Предложение от
Financial Technology Transfer Agency
по организации факультативных семинаров
в рамках дисциплины «Управление финансовыми рисками в
коммерческом банке»
магистерской программы НИУ ВШЭ по направлению
«Финансы»
Резюме предложения
Тема семинара
Количество
аудиторных часов
Предлагаемые даты
проведения
Семинар 1
Семинар 2
Basel II/III
Operational Risk Management
24 ак.ч.
16 ак.ч.
28-30 апреля 2014 г.
29-30 мая 2014 г.
Сертификация
Участникам выдаются сертификаты при условии
присутствия на 75% семинара
Язык
Английский
Английский
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Программа семинара Basel II/III
День 1
День 2
День 3
1. Introduction: risk types; risk taxonomy of a
financial conglomerate
2. From Basel I to Basel II: Basel I + amendment
96 (intro Market Risk: definition, approaches,
calculations)
3. Basel II: overview of framework
- Pillar 1: minimum capital requirements
- credit risk: standardised & internal ratings
based approach (IRB-formula + parameters)
- operational risk: BIA, Standardised and AMA:
event types, scenario’s, model development, risk
allocation
- Pillar2: Supervisory review: why, principles,
home – host, organisation
- Pillar 3: Market discipline: why, how, trade-off
between materiality, propriety and
confidentiality
4. Implementation of Basel II
- Different timings of implementation worldwide
+ phased approach + impact
- CDS hedging under Basel I and Basel II
- Credit Risk Model Development & validation
- Application process + migration of portfolio’s
from Standardised to IRB approach
- Pro-cyclicality of IRB formula & credit crunch
- Operational Complexity
- Model Risk: “The dog and the frisbee”
- Good-use examples: risk and capital
monitoring; Basel II explain
5. Why could Basel II not prevent the financial
crisis that started in 2007/2008
6. How to create a financial crisis of
global scale & uniqueness of the
crisis
7. Reasons for the crisis: different
stakeholders involved (regulators,
supervisors, financial institutions,
rating agencies, governments)
8. Lessons learnt: overview of
adjustments to the Basel II
framework:
9. Basel II.5
- Recap VAR + weaknesses of VAR
- Tail VAR and Expected Shortfall
- Review of framework: Stressed
VAR, IRC, securitisation, CRM
- Impact of Basel II.5 on market Risk
RWA
- Stress Testing – stressed VAR
- Model Risk + back testing + “The
dog and the frisbee”
- Examples: e.g. “The London
Whale”
10. Basel III overview
- Solvency aspects: definition of
capital, RWA calculation & min.
solvency ratio (buffers)
- Liquidity: LCR and NSFR +
examples
- Leverage ratio: definition (from
back-stop to front-stop)
- On-going discussions related with
Basel III
- Timing of implementation: phased
approach – theory versus practice
11. Impact of Basel II.5 & Basel III on
profitability (ROE) & Business models of Banks
12. Basel Framework and EU- CRD / CRR &
Dodd-Frank Act
13. Economic Capital
- Definition: ECAP, REGCAP and Rating
Agencies Capital
- ECAP versus REGCAP: time horizon,
confidence level, correlations,
diversification
- Calculation of Economic capital:
principles, aggregation and allocation
methods (example: zoom on Credit Risk
ECAP calculation)
- Application of ECAP: context of Basel II Pillar II; capital monitoring; performance
measurement (RAROC)
- Zoom on RAROC: Definition,
Advantages – disadvantages, Level of
application, Review of RAROC level after
the crisis
14. Food for thought: High Frequency
Trading
- Shadow Banking
- Bonus debate
- Deposit Guarantee Scheme
- Living wills
- Asset Quality Review
- Other
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Преподаватель: Ruben Olieslagers
PROFESSIONAL EXPERIENCE
CORPORATE INVESTMENT BANKING (CIB BNPP): March 2008 – Today
October 2012 – Today: Head of Capital & Business Management, CIB Methodology & Fin. Control
•
Migration of Gulf Countries & CBE Light Branches to IRB-Approach
•
Financial control and process improvement of the capital chain
•
“Basel III Client Consultancy Tool” (Innovation Award BNP Paribas Fortis 2013)
•
Assessing the impact of new regulatory developments
•
Different training and communication projects related to regulatory changes
March 2008 – 2012: Capital & Business Manager – CIB Resource and Portfolio Management
Integration projects, capital monitoring, portfolio management, process management, Basel capital developments, operational
permanent control, compliance.
GROUP RISK MANAGEMENT (FORTIS): July 2001 – February 2008
March 2007 – Feb. 2008: Basel II Communication – Program Manager: towards local CRO’s and other stakeholders (Press, Investor
Relations, Rating Agencies, Comité van Beheer, large clients).
September 2006 – February 2007: Group Credit Portfolio Management - Global Program Manager
January 2005 – September 2006: GRM - Chief of staff
July 2001 – Dec. 2004: Head of Group Capital Modelling, Research and Model Validation
•
Responsible for internal validation of risk models
•
Solvency II – closely involved in discussions with European Commission & CRO Forum
•
Implementation of Group Risