Europe-wide excellent position. Since 1995 we have run more than 507 successful training events and we

have been able to train more than 6,025 participants so far. Our ultimate goal is to effi ciently train the expert

fi nancial know-how, which is necessary for the increasingly challenging fi nancial industry. The programme

covers a wide range of topics: Financial Risk Management, Corporate Banking, Investment Management,

Corporate Finance, Treasury Products, Asset-liability Management, Financial Derivatives, Structured Products,

Compliance, Internal Audit and more. Our training courses have been offered with an extraordinary success for

over 25 years, originally under the name of Czech Financial Academy.

Tuition and Certifi cation

The seminar tuition is in English, as are all manuals, training software etc. In order to benefi t

from participation, at least a passive knowledge of English is required, including common

fi nancial phrases and terminology. At the conclusion of the seminars the graduates are

awarded a diploma in English certifying the high level of acquired knowledge in the covered

area of study.

5

Exclusive Training Venue

Our seminars are held in the international NH Prague City hotel, a

modern four-star hotel in Prague, Czech Republic. The hotel is located

in the city centre, in the trendy area of Andel, next to the historic heart

of Prague, a couple of minutes from an underground station and 20

minutes from the Prague airport. A new business centre, a shopping

mall and attractive leisure & relaxation facilities are also available nearby.

The hotel offers accommodation in comfortable and spacious Standard

and Superior Rooms, including suites. The Superior Rooms are in the

NH Collection executive building at the top of Smichov Hill, connected

to the Hotel at the foot of the hill by unique cable car shuttle. All rooms

have high-speed internet, air-conditioning, TV, direct-dial phone and

minibar. NH hotel has an underground garage and a business centre.

The City of PragueOur well-established seminar destination is located in the very heart

of Central Europe. Prague offers a wide variety of places of interest,

historic sites, museums, galleries, theatres, thus giving a unique chance

to enjoy the rich cultural life of this vibrant European city.

ATTRACTIVE TRAINING DESTINATION IN THE VERY HEART OF EUROPE

6

Expert Senior Trainers

The trainers at the MONECO Financial Training

courses are senior experts with an advanced level

of theoretical knowledge as well as long-term

professional experience in the fi eld. Our track record

confi rms that our trainers utilize top didactical skills

and focus on real life case studies. We work solely

with internationally well-known trainers who are often

members of recognized professional associations

and are frequently invited to speak at important

industry events.

Among some of our most requested trainers belong

the following experts:

Jean-Bernard CAEN: lecturer in the areas of risk-fi nance interactions, ALM, capital allocation, IFRS, risk appetite and the

economic assessment of risks; member of PRMIA France Executive Committee; policy advisor within the consulting fi rm PRNS

Clive CORCORAN: fi nance and investment management specialist; former CEO of an investment management company

based in the USA; now senior consultant providing investment advisory to private and institutional clients; author of a number

of books on international fi nance, asset allocation and risk management

Alastair DAY: high-quality analyst and modelling specialist in corporate fi nance, project fi nance and leasing; author of a number

of books and textbooks; Director of Systematic Finance Limited

Gary DUNN: consultant and trainer with more than 30 years of experience from both commercial and central banks; expert on

internal models, market risk measures, quantitative methods and capital requirements with expertise on Basel III, FRTB,

IRRBB, etc.

Ariane CHAPELLE: leading expert in the fi eld of operational risks and highly regarded guest speakers; Dr. Chapelle is Honorary

Reader at the University College London in Operational Risk, Fellow of the Institute of Operational Risk and member of the

editorial board of the Journal of Operational Risk

Krassimir KOSTADINOV: senior consultant in software project management, applied statistical and mathematical methods and

implementation of banking risk management and regulatory reporting systems

Ron SLOMOVITS: professional in the fi eld of credit ratings and related matters, specialising on states and government ratings

as well as bank ratings; the basis for that knowledge he gained at the international rating agency Standard & Poor’s, at the

department for Sovereigns/International Public Finance; owner of the consulting fi rm Rating Advisory

Andreas STEINER: respected trainer with many years of working experience in investment management with a focus on asset

allocation, portfolio management, behavioural fi nance and performance measurement

Mark TAYLOR: expert on FX and interest rate products with trading experience from Deutsche Bank and RBS in London,

HK and New York; Mark uses his skills from fi nancial markets to run engaging training courses with extensive practical sessions

INTERNATIONAL TRAINERS

Senior Trainers with Advanced Level of Theoretical Knowledge as well as Practical Backgrounds

Customised Training Courses

We offer customised training courses that provide the fi nancial know-how and solutions for

the specifi c needs of your staff and executives.

For more information, please contact us at [email protected]

7

VALUE-ADDED MAPPING

● Expert senior trainers with advanced academic degrees as well as practical backgrounds

● The must-have training programme for fi nancial professionals worldwide

● Extensive course materials and latest educational techniques

● Up-to-date didactical training techniques and practical skills

● Unique cross-border networking opportunities

TREA

SURY

INVE

STME

NT M

ANAG

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T

CORP

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E FIN

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ASSE

T-LIA

BILIT

Y MAN

AGEM

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RISK

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SUPE

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AUD

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Bank Asset-Liability Management

Interest Rate Risk in the Banking Book

Central Counterparty Clearing

Stress Testing – Quantitative Techniques, Regulatory Framework and PracticalUse in Risk Management

Reform of Interest Rate Benchmarks: Transition to a World Without IBORs

Responsible Investing: How to get it right?

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

Corporate Credit Rating Systems: Design, Development, Calibration and Validation

Interest Rate Products – Mechanics, Pricing and Applications

Interest Rate Risk Hedging Workshop

Counterparty Credit Risk

Length of the red stripe expresses the relative level of attractiveness of the seminar for respective bank departments and desks. It is to be interpreted

as an estimated average appropriateness which may deviate in individual cases, among others, due to the different level of juniority/seniority of the

particular participant.

8

BANK ASSET-LIABILITY MANAGEMENT

DATES: September 8 – 10, 2020 • PRICES: € 1,755 In-class, € 878 Online • LOCATION: Prague, NH Hotel Prague and Online

The purpose of this 3-day seminar is to introduce the principles and mechanisms of asset liability management in banks. During these three days, we address all the issues relevant to this essential matter, from balance sheet modelling and projection to managing structural risks. These are illustrated by a number of business cases and exercises that facilitate the assimilation of the concepts and techniques presented.

On day 1, we sketch the global functioning of the Bank, to position the “raison d’être” of the ALM in regards to the business objectives and their interactions. Once the ALM’s role is defi ned, we devise the resources and the organization required for a successful mission. This includes describing the ALM ecosystem, with its Steering Committee called the ALCO, the various teams and their responsibilities, from the valuation of fi nancial instruments to the management of balance sheet risks such as interest rate, liquidity and currency risks. Also, we learn how to transfer these risks to the ALM using appropriate mechanisms and funds transfer pricing.

Day 2 focuses on the techniques used for valuing assets and liabilities and measuring balance sheet risks. In order to value fi nancial instruments, we learn how to generate their expected future cash fl ows under various conditions. We discover how aggregating these cash fl ows and assessing possible future cash shortfalls form the basis for assessing balance sheet risks. We also look at applicable regulations (LCR, NSFR, IRRBB…) and put them in perspective with the economic reality. Issues related to options and credit risk (IFRS 9) are also addressed. A number of exercises and games facilitate assimilating these principles and techniques.

Day 3 addresses the management issues related to ALM and operational matters. You learn how to control and mitigate risks, and a number of key questions are addressed: What risks should be taken? Up to what level? How to hedge risks? How does ALM relate to risk management and to risk budgeting and risk appetite? What is expected from ALM professionals and how do they interact with other functions in the bank? Finally, we look at the current matters ost rates, the resolution fund and new technologies.

We fi nish the seminar with a series of exercises/games aimed at rehearsing all the major elements learned during these three days: The role and the positioning of the ALM, assets valuation principles, balance sheet risks identifi cation, measurement and management, applicable regulations, and fi nally current concerns.

• How to model and project the balance sheet of the bank?

• What are the key equilibrium and the major threats?

• How to classify and handle balance sheet risks?

• Are the regulatory and the economic views coherent?

• What is expected from ALM managers?

• When should management actions be triggered?

• What can we learn from passed crises?

• What are the current issues?

TUESDAY, SEPTEMBER 8

0900– 0915

Welcome and Introduction0915–1215

The ALM in the Bank A Global View of the Bank • The Role and the Organization of the

Bank

– Businesses and business support

– Finance and risk

• The Bank’s Balance Sheet

– Static view

– Dynamic view

• What Functions needs to be

centralized?

– Functions with effects of scale

– Functions with compensation effects

The ALM • Nature and Role

• Responsibilities and Components

• The ALCO

Risks Identifi cation and Cartography • From Nuclear Events to Financial Risks

– The RICAP process

• Risk Cartography

– What business models generate what

risks?

• Interest Rate, FX, Equity and Liquidity

Risks

1215–1315

Lunch1315–1630

Balance Sheet Risks Framework Funds Transfer Pricing • Commercial and Financial Margins

– Policies for setting the margins

– Articulation with the global interest

margin of the bank

• Reference Refi nancing

– Setting up the right commercial

incentives

– The benefi ts of reference refi nancing

The Regulatory Environment • The Regulatory Approach

– Basel 1, 2 and 3

• The New EU Banking Package

– CRD V/CRR II/BRRD II

Case Study: Dexia

WEDNESDAY, SEPTEMBER 9

0900– 0915

Recap0915–1215

Assets Valuation Valuation Principles • Economic View

• Regulatory View

• Accounting View

• Financial Instruments Categorization

• Generating Cash Flows

– Cash fl ows projection for various loan

types

– Embedded and other options

Regulatory Modelling • Exposure to Balance Sheet risks

– Interest rate and liquidity gaps

– Behavioral Modelling Principles

• Regulatory Calculations done by the ALM

– LCR, NSFR, IRRBB

1215–1315

Lunch1315–1630

Balance Sheet Risks Measurement Balance Sheet Risks • Measuring the Interest Rate Risk of the

Banking Book

– From gaps to interest rate curves

modelling

– Sensitivity and duration, embedded

options, prepayments

• Measuring Spread and Funding Risks

– Articulating liquidity, spread and funding

risks

– Accounting considerations

• Assessing Liquidity

– Liquidity gap and ratios, LCR and NSFR

– Liquidity reserves management

• Case study: Credit National

Other Risks and how they relate to the ALM • ALM and Credit Risk

– IFRS 9

• ALM and the Non-Financial Risks

– Operational, business and residual risks

• Aggregating Risks

End of Day: Review and Games

What are the principles and mechanisms of Asset Liability Management in banks?

Now also available as an online seminar

9

BANK ASSET-LIABILITY MANAGEMENT

Lecturer: Jean-Bernard CaenAs a Policy Advisor within the consulting fi rm PRNS ‘parnass’ since 2014,

Jean-Bernard has been working on assignments for Financial Institutions in the

areas of risk-fi nance interactions, ALM, capital allocation, risk appetite and the

economic assessment of risks.

Before that, as Head of Economic Capital and Strategy for Dexia group for 12

years, he was in charge of Basel2 Pillar2 and Risk-Finance cooperation. He was

instrumental in working out and implementing Economic Capital as the internal

measure of risk. It was subsequently used in all risk vs. return processes across

the group, such as Risk Appetite, Risk Budgeting, RAROC and Capital Planning.

In 1990, Jean-Bernard founded the Management Consulting fi rm Finance &

Technology Management (FTM), which he ran for 12 years as the CEO. As such, he

directed numerous assignments for European Financial Institutions in the areas of

Shareholder Value, Risk Management, Capital Allocation and ALM.

He is a member of PRMIA France Executive Committee, of AFGAP Management Board, and he teaches

at the French National School of Economics and Statistics; he is also a senior lecturer and he published

numerous articles.

He is a French Civil Engineer and he graduated from MIT.

– Bottom-up: Budget and pricing

• Articulating Risk and Value

– Economic capital

– Measuring added-value

• The Convergence of Risk and ALM

Operating Models

– Different objectives, different cultures,

different silos

– IFRS 9 breaks the silos

Current Issues • Macro-prudential Policy

• Sovereign and Systemic Risks

• Low Interest Rate

• Latest Issues and the Future of ALM

Seminar Wrap Up and Final Game

• Managing Correlations Between

Products

• IT And Data Concerns

– Categories of IT tools used to

manage balance sheet risks

– Emerging technologies, machine

learning, intelligent reporting

1215–1315

Lunch1315–1630

Perspectives on ALM Economic Value Management • The Management Mechanisms of the

Bank

– Top to bottom: Capital allocation and

global limits

THURSDAY, SEPTEMBER 10

0900– 0915

Recap0915–1215

Balance Sheet Risks Management Controlling Risks, Hedging and Mitigation • Tools for Risk Control and Mitigation

– Limits, securitization and hedging

• Hedging

– Interest rate and other derivatives

– Value and cash fl ow hedges

– Micro and macro hedges

• Case Study: LTCM

Operational Concerns • New Production Modelling

10

INTEREST RATE RISK IN THE BANKING BOOK

DATES: September 21 – 22, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online

MONDAY, SEPTEMBER 21th

0900– 0915

Welcome 0915–1215

Introduction • Defi nition of IRRBB

• Accounting and IRRBB

• Changes in the Basel III Framework

• Components of interest rates

− Risk free rate, duration spread, liquidity

spread, credit spreads, commercial

margins

− IRRBB and credit spread risk

• Measurement of IRRBB

− Earnings based measures– NII

− Economic value based measures –

PV01, EV, EVE and EVaR

− Interest rate scenarios

− Options

− Non maturing deposits –

behaviouralisation, core deposits

Refresher 1 • Time value of money

• Forward Rates

BCBS D368 – The standardised Framework

• Overall structure

• The components

• Treatment of NMDs and capital

• Behavioural options

• Contractual options

TUESDAY, SEPTEMBER 22th

0900–1215

Calculation of the standardised EVE risk measure and NII

• Case study using bank disclosures and

based on D368 reporting requirements

− Construct calculations and report using

provided Spreadsheet

− Discuss base assumptions and bank

performance under the prescribed

regulatory scenarios

− Split into groups and consider revised

submission

• Role-play, face the regulator – a Pillar 2

meeting

• Compounding and day count conventions

− Net Present Value of a future cash fl ow –

bond example

− PV01, duration and convexity

• Study Example

Draft Revised CRD and CRR • CRD – Articles 84, 98

• CRR – Articles 106, 448

1215–1315

Lunch1315–1700

BCBS D368 • IRRBB – Scope and timelines

• IRR Principles:

− Comparison with current EBA

requirements and bcbs 2004 (BCBS

108)

− Discussion of Principles

Refresher 2 • Constructing zero curves

• Discount factors

• Forward Curves

• Interest Rate Swap Curves

• Study Example

A comprehensive overview of the BCBS IRRBB standards published in April 2016, comparison with EBA standards and a refresher of the mathematical tools required

Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under Pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to refl ect changes in market and supervisory practices.

This course provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives, e.g. FRTB.Since stress testing has become an important tool for risk management and a key part of the regulatory framework the course also spends time discussing the application of stress testing techniques. A particular area of focus will be on approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework.Participants will engage in Spreadsheet-based exercises and also role-playing exercises where time constraints and class sizes permit. Role-playing exercises will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.The course has three main objectives:• To provide a comprehensive overview of the new standards presented in BCBS

papers, look at the implementation in Europe, particularly in connection with CRD, CRR and EBA guidelines and technical standards.

• Refresh and develop quantitative techniques: – Cash fl ow discounting, zero curve construction, yield curve models – Computation of risk metrics, particularly: EVE, NII. – A look at some modelling techniques: stochastic simulation, pricing options, modelling behavioural options, non performing

loans, basis risk, credit spreads, capital and liquidity buff er calibration, stress testing. – Assigning probabilities to stress scenarios in order to compute an economic capital number• Review and discuss risk management techniques and regulatory initiatives, for example: hedging, funds transfer pricing, risk free

interest rate benchmarks (replacements for the IBORs), Liquidity Risk Management, FRTB and interactions between the banking book and the trading book.

Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread sheet examples will be provided with all data and formulae that will allow all participants to engage in ‘what-if’ scenarios to gain a feel for how diff erent assumptions can aff ect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and a role-playing session will be used to give participants experience of a meeting with regulators to review their submissions.

How you will benefi t:

• An understanding of the revised standards

• Gain theoretical and practical understanding of IRRBB methodology

• Understand links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management.

• Understand risk transfer, fund transfer pricing

• Gain experience of facing regulatory challenge on proposed model


11

INTEREST RATE RISK IN THE BANKING BOOK

Lecturer: Gary DunnStarted out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fi xed income portfolio managers and the FX desks.Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS and industry. From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.Now Gary works as a private consultant and trainer.

• A Monte Carlo Solution

• Bayesian Solutions

– Bayesian Networks– deriving an economic

capital number from scenarios

– Optimisation methods

– Conditional probabilities of scenarios

Related Topics • Risk Appetite Frameworks

• Introduction to FRTB

– Trading book/banking book boundary

defi nition under FRTB

– Risk transfers from banking book to

trading book

– Liquidity Horizons

Evaluation and Termination of the Course

Managing Interest Rate Risk • Hedging duration risk

− Bonds

− Futures

− Swaps

• Hedging convexity risk

− Options

Modelling Interest Rates • Simulation Models, Monte Carlo and

option pricing

− Behavioural Options – deposit

withdrawal, prepayment risk,

wrong way risk, default risk

• Sensitivity of NMD rates to changes

in market rates – passthrough

rates – a bank policy decision

• The econometric relationship between

NMD rates, loan portfolio rates and

market rates

1215–1315

Lunch1315–1700

Funds Transfer Pricing

Risk Free Reference Rates Benchmarks

• RFRs and the IBORS

• Term Structure of RFRs

• Issuance activity

Stress Testing • Regulatory requirements

12

CENTRAL COUNTERPARTY CLEARING

DATES: October 12 – 13, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online

An overview of the evolution of OTC Central Clearing, regulatory initiatives, and the implications for the risk landscapeThis course is intended to provide an appreciation of central counterparty clearing particularly in relation to the clearing of OTC derivatives. Particular focus will be given to regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following the fi nancial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in response to the regulatory challenge, in particular: the margin requirements; auction processes; loss allocation methods and of course capital requirements.The course will also look at the evolution of central clearing and the impact on risk that CCPs may have in future crises, both positive and negative, particularly in relation to counterparty credit risk, XVAs and systemic risk.The course is intended particularly for risk managers, traders, regulators and anyone involved with clearing systems.

Key Benefi ts Include:• Strictly limited numbers on a fi rst come, fi rst accepted basis • Practical exercises to support the sessions • Receive an electronic copy of the trainer’s presentation prior to the courseQuote: How to manage exposure to CCPs is amongst the biggest unknowns in today’s fi nancial system

• CCP margin frameworks • The default management process• The loss allocation waterfall• Key issues including: direct clearing,

indirect client clearing, portability, segregation

• Other related counterparty risk mitigation tools and their limitations

• Systemic risk and extreme tail risk• Can a CCP fail? Some historical examples• Stress Testing a CCP and a recovery and

resolution plan• The risk transformations CCPs generate

and implications for XVA• Capital requirements for exposures to CCPs• The background and evolution of central

counterparty (CCP) clearing

MONDAY, OCTOBER 12

0900– 0910

Welcome

0910–1230

Introduction • What is Central Clearing

• How does a CCP Work?

• Direct clearing, client clearing and

indirect clearing

• Margining

• Default management process

• Loss mutualisation

• Regulatory response to the 2008

Financial Crisis

A closer look at Margining • Variation Margin

– Obtaining prices for OTC products

• Initial Margin

– SPAN

– VaR and Expected Shortfall

– Stressed Loss Add-Ons

– SIMM

• LCH, CME and EUREX

• CDS clearing at ICE

• Segregation of collateral

1230–1330

Lunch

1330–1700

A closer look at The Default Management Process • Declaring a default

• Macro Hedging

• The Auction Process

• Client Portability

A closer look at Default Funds • Sizing the default fund

• Allocating the default fund to clearing

members

• Default Fund versus margining

Loss Allocation • The CCP waterfall and the “defaulter

pays principle”

• Loss allocation methods

– Powers of Assessment

– Default Fund tranches

– Variation Margin Gains Haircutting

– Trade tear-up

– Forced Allocation

– IM haircutting, novation to other CCPs,

reversion to bilateral trades,

CCP wind-up

Client Clearing • The client clearing models – clearer or

client?

• Portability

• Segregation of collateral – Omnibus or

ISA accounts – LSOC and EMIR

TUESDAY, OCTOBER 13

0900–1230

Can a CCP fail? • Some historical examples – including

Nasdaq’s Nordic power market

• Extreme tail risk and systemic risk

• Stress Testing a CCP

• Recovery and Resolution of a CCP

• Risk Transformation, the effects a CCP

has on the risk landscape

• Findings from CPMI/FSB/IOSCO/BCBS/

ESMA/ISDA

LCH • Evolution

• Conundrums

• SwapAgent

Overview of Counterparty Risk • The nature of Counterparty risk

• Mitigation methods

• How does a CCP help?

– Netting

– Trade Compression

– Margining/default Funds

– Standards for clearing members

– Legal certainty

– Default Management Procedure

xVA • CVA: Credit Valuation Adjustments

• DVA: Debit Valuation Adjustments

• BCVA: Bilateral CVA

• FVA: Funding Valuation Adjustments

• MVA: Margin Valuation Adjustments

• KVA: Capital Valuation Adjustments

• ColVA

1230–1330

Lunch

1330–1700

Capital Requirements for exposures to a CCP • Earlier regulatory proposals

• BCBS 282

– Trade exposures

– Default fund contribution capital

requirements

• CCP Basis Risk

• Calculating EAD for regulatory capital

– CEM

– Standardised Approach for

Counterparty Credit Risk (SA-CCR)

– IMM

CCP Basis Risk

Evolution of Clearing • Early trading and clearing platforms

• Complete and incomplete clearing

• The ETD and OTC derivative markets

• The 2008 crisis

• Political and regulatory responses,

IOSCO and the G20Clearing Mandate,

Dodd Frank, EMIR, OTC regulation,

Basel III, IFRS13

Objective is for participants to gain an appreciation and understanding of the following topics:


13

CENTRAL COUNTERPARTY CLEARING


14

STRESS TESTING – QUANTITATIVE TECHNIQUES, REGULATORY FRAMEWORK AND PRACTICAL USE IN RISK MANAGEMENT


Stress testing has become an important tool for risk management and a key part of the regulatory framework. This course discusses various approaches to generating stress scenarios, simple ‘what-if’ scenarios and simulation techniques through to the use of full structural macroeconomic models of the global economy. It will look at examples of impact on the balance sheet and P&L projections under stress scenarios.

Many types of risk can be exposed by stress testing that may not be apparent using only models calibrated to recent historical data. These risks are explored by looking at potential impact on regulatory indicators under stress scenarios. Hence the impact on capital ratios is explored and also the LCR and NSFR indicators of liquidity and the impact of stress scenarios on IRRBB (interest rate risk in the banking book) and the leverage ratio.

The course will also consider regulatory guidelines to stress testing and looks at regulatory stress testing exercises, for example, EBA/ECB, Bank of England and DFAST/CCAR.

An innovative area of focus on the course will be on coherent approaches to risk aggregation in order to construct an economic capital number based on stressed scenarios.

Participants will engage in Spreadsheet-based exercises and also role-playing exercises (live courses only) where time constraints and class sizes permit. Role-playing exercises will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.

The course has four main objectives:• To provide a comprehensive overview of stress testing approaches• Develop quantitative techniques: • Scenario construction • A look at some modelling techniques: Econometric models, vector autoregressions,

Kalman Filters, stochastic simulation, pricing options, modelling behavioural options, non performing loans, basis risk, credit spreads.

• Mapping economic scenarios to risk factors affecting valuations and P&L • Computation of risk metrics under stress: regulatory capital ratios, leverage ratio, EVE, NII,

LCR and NSFR. • Risk aggregation and assigning probabilities to stress scenarios in order to compute an

economic capital number

How you will benefi t:

• An understanding of the value and challenges of stress testing

• Gain theoretical and practical understanding of stress testing methodology

• Develop a joint approach to ICAAP and ILAAP

• Gain experience of facing regulatory challenge (mainly live course)

WEDNESDAY, OCTOBER 14

0900– 0910

Welcome0910–1230

Module 1

Introduction • What is Stress Testing?

• Principles for sound stress testing

• How do we calibrate risk factor

scenarios?

• Reverse Stress Testing

• Applying risk factor scenarios to the

balance sheet and to P&L projections

• Introduction to the Basel Consolidated

Framework

• Regulatory Ratios

– Capital

– Leverage

– Liquidity – LCR and NSFR

• Internally developed objective functions

for solvency and liquidity

Case Studies • Lehman

• Northern Rock

1230–1330

Lunch1330–1700

Module 2

Setting Macroeconomic Scenarios • Structural macroeconomic Models

• A look at the NIESR and OEF models as

examples

• Vector Autoregression

• Endogeneity and Simultaneity – are

correlations meaningful?

• Univariate time series models, simple

single regression equations

• Stochastic Simulation and Monte Carlo

• Mapping to risk factors, risk factor

simulation and option pricing

• The Stock Market and GDP

• Interest rates and the yield curve –

central bank policy

• BCBS 239

THURSDAY, OCTOBER 15

0900–1230 Module 3

Market Risk and Market Risk Weighted Assets • Market Risk Shocks and stressed RWAs,

a 2-part problem

• FRTB guide to stress testing market risk

• Basel framework on market risk

• VaR, Expected Shortfall and the role of

capital

• ‘What – if’ and risk factor simulation

• Volatility scaling, FHS and Kalman Filter

approaches

• Extreme Value Theory

• Spectral risk measures

• Stahl Inequality

• Distorted probabilities

Credit Risk and Credit Risk Weighted Assets • Basel framework on credit risk

• Stressed PDs and LGDs

• Credit Metric type models

• ‘What – if’ and Large Exposures

• Counterparty Credit Risk

Operational Risk and Operational Risk weighted Assets • Basel framework on operational risk

• Internal models for operational risk

– Poisson processes and impact

distributions

– Fat-tailed distributions

– Monte-Carlo and copulas

1230–1330

Lunch1330–1700

Module 4

Liquidity Risk • Stress testing liquidity and contingency

fund planning

– Liquidity Buffers and other sources

of liquidity

• Basel framework on liquidity risk

– LCR, NSFR the regulatory metrics

for liquidity risk

– Liquidity stress test exercise


15

STRESS TESTING – QUANTITATIVE TECHNIQUES, REGULATORY FRAMEWORK AND PRACTICAL USE IN RISK MANAGEMENT

Lecturer: Gary DunnStarted out life as a statistician at the Bank of England in 1977 and after a 16-year career

there ended up as a senior manager within UK foreign currency reserve management

with responsibility for interest rate risk strategy and liquidity management. To aid

liquidity management Gary created an internal market for funding between fi xed

income portfolio managers and the FX desks.

Gary ventured into the private sector where he spent a further10 years as a proprietary

trader.

Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory

market risk models (CAD models including VaR and IRC). Whilst at FSA Gary

conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across

London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design

of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel

2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a

review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS

and industry.

From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators

covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the

banking book), as well as working on internal projects such as stress testing, IRC development, regulatory

interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD

role at Morgan Stanley where he was head of risk analytics for the EMEA region.

Now Gary works as a private consultant and trainer.

• Credit Spread Risk in the Banking Book

(CSRBB)

Other Risks • Collateral requirements

• Exposure to CCPs

ICAAP and ILAAP • Stress Testing requirements

A joined-up approach • Risk Aggregation

– Monte Carlo

– A Bayesian Approach

Regulatory Stress Testing Exercises • EBA

• CCAR

• Bank of England

Interest Rate Risk in the Banking Book • EVE and NII

• Non maturing deposits –

behaviouralisation, core deposits

• BCBS D368

– Stress Testing Standards for IRRBB

– The standardised Framework for

IRRBB

16

REFORM OF INTEREST RATE BENCHMARKS: TRANSITION TO A WORLD WITHOUT IBORs


The future of interest rate benchmarks is uncertain except for one thing: IBOR rates will be coming to an end in the next two years; and banks, companies and investors need to be ready. Rocked by a rate-rigging scandal and latterly by the absence of an underlying market, regulators have called time on IBOR rates and are pushing the world towards more robust alternatives.

This course examines the role IBOR rates have played in fi nance, growing from almost nothing 40 years ago to one of the most important numbers in world markets; a number that underpins 100s of trillions of USD of cash and derivative contracts.

On day one we look at the role of IBOR rates and what requirements their replacements need to satisfy, before examining the details of the regulatory-approved replacements – ‘the risk-free rates (RFRs)’. We then consider the transition process that must be undertaken by banks, companies and investors to meet the regulators deadlines to be ready for the end of IBOR. Day one fi nishes with a look at the new RFR-linked bonds – how the bonds work and how they have been received by the market.

Day two starts by looking at the role of IBOR in corporate lending, and how the transition to RFR-linked loans might work. We consider the tricky subject of a forward-looking RFR rate and how one might be determined. We then progress to the world of derivatives and the details, and pricing, of the new RFR-linked futures and swaps markets.

We fi nish the course by considering the process of migrating legacy IBOR deals to RFR-linked terms – the contractual considerations and how we agree a fair transition price. We examine the latest ISDA consultation results and discuss the likely calculation process for fallback rates for legacy interest rate derivatives, as well as the P/L consequences.

Who should attend?• Corporate bankers – relationship managers and treasury managers• Bank money market, bond and derivative traders and salespeople• Investors – institutional investors, fund managers, private traders• Company treasury managers and staff, accountants, risk managers

Course methodologyThe course consists of classroom-based training which combines formal teaching of concepts and technical content, with individual and group exercises to reinforce learning points.

Attend this 2-day training course and learn about:• What has gone wrong with IBOR

rates and why a replacement is needed?

• The chosen the replacements – the new ‘risk-free rates (RFRs)’

• The differences between IBOR rates and the new RFRs

• The transition process from IBOR to RFRs for banks, companies and investors

• How RFR-linked bonds work and the market for them?

• The change in the world of corporate lending towards RFR-linked fl oating rate loans

• The new RFR-linked derivative products and their pricing

• The process of migrating legacy IBOR deals on to RFR terms

• The latest ISDA consultation results on fallback rate calculation

WEDNESDAY, OCTOBER 14

0900– 0910


IBOR and its replacement ‘Risk-Free Rates’ (RFRs) • IBOR

– What was the original purpose of IBOR?

– How is it set?

– What went wrong?

Rigging scandal

Transaction drought

• The necessity for replacement

– Would a synthetic IBOR work?

How might it be calculated?

– What problems should a replacement

rate fi x?

– The regulatory pressure for replacement

UK FCA position on LIBOR

European Benchmarks Regulation

(BMR)

US Alternative Reference Rates

Committee (ARRC)

– What regulatory tests does a new

reference rate need to pass?

– Can IBOR be replaced exactly?

Compromises necessary for

replacement rate to be widely used

What happens to the much-used

IBOR-OIS measure?

• The regulatory-favoured RFRs

– What are the chosen RFRs in each

major currency?

SOFR (USD), €STER (EUR), SONIA

(GBP), SARON (CHF), TONAR (JPY)

– Description of each RFR

Differences and similarities across

currencies

• In the post-IBOR world, what have we

gained (or lost)?

Issuing bonds linked to the new RFRs • The market place for RFR-linked fl oating

rate bonds

– What do investors want?

– What is the process of issuing bonds

linked to the new RFRs?

– Issuance to date by currency and issuer

type

– Investor reaction to RFR-linked fl oating

rate bonds

• Pricing of RFR-linked bonds

– In theory, how should the RFR spread

be priced?

– The IBOR/RFR basis

What is the basis?

How is observed/traded?

– How has the market priced and

absorbed the bonds issued?

• Bond term sheet details

– Fixing source

– Rate and settlement calculations

THURSDAY, OCTOBER 15

0900–1230

Corporate lending linked to the new RFRs • Why is IBOR so popular in corporate

loans?

• How would an RFR-linked corporate loan

work?

• The problem with the ‘forward-looking

term loan’ nature of IBOR

– How do we replace a 3-month rate with

and overnight rate?

This 2-day course offers an insight into the journey from IBOR rates to their new replacement benchmarks, from the perspective of banks, companies and investors.

1230–1330

Lunch1330–1700

The transition from IBOR to RFR • Banks

– What role does IBOR play within a bank?

Baseline funding rate

Input to funds transfer rate (FTP)

Key pricing benchmark for corporate

lending

Key variable in interest rate derivative

products

– The transition from IBOR

Identifying what the future under RFRs

will look like for all bank departments

The important transition decisions and

operational requirements

Communicating the effects of the

transition to clients

– What will drive liquidity in the RFR

bank-funding market?

• Borrowers

– What is the impact of RFRs on fl oating-

rate borrowers?

– What will drive the movement from

IBOR-linked to RFR-linked borrowing?

– Managing the transition for a corporate

borrower

Market understanding and system

changes

• Investors

– What are the requirements of fl oating-

rate investors?

– How will investors become comfortable

with the transition away from IBOR?

Market development, liquidity and

transparency, system requirements

• How are regulators driving the transition

from IBOR to RFRs?


17

REFORM OF INTEREST RATE BENCHMARKS: TRANSITION TO A WORLD WITHOUT IBORs

Lecturer: Mark TaylorMark spent 10 years as an FX and interest rate derivatives trader in London, HK

and New York before moving into fi nancial training, where he has spent the last

9 years. His trading experience spans vanilla and exotic products having run

profi table businesses across the derivatives product spectrum.

Mark graduated from the University of Bristol with a fi rst-class degree in

Aeronautical Engineering. He had a brief stint as an aerodynamicist working on

military aircraft design for BAe Systems, before moving into fi nance, fi rst with

Deutsche Bank and then RBS.

After leaving fi nance Mark bought, ran and subsequently sold a retail business;

in the process developing a fi rst-hand understanding of company valuation,

accounting, as well as company fi nancing and risk management.

Mark uses his experience in fi nancial markets and the corporate world to run engaging training courses

across both the markets and corporate fi nance disciplines.

– What is the existing market for overnight

index swaps (OIS)?

– How would a swap market based upon

new RFRs work?

Swaps versus daily reset/compounding

Swaps versus term RFR rates

How would term RFR resets work?

Basis trading versus IBOR swaps

– Hedging using RFR-linked swaps

RFR-linked ‘new issue swaps’

Asset swaps (fi xed to RFR)

RFR-linked corporate loan hedging

1230–1330

Lunch1330–1700

Migrating legacy IBOR deals • The case for migrating legacy IBOR deals

to the new RFRs

– Complications in fl oating-rate bonds and

corporate loans

– Does current documentation contain fall-

back provisions to deal with the end of

IBOR?

What are the common fall-back

provisions?

• Transition to RFRs for fl oating-rate

bonds

– What do borrowers and investors

require from the transition and how can

these requirements be met?

– How do we price the replacement

bond coupon to make the transition

fair to both sides?

• Transition to RFRs for corporate loans

– What do companies and banks require

from the transition and how can these

requirements be met?

– Dealing with the choice of term RFR

and reset rate source

– How do we price the replacement loan

margin to make the transition fair to

both sides?

• Derivatives transition

– The latest on the ISDA consultations

– The likely look of a fallback rate

Backward- versus forward-looking

Historically calculated or market

implied

Details: Mean versus median,

lookback periods, weighting the

average

Implications of using the fallback

language on legacy deal P/L

– Why does the corporate loan market

need a ‘term’ rate, e.g. 3-month

ESTER?

– How do we develop a ‘forward-

looking term rate’ for RFRs?

• Probable corporate loan characteristics

post-IBOR

– Fixing sources for term RFRs

– Rate and settlement calculations

– Pricing versus IBOR-linked equivalent

• Pricing corporate loans

– Replacing the credit and liquidity

information from IBOR

– Using RFRs to determine FTP rates

Derivatives referencing the new RFRs • Why is IBOR used in derivatives

contracts?

• Replacing IBOR in FRA, Futures and

IRS trades

– Existing market for overnight index

futures

Fed Funds, EONIA, SONIA

Contract descriptions

– New RFR futures contracts

SOFR, ESTER, SARON

Contract descriptions

18

RESPONSIBLE INVESTING: HOW TO GET IT RIGHT?DATES: November 2 – 3, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online

Understanding the drivers, trends, tools and approaches to implement responsible investment in

your organisation and investment strategy

Investments play a fundamental role in the economy. They are crucial in determining

whether society – from governments to individual consumers – succeeds in

following a sustainable path. The need for such a path has rapidly grown over

the last decades, visible in for example the Paris Agreement on climate change,

the Sustainable Development Goals (SDGs) and the UN Guiding Principles on

Business and Human Rights. The interest of and expectations society in the role of

fi nance has grown rapidly. The Action Plan on Sustainable Finance of the European

Union is one such development. Industry standards and initiatives have also grown

rapidly as have fi nancial organisations that have signed up to those, such as the

Principles for Responsible Investment.

The Environmental, Social, and Governance (ESG) and SDG risks and opportunities

have also grown rapidly and almost every investment organisation is now at least

thinking about responsible investment. The demand and need to invest responsibly

is increasingly clear, from both a fi nancial and societal perspective. The way how to

do it is still unclear to many. Some call this Socially Responsible Investment (SRI)

or ESG investing, SDG investing, impact investing, or sustainable investing. These

terms are sometimes used interchangeably. The course will use the more broadly

accepted term “responsible investment” which covers all of above. The market for

responsible investment has grown rapidly to 31 trillion USD in 2018, a 34% increase

in 2 years (www.gsi-alliance.org). By the end of 2019, globally over 2300 investment

organisations have signed up for the Principles for Responsible Investment

(www.unpri.org), representing 80 USD of assets under management. It’s no longer

a niche but is increasingly core to every investment organisation and investment

professional.

This course provides a comprehensive overview of the drivers, trends, tools

and approaches to implement responsible investment in your organisation and

investment strategy. It will explore and discuss developments in client demand,

current and future regulations and regulatory developments with a focus on

Europe, developments in supply of ESG/SDG/RI/sustainable labelled products,

and practical tools and approaches for portfolio managers, risk managers and

trustees/advisors to implement responsible investment.

The main objective of the course is to enable its participants to develop or

support a comprehensive approach in responsible investing, how to adapt the

organisation to integrally implement this and how to implement this in the various

asset classes, internal and external management, and in fi duciary advice. It will go into detail of various tools and instruments

to implement responsible investment such as ESG integration (embedding fi nancially material ESG issues, such as climate

risks, in investment decisions, asset allocation or portfolio construction), exclusions (e.g. tobacco products), divestments

(e.g. carbon footprint reductions), thematic investing, impact investments or SDG investing (e.g. in renewable energy or green

bonds), stewardship (such as engagement, voting and shareholder litigation aiming to infl uence portfolio companies or market

standards). It will also discuss a wide array of ESG and SDG issues, such as climate change, water, human right, labour

conditions, health, corporate governance etc.

Participants will engage in case studies to gain an understanding of such developments and practical ways to

implement responsible investment in their organisations and investment strategies/portfolios.

Key points / questions answered:

• An understanding of the

drivers for responsible

investment

• Understanding relevant

thematic priorities and

regulatory developments

• How to develop a policy

and strategy on responsible

investment

• How to implement responsible

investment in various asset

classes, internal management


investment in selecting,

appointing and monitoring

external managers


investment in risk management

• Understand required

organisational change and how

to implement this in your own

organisation

• An outlook on future

developments in responsible

investment


19

Lekturer: Dr. Marcel JeuckenDr. Marcel Jeucken is Founder and Managing Director at SustFin B.V.. SustFin

provides independent advice on fi nance and sustainability issues. From policy

and product development to execution, communications and trainings, SustFin

focusses on helping fi nancial organisations to embrace and embed sustainability

in all of their operations. Marcel Jeucken has 25 years’ experience in fi nance

and sustainability, amongst others at Rabobank, Triodos Bank, World Bank,

Sustainalytics and PGGM. Marcel helped to grow and establish Sustainalytics

from 2003–2006 and was Managing Director Responsible Investment at PGGM

Investments from 2006–2017. At PGGM Investments Marcel Jeucken was

amongst others a member of the Management Team, Investment Committee and

Investment Policy Committee. Marcel was a delegate of the PRI Advisory Council

from 2007–2014, Chair of the Stichting RI (Foundation for the PRI) till 2015, board member and Treasurer

of the Institutional Investors Group on Climate Change (IIGCC) from 2007–2018, board member and Vice

Chair of Eumedion, and member of Sustainable Pensions Investments Lab (SPIL). Marcel holds a Ph.D.

in economics on sustainability issues and the fi nancial sector. He has written numerous papers and is

author or editor of several books, including ‘Sustainable Finance and Banking’ (2001) and ‘Sustainability

in Finance’ (2004).

RESPONSIBLE INVESTING: HOW TO GET IT RIGHT?

MONDAY, NOVEMBER 2

0900– 0910

Welcome 0910–1230

Introduction • Historical overview of development

of responsible investment

• The value of responsible investment:

the fi nancial perspective

• The values of responsible investment:

the normative perspective

Case study: beliefs sets

Sustainability: issues and trends • Environmental issues: risks and

opportunities for investors

• Social issues: risks and opportunities

for investors

• Governance issues: risks and

opportunities for investors

• Responsible business conduct:

outcomes of investments on society

and the environment

• The Sustainable Development Goals:

focus on outcomes to global societal

and planetary goals

Case study: climate change scenario analysis and stress testing

1230–1330

Lunch1330–1700

Developing a responsible investment policy and approach

• Developing a responsible investment

policy: do’s and don’ts

• Organising and maintaining

organisational change

• The governance of responsible

investment

• The role of risk management

Case study: effective organisational set-up

TUESDAY, NOVEMBER 3

0900–1230

Implementing responsible investment • ESG data and tools

• From data to due diligence to

implementation

Case study: EU Action Plan on Sustainable Finance

• Active listed equity and corporate

credits: RI in valuation models

• Passive and semi-passive strategies:

customisation of indices

• External management: selection,

appointment and monitoring

• Private market investments: specifi c

characteristics and RI tools and

approaches

Case study: Due diligence of human rights issues in a concrete investment opportunity

1230–1330

Lunch

1330–1700

Implementing responsible investment (cont.) • Government and sovereign bonds: RI

tools and approaches

• Responsible investment in fi duciary

advice

• Impact investing: what is it and how

to implement it across various asset

classes (e.g. green bonds, renewable

infrastructure, green real estate, listed

equity)

Case study: Develop an impact investing strategy/product

Monitoring, measuring and reporting • Effective monitoring of external

managers

• Effective monitoring of internal teams

• Understanding the need for measuring

outcomes

• Tools to measure real-world outcomes

Case study: SDG reporting

Termination and Evaluation of the

Seminar

20

BANK CAPITAL MANAGEMENT – CAPITAL PLANNING, FUND TRANSFER PRICING AND RAROC

DATES: November 3 – 5, 2020 • PRICES: € 1,755 In-class, € 878 Online • LOCATION: Prague, NH Hotel Prague and Online

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 managed using two desynchronized steering wheels: The regulatory framework that ignores profi tability, and the accounting framework that – until recently – ignores risk. Economic Capital and IFRS 9, increasing competition from FinTechs and the need for a better servicing of the economy are promoting a review of how banks manage their capital. This seminar clarifi es for you the issues and the practical ways to handle them.

The three days are 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 risks so that the results are usable both for micro- and macro-management decision support; On day 3 we enter the internal mechanics of transferring funds and risks within the bank and still retaining the coherence required for proper performance assessment and the support of management actions.

Day 1 starts with the exploration of the different capital metrics: Regulatory, accounting and economic. We look at the multiple components of capital and their “raison d’être”. Once the articulation between capital and risk is clearly defi ned, 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 profi tability and capital measures, to provide powerful top to bottom performance measures and effi cient 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 effi cient 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.

• Understanding the role of banks capital

• Articulating capital, risk and return

• Risk identifi cation, 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

TUESDAY, NOVEMBER 3

0900– 0915


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 fi nancial planning

The Articulation between Capital and Risk

• Capital as a means to take risks and

generate profi ts

• Risk appetite objective and indicators

• Risk tolerance logic

• Risk, return and capital, the magic

triangle

• Assessing added value

– Economic Profi t

– RAROC and Economic Value Added

1200–1300

Lunch1300–1630

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

• Benefi ts of capital management

– Risk strategies, diversifi cation, market

share, pricing

Foundations of Risk Management • A brief history of Risk Management

• The RICAP process

– Risk hunting and identifi cation

– Risk taxonomy

• Game on all issues covered during day 1

WEDNESDAY, NOVEMBER 4

0900– 0915

Brief recap0915–1200 Economic Capital Concepts

• Foundations of Economic Capital

– The seven guidelines

• Implementation steps

– Articulation with Basel Pillar 2

– Articulation with Finance/IFRS 9

Economic Capital Assessment • Steps to measuring Economic Capital

– Risk Capital as standalone risk

measure

– Economic Capital as Marginal risks

measure

• Measuring Credit Risk Capital

– Basel 2/3 formula analysis

– Credit Var and concentration

• Measuring market risks

– Balance sheet and trading risks

– Interest rate, FX, equity, spread and

other market risks

• Measuring operating and other risks

• Aggregating risks

– Managing inter risks correlations

1200–1300

Lunch1300–1630

Economic Capital in Practice • Expected results and interpretation

– Business models and risk profi les

• Articulating Economic and Regulatory

Capital

– Perimeters and severity level

– Risk coverage and methodologies

• Organization of the Economic Capital

team

– Required functions, committees and IT

support

• Benchmarks and review of banks

disclosures

Case study: Dexia • The rise and the fall: facts and fi gures

• Analysis and lessons

How to link risk, return and capital to maximize the bank’s value creation?


21

BANK CAPITAL MANAGEMENT – CAPITAL PLANNING, FUND TRANSFER PRICING AND RAROC

Lecturer: Jean-Bernard CaenAs a Policy Advisor within the consulting fi rm PRNS ‘parnass’ since 2014,

Jean-Bernard has been working on assignments for Financial Institutions in the

areas of risk-fi nance interactions, ALM, capital allocation, risk appetite and the

economic assessment of risks.

Before that, as Head of Economic Capital and Strategy for Dexia group for 12

years, he was in charge of Basel2 Pillar2 and Risk-Finance cooperation. He was

instrumental in working out and implementing Economic Capital as the internal

measure of risk. It was subsequently used in all risk vs. return processes across

the group, such as Risk Appetite, Risk Budgeting, RAROC and Capital Planning.

In 1990, Jean-Bernard founded the Management Consulting fi rm Finance &

Technology Management (FTM), which he ran for 12 years as the CEO. As such, he

directed numerous assignments for European Financial Institutions in the areas of

Shareholder Value, Risk Management, Capital Allocation and ALM.

He is a member of PRMIA France Executive Committee, of AFGAP Management Board, and he teaches

at the French National School of Economics and Statistics; he is also a senior lecturer and he published

numerous articles.

He is a French Civil Engineer and he graduated from MIT.

1200–1300

Lunch1300–1630

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 gameTermination of the Seminar and Evaluation

THURSDAY, NOVEMBER 5

0900– 0945

Economic Capital Exercise Review and Discussion0945–1200

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

refi nancing

22

CORPORATE CREDIT RATING SYSTEMS


We start with an overview and discussion of the three main types of credit rating systems: the Early

Warning systems, the Long-term Corporate (issuer) Ratings and ‚Master Scale‘-based Rating systems.

Particular focus is put on the uses and misuses of each of the three system types, including their

applicability to meet regulatory requirements, such as Basel III or IFRS 9, and their appropriateness to

address business-related objectives, such as risk-adjusted pricing or operational risk management.

We then take a closer look at the ‚Master Scale‘-based Rating systems. ‚Master scales‘ allocate a non-

overlapping range of probabilities of default (PD) that are stable over time to each rating class. The rating

methods for such systems need to produce accurate projections of the 1-year PD based on actually

observed defaults. Starting from ‚simpler‘ questions, such as what constitutes a default of a corporate

customer, how to handle groups of legally or economically related entities from a data management

perspective or how to build and maintain an appropriate historic record of defaults, we gradually dig into

the core quantitative modelling methodology. Covered topics include statistical analysis of Corporate

Balance Sheet KPIs, design and development of Integrated Rating Models based on quantitative factors

and qualitative assessments, and model validation techniques. Throughout this part of the course we give

practical advice and examples related to common challenges such as low default portfolios, missing /

incomplete data and input data outliers.

After this, we turn to the Early Warning systems, which help the bank to identify reliably upcoming defaults

or substantial credit risk increases of specifi c corporate customers on an ongoing basis. Customer

account behaviour variables and expert opinion play a critically important role in the risk differentiation

mechanics within such system, making the risk assessment a fully dynamic process. Building upon that,

we present a more comprehensive framework to assess the impact of observable factors, such as market

prices or macroeconomic indices, on the corporate customer‘s credit risk in a forward-looking manner.

Finally, we look at the Long-term Corporate (issuer) Ratings which express risk in relative rank order

(i.e. they are ordinal measures of credit risk) and are not predictive of a specifi c frequency of default. The

rating model development in this case needs to start from a specifi c industrial sector and only thereafter

to combine the multiple specifi c models unto a unifi ed rating scale. We briefl y present an example of

a Long-term Corporate Rating model within the healthcare sector and illustrate the process of mapping

the model‘s results to a generic rating scale, such as S&P or Moody‘s.

Throughout the entire course, we revisit the topic of IFRS 9 multiple times, highlighting the best practices

in applying the different types rating systems to comply with this new regulation. Covered topics include

the development of IFRS 9 staging criteria, the estimation of lifetime PD and the calculation of impairment

provisions.

Key points / questions answered:

• Which rating models are

appropriate for regulations

such as Basel III or IFRS 9?

• How to gather, structure and

maintain the data needed for

credit ratings of corporate

entities?

• How to handle data availability

and data quality challenges in

practice?

• Which statistical tools and

rating model development

practices are robust and

proven?

• Which innovative methods

might help the bank to

obtain forward-looking risk

assessments?

• How to create a rating system

that is useful for risk-adjusted

pricing in long-term corporate

customer-bank relationships?

The purpose of this seminar is to introduce you to the key methodologies to design, develop, calibrate and validate credit rating systems for corporate customers.


0900– 0915


Overview of the Credit Rating Systems • Corporate Customers: defi nition and

main characteristics

• The three main types of Credit Rating

Systems

• Relationship with regulatory

requirements

– Basel III: Internal Rating-Based

Approach

– ICAAP: calculation of Economic Capital

– IFRS 9: Expected Loss model

• Business process objectives

– Using ratings for risk-adjusted pricing

– Using ratings for operational

decision-taking

• Exercises and Q&A: how to approach the

IFRS 9 regulation

1200–1300

Lunch1300–1630

The Master Scale Ratings (continued) • What is a Master Scale?

• Defi ning the corporate entities to be

rated

– Groups of related customers

– Corporate structures and customer

account management over time

– Default defi nitions

• The Balance Sheet KPIs

– From Long List to Short List KPIs

– Handling of incomplete data

– Handling of outliers

– Quantitative Model development

– Model validation

• Integrated Rating Models

– Quantifi cation of qualitative

assessments

– Bringing in account behaviour

variables: pros & cons

– Low default portfolios

– Small sample sizes

• Exercises and Q&A: Master-Scale ratings

and their applications in IFRS 9

FRIDAY, NOVEMBER 6

0900– 0915

Recap0915–1200

Early Warning Systems • How to assess imminent credit risk?

– Corporate customer behaviour

variables

– Early risk identifi cation as an

organisational challenge

– Integrating expert opinions and

quantitative rating models

– Expected Loss vs Probability of

Default metrics

• How to obtain forward-looking credit

risk scores?

– Generic framework for incorporation

of additional observable variables

– Case Study: improving an Early

Warning system using market prices

– Case Study: implementing the IFRS 9

Expected Loss model

1200–1300

Lunch1300–1630

Long-term Corporate Ratings • Understanding ordinal risk

measurement

– Case study: Mapping internal ratings

to a Rating Agency scale

• Exercises and Q&A: Long-term

corporate ratings and their applications

in IFRS 9

Evaluation and Termination of the Seminar


23

Lektor: Dr. Krassimir KostadinovDr. Krassimir Kostadinov is founder of UniversalOwner, a boutique advisory services

fi rms focussing on quantitative risk management and banking software design,

development and implementation. Previously, he has held a position at an international

banking software house head-quartered in Luxembourg, where he was Head of the

Data Access and Valuation department.

Krassimir has multi-year experience in training, consulting and project management,

including implementations of risk management / reporting systems and internal

business processes for compliance to banking regulations such as Basel III and

IFRS 9. His approach to training involves explaining in detail and providing economic

intuition on the mathematical concepts that appear in the regulatory requirements,

as well as discussing data fl ows, system design and/or software tools appropriate

for practical implementation. He has done projects and held courses at multiple fi nancial institutions in 20+

countries on 3 continents. His most recent project was on the establishment of an innovative, data-driven and

independent credit rating agency.

Krassimir earned a Ph.D. in Mathematics from the Munich University of Technology, Germany. In his research,

he developed new statistical and computational methods for multidimensional fi nancial data aggregation and

applied them to measure risk from extremal events on the credit and fi xed income markets.

Target audience:The design, development and implementation of appropriate rating systems for corporate customers

require a broad mix of data-technical, quantitative modelling and fi nance/business skills. The course is

designed for the risk management team members who want to learn more about the current best practices

in the area. It is appropriate for professionals on junior, mid-senior and senior level working (or planning to

work) on projects such as corporate rating model development and (re-)calibration, model back-testing

and validation, IFRS 9 Expected Loss implementation, Basel III IRB Approach implementation or Business

Process Optimisation with focus on credit risk management for corporate customers. This includes

both the professionals from the banking group‘s headquarter, responsible for the set up and validation

of the global modelling framework, as well as the ones from the local/regional banks, responsible for

comprehensive local model calibration and related add-on projects.

For the participants with business background, all quantitative modelling techniques are presented

mainly through examples and without digging into theoretical details, therefore no advanced technical /

mathematical prerequisites are needed. The participants with mathematical / statistical background are

expected to have at least basic understanding of the classical types of fi nancial instruments used in

a bank as well as of the corporate fi nancial reports such as Balance Sheet and P&L.

CORPORATE CREDIT RATING SYSTEMS

24

INTEREST RATE PRODUCTS – MECHANICS, PRICING AND APPLICATIONS


This 2-day course offers a detailed analysis of the interest rate market, the products that

trade within it, and how they are used by traders, investors and companies.

On day one, we start with the basics of interest rates – how are they quoted, how are the levels

set and what drives movements in rates? We then look at the marketplace for debt products

focussing on the details of the money and bond markets. The course will help participants

understand how companies, banks and investors use these markets as well as covering the

technical details around pricing and risk management.

On day two we move our focus to interest rate derivative products. This section begins with

a look at the linear derivative products: FRAs, futures and swaps. We cover the intuitive

understanding of these products and the client applications, through to detail on the pricing

and risk management. Once we have laid the derivative foundations, we move onto option

products, including a look at exotic derivatives. Main option applications will be covered, and

participations will be introduced to option pricing and option risk. The course fi nishes with a

look at interest rate structured products, examining some of the investor favourites and asking

what makes them so appealing.

Who should attend?

Bank traders, salespeople, structurers

Bank market risk managers, middle offi ce and operations professionals

Investors – institutional investors, fund managers, private traders

Company treasury managers and staff, accountants, risk managers

Course methodology

The course consists of classroom-based training which combines formal teaching of concepts

and technical content, with individual and group exercises to reinforce learning points.

• The nature of interest, interest rate calculations and discounting methods

• The scope and structure of the bond market

• Bond pricing and risk management

• Interest rate derivative products – concepts and technical details

• Creating synthetic assets using interest rate swaps

• The risk of interest rate derivatives – measuring and managing

• The interest rate volatility surface and pricing approaches for interest rate options

• Interest rate exotics and structured products, and how they are used by traders and investors

MONDAY, NOVEMBER 23

0900–0910


Interest Rates • What is interest?

– What is interest compensation for?

– How to determine interest rates from

risk-free to high-risk

• Benchmark rates

– The use of central bank ‘risk-free’

rates

– IBOR benchmarks and future

reference rates

– How do central banks control the

interest rate environment?

• Interest rate maths

– Calculating interest cash fl ows

– What conventions does each currency

use?

– Dealing with simple and compound

interest

• Using interest rates to present value

future cash fl ows

– Which rate do we choose and why

does it matter?

Exercises: Interest rate calculations

Discounting and the choice of

discount rate

Debt Markets • The role of debt

– Why and how do companies and

governments borrow money?

– Debt versus equity – the corporate

fi nancing choice

– Issuing debt instruments – the role of

the Debt Capital Markets division in a

bank

– Who participates in the debt markets

and what is their motivation?

• Borrowing short-term debt – the Money

Markets

– Understanding the conventions and

pricing of money market instruments

1230–1330 Lunch1330–1700

Debt Markets (cont.) • Borrowing long-term debt – Bonds

– How do bonds differ from money

market products?

– Introduction to coupon, price and yield

– the way we measure bonds

– The relationship between price and

yield

– How to we measure the risk of a bond

investment?

• Financing using bonds – the Repo

market

– Using Repos to fund a bond

investment

– Borrowing bonds using Repos

• Creating a yield curve

– How do we defi ne a yield curve?

– What governs its shape and what

are the consequences of difference

shapes?

Exercises: Bond pricing

Repo calculations and forward bond

pricing

Interest Rate Derivatives • From cash markets to derivatives – what

changes?

• The concept of a forward interest rate

– Why do we need forward rates? Who

uses them?

– How might we develop a pricing

approach for forward rates?

• Derivative products relating to forward

rates

– Description of FRAs and Futures

– Look at the details of both and contrast

differences

– Understanding the convexity difference

between FRAs and Futures

TUESDAY, NOVEMBER 24

0900–1230

Interest Rate Derivatives (cont.) • Interest Rate Swaps – switching fi xed

interest for fl oating

– Who uses interest rate swaps and why?

– Creating synthetic assets using interest

rate swaps

– Bank asset and liability hedging using

tenor basis swaps

• Measuring the risk of interest rate

derivatives

– Managing a derivatives portfolio

– Defi ning and quantifying your risk

– The delta ladder – the risk position for a

derivatives trader

Exercises: FRA settlement calculations

Interest rate swap applications

Attend this 2-day training course and learn about:


25

INTEREST RATE PRODUCTS – MECHANICS, PRICING AND APPLICATIONS

1230–1330

Lunch1330–1700

Interest Rate Options (cont.) • Introduction to more complex option

types

– Bermudan options – the right to switch

the decision date

– Spread options – taking a position on

yield curve shape

– Digital options – binary outcomes

– CMS swaps – not really options, but

option-like

Exercises: Option pricing

Simple option risk management

Interest Rate Exotics and Structured Products • The world of interest rate structured

products?

– Who invests in structured products and

why?

– What are the driving forces behind

the popularity of certain interest rate

investment ideas?

• Simple interest rate structured products

– Capped FRNs, Callable Bonds, Reverse

FRNs

– How do the above work and what is the

investment idea?

• More complex products

– Range accruals, CMS-linked notes,

Autocallables, TARNs

– How do these products work and why are

they so popular?

Exercises: Analysis of common structured

products

Callable range accruals

Termination and Evaluation of the Seminar

Interest Rate Options • What are the types of options that exist

in the interest rate world?

– Caps, fl oors and swaptions – how do

they each work?

– Understanding the exercise decision

– Who uses interest rate options and

why?

• Developing a pricing approach for

interest rate options

– Using the standard Black-Scholes

approach – what adjustments do we

need to make?

– Understanding the interest rate

volatility surface and why it matters

• Hedging interest rate options

– What risk measures do interest rate

option traders use?

– How do you risk manage an option

portfolio?














26

INTEREST RATE RISK HEDGING WORKSHOP

DATES: November 25 –26, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online

This 2-day workshop offers a detailed analysis of the process of interest rate hedging, from

the measurement of risk through to detail on the products used to hedge.

On day one, we start with the basics of interest rate risk. How does it arise? How do we measure it? The workshop will look at how to quantify interest rate risk and the different measures popular with companies. During this section we will talk about how companies make the hedging decision and how they create a risk management policy. We also discuss dealing with banks – what’s in it for them and how do they manage the risk?

On day two we move our focus to the hedging products themselves with a detailed analysis of the different products available and what each one offers as a hedge. Participants will learn the products in an intuitive way but also be taught the important pricing and risk calculations for each one. The products will be assessed in aggregate and we will discuss the role of each one in a diversifi ed hedging portfolio. Once the products have been understood, the next section deals with how the valuation of the trade evolves over time, looking at the importance of yield curve shape in the valuation and future break costs. Next we look at the future of IBOR reference rates and the nature of their replacements.

The workshop fi nishes with a session analysing some real company hedging decisions and policies, bringing together all the knowledge gained over the two days to critique the approach taken by these companies to the job of interest rate risk management.

Who should attend?

Bank traders, salespeople, structurersBank market risk managers, middle offi ce and operations professionalsInvestors – institutional investors, fund managers, private tradersCompany treasury managers and staff, accountants, risk managers

Workshop methodology

The workshop consists of classroom-based training which combines formal teaching of concepts and technical content, with individual and group exercises to reinforce learning points.

• The nature and source of interest rate risk within companies and banks

• The hedging decision process including a look at how real companies decide how to hedge

• How to measure interest rate risk and quantify it using risk metrics and gap analysis

• Creating a risk management policy

• The spectrum of interest rate hedging products available to companies and their pros and cons

• The hedge lifecycle and the evolution of hedge valuation and break costs

• The futures of IBOR reference rates

WEDNESDAY, NOVEMBER 25

0900–0910


Interest Rate Risk and the Hedging Decision

• How does interest rate risk arise within

a company?

– How are companies fi nanced?

– Equity versus debt

– Why do commercial banks lend on a

variable rate basis?

– Why do companies usually want to

pay a fi xed rate?

• The market for fi xed-rate loans

– Why are fi xed-rate loans so rare?

– Is there still interest rate risk if you

have a fi xed rate loan?

• The corporate hedging decision – inside

the mind of the corporate treasurer

– How is risk identifi ed and quantifi ed?

– What are the pros and cons of

hedging?

– How much risk do we hedge?

– How does a typical company make

the hedging decision?

– Comparing to peers, does it matter

what they do?

• Dealing with banks

– What do banks get out of it?

– What happens to the risk once the

company has hedged?

– Understanding how banks profi tably

seek and manage risk on hedging

deals

Exercises: Corporate fi nancing decisions

Hedging discussion

1230–1330

Lunch

1330–1700

Interest Rate Measuring and Managing

• How do we measure interest rate risk?

– Description of quantitative measures

of interest rate risk

– Duration and DV01

– Duration gap analysis

• How can we forecast cash fl ows and

expected debt requirements?

– Cash fl ow statement forecasting

– Stress-testing our cash fl ow forecasts

• Macro hedging

– Creating a risk management policy

• Managing the structural impact of low/

high interest rates

Exercises: Interest rate exposure calculation

Building a simple cash fl ow

statement forecast

Interest Rate Risk Hedging

• What are the hedging products

available?

– Pros and cons of different hedging

choices

– Plotting the future scenarios

– Linear products versus option

products, how do we strike the right

balance?

– When is it a hedge and when is it not?

– Balancing the fl oating-rate and fi xed-rate

mix

• Using FRAs and swaps to hedge

– Understanding the pricing and the

settlement of the hedging product

– Aligning dates and amounts


0900–1230

Interest Rate Risk Hedging (cont.)

• Using an option-based hedge

– Paying a premium or constructing

a zero-cost combination?

– Using exotic options – how do we

balance fl exibility and complexity?

• Flexible hedges

– How can we construct a hedge for a

variable debt amount?

– Using variable notional swaps – how are

they constructed and priced?

• Bringing the products together

– Examination of the full spectrum of

interest rate hedges available

• Other hedging issues

– Appropriateness and suitability rules

Analysis of previous bank mis-selling

cases

– Hedging accounting under IFRS9 – why

does it matter?

Reporting of hedge P/L

Exercises: Liability hedging using derivatives

Using full and partial hedges

Attend this 2-day training workshop and learn about:


27

INTEREST RATE RISK HEDGING WORKSHOP

1230–1330

Lunch

1330–1700

The Future of IBOR Reference Rates

• What is the future of IBOR reference

rates?

– If they are being replaced, what are the

replacement rates?

– The new Risk-Free Rates (RFRs)

• How do the new RFR rates work?

– How is interest calculated?

– How do we create a term rate to

replace IBOR?

• How will the replacement of IBOR effect

corporate hedging?

– Timing issues between loan and

derivative hedging rates

– Legal and accounting risks

Exercises: Interest rate calculations using RFRs

Dealing with legacy IBOR contracts

Analysis of Real Company Hedging

Decisions

In this session, we analyse some real

company interest rate hedging decisions

and hedging policies. Participants will be

given some company annual reports and

asked to fi nd evidence of interest rate

risk calculations and risk management

policies. Participants will be invited to

draw conclusions on the logic behind the

hedging policy and the hedging products

chosen.

Termination and Evaluation

of the Workshop

Hedge Lifecycle

• How to deal with changing

circumstances?

– Using rolling hedges

– Pre-hedging known future exposures

• Evolution of hedge P/L

– What effect does the shape of the

yield curve have?

– Dealing with curve roll down and

negative carry

• Breaking the hedge – what happens

when the hedge is no longer needed?

– How do banks compute break costs?

Exercise: effect of yield curve shape on

carry and break costs














28

COUNTERPARTY CREDIT RISK


An overview of the evolution of OTC Central Clearing, regulatory initiatives, and the implications for the risk landscapeThis course is intended to provide an appreciation of central counterparty clearing particularly in relation to the clearing of OTC derivatives. Particular focus will be given to regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following the fi nancial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in response to the regulatory challenge, in particular: the margin requirements; auction processes; loss allocation methods and of course capital requirements.The course will also look at the evolution of central clearing and the impact on risk that CCPs may have in future crises, both positive and negative, particularly in relation to counterparty credit risk, XVAs and systemic risk.The course is intended particularly for risk managers, traders, regulators and anyone involved with clearing systems.

Key Benefi ts Include:• Strictly limited numbers on a fi rst come, fi rst accepted basis • Practical exercises to support the sessions • Receive an electronic copy of the trainer’s presentation prior to the courseQuote: How to manage exposure to CCPs is amongst the biggest unknowns in today’s fi nancial system

• CCP margin frameworks • The default management process• The loss allocation waterfall• Key issues including: direct clearing,

indirect client clearing, portability, segregation

• Other related counterparty risk mitigation tools and their limitations

• Systemic risk and extreme tail risk• Can a CCP fail? Some historical examples• Stress Testing a CCP and a recovery and

resolution plan• The risk transformations CCPs generate

and implications for XVA• Capital requirements for exposures to CCPs• The background and evolution of central

counterparty (CCP) clearing


0900– 0910

Welcome

0910–1230

Introduction • What is Central Clearing

• How does a CCP Work?

• Direct clearing, client clearing and

indirect clearing

• Margining

• Default management process

• Loss mutualisation

• Regulatory response to the 2008

Financial Crisis

A closer look at Margining • Variation Margin

– Obtaining prices for OTC products

• Initial Margin

– SPAN

– VaR and Expected Shortfall

– Stressed Loss Add-Ons

– SIMM

• LCH, CME and EUREX

• CDS clearing at ICE

• Segregation of collateral

1230–1330

Lunch

1330–1700

A closer look at The Default Management Process • Declaring a default

• Macro Hedging

• The Auction Process

• Client Portability

A closer look at Default Funds • Sizing the default fund

• Allocating the default fund to clearing

members

• Default Fund versus margining

Loss Allocation • The CCP waterfall and the “defaulter

pays principle”

• Loss allocation methods

– Powers of Assessment

– Default Fund tranches

– Variation Margin Gains Haircutting

– Trade tear-up

– Forced Allocation

– IM haircutting, novation to other CCPs,

reversion to bilateral trades,

CCP wind-up

Client Clearing • The client clearing models – clearer or

client?

• Portability

• Segregation of collateral – Omnibus or

ISA accounts – LSOC and EMIR

FRIDAY, NOVEMBER 27

0900–1230

Can a CCP fail? • Some historical examples – including

Nasdaq’s Nordic power market

• Extreme tail risk and systemic risk

• Stress Testing a CCP

• Recovery and Resolution of a CCP

• Risk Transformation, the effects a CCP

has on the risk landscape

• Findings from CPMI/FSB/IOSCO/BCBS/

ESMA/ISDA

LCH • Evolution

• Conundrums

• SwapAgent

Overview of Counterparty Risk • The nature of Counterparty risk

• Mitigation methods

• How does a CCP help?

– Netting

– Trade Compression

– Margining/default Funds

– Standards for clearing members

– Legal certainty

– Default Management Procedure

xVA • CVA: Credit Valuation Adjustments

• DVA: Debit Valuation Adjustments

• BCVA: Bilateral CVA

• FVA: Funding Valuation Adjustments

• MVA: Margin Valuation Adjustments

• KVA: Capital Valuation Adjustments

• ColVA

1230–1330

Lunch

1330–1700

Capital Requirements for exposures to a CCP • Earlier regulatory proposals

• BCBS 282

– Trade exposures

– Default fund contribution capital

requirements

• CCP Basis Risk

• Calculating EAD for regulatory capital

– CEM

– Standardised Approach for

Counterparty Credit Risk (SA-CCR)

– IMM

CCP Basis Risk

Evolution of Clearing • Early trading and clearing platforms

• Complete and incomplete clearing

• The ETD and OTC derivative markets

• The 2008 crisis

• Political and regulatory responses,

IOSCO and the G20Clearing Mandate,

Dodd Frank, EMIR, OTC regulation,

Basel III, IFRS13

Objective is for participants to gain an appreciation and understanding of the following topics:


29

COUNTERPARTY CREDIT RISK


30

TERMS AND CONDITIONS OF THE MONECO FINANCIAL TRAINING

WAYS TO REGISTER

Fax: Web: E-mail: Post mail:+420 541 219 735 https://www.moneco.com [email protected] MONECO Ltd.

Gorkeho 1, CZ-60200 Brno

Czech Republic, Europe

MONECO Financial Training

MONECO Financial Training offers a comprehensive programme of English-language seminars, trainings and practical

workshops lectured by qualifi ed tutors. Our objective is to provide the industry professionals with advanced fi nancial know-how

and up-to-date analytical methods and skills.

MONECO Financial Training is registered trade mark of MONECO, Ltd.

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SEMINAR VENUE AND ACCOMODATION

The bulk of the MONECO seminars are traditionally held at the international four-star NH Prague City hotel in Prague, Czech

Republic. Accommodation is not included in the seminar price, but upon request we are happy to offer you hotel reservation at

special discounted prices for our valued clients. It does not apply to online participation in seminars that take place on the Internet.

TUITION LANGUAGE

Seminar tuition, all manuals, training software etc. are in English language. Therefore, in order to benefi t from participation,

at least a passive knowledge of English, including common fi nancial phrases and related terminology, is required.

REGISTRATION

Clients who decided to participate, should submit us in advance a registration for a particular seminar (letter, fax, internet etc.).

Subject to availability, the participant will then receive a confi rmation of participation. The number of participants is always

strictly limited in order to secure an effective and focused learning environment.

SEMINAR PRICES

The quoted seminar prices are per person and include all the training manuals, lunches and refreshments, certifi cation diploma

in English and selected software solutions used at the seminar. The food is not provided in case of online participation. The price

does not include hotel accommodation. Quoted prices are exclusive of local VAT (21 %). “Bundle” prices represent the total fee for

participation in mutually related seminars (i.e. “Bundles 3+2, 2+3, 2+2, 3+1, 1+3, 1+2+2 and 2+2+1”). “Bundle” prices are provided

in the Calendar of the MONECO Finacial Training seminars

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Bulk discounts are offered when submitting an application for the participation of more than one person. A 10 % discount is

offered when at least two participants from one company register for a seminar or one participant registers at once for two or

more seminars. The discounts do not apply for “bundle” prices, and prices for online participation, as these already represent

discounted prices.

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An invoice for the seminar price will be sent to the participants no later than 10 working days prior to the beginning of the

seminar. Full payment of the invoice must be made before the start of the seminar as a precondition of participation.

TERMS OF CANCELLATION

If for whatever reasons a registered participant is unable to attend, a substitute delegate may be appointed to participate

instead. For cancellations received 20 days or more before the beginning of the seminar, a 10 % cancellation fee of the full

price will be invoiced i.e. 90 % of the price is refunded. For cancellations received less than 20 days prior to the beginning

of the seminar, the full price is payable i.e. no refund will be provided. All cancellations must be in writing. The organizers of

the MONECO Financial Training courses reserve the right to cancel the individual participation or cancel the entire seminar

or part of it for whatever unspecifi ed reasons, including possible force majeure. In this case, the price paid will be refunded

in full or in part, according

ZÁVAZNÁ PØIHLÁŠKA REGISTRATION FORM

Please, complete the registration form in capital letters and fax it to +420 541 219 735

Date: Signature:

PARTICIPANTS

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COMPANY

Name:

Approving Manager:

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Tax Registration No.: VAT Identifi cation No.:

• Counterparty Credit Risk November 26 – 27, 2020

• Interest Rate Risk Hedging Workshop November 25 – 26, 2020

• Interest Rate Risk in the Banking Book September 21 – 22, 2020

• Central Counterparty Clearing October 12 – 13, 2020

• Responsible Investing: How to get it right? November 2 – 3, 2020

• Bank Asset-Liability Management September 8 – 10, 2020

November 23 – 24, 2020• Interest Rate Products – Mechanics, Pricing and

Applications

November 5 – 6, 2020• Corporate Credit Rating Systems: Design,

Development, Calibration and Validation

October 14 – 15, 2020• Reform of Interest Rate Benchmarks: Transition

to a World without IBORs

November 3 – 5, 2020• Bank Capital Management – Capital Planning, Fund

Transfer Pricing and RAROC

October 14 – 15, 2020• Stress Testing – Quantitative Techniques, Regulatory

Framework and Practical Use in Risk Management

6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1 6 5 3 1 5 6 4 6 9

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1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4

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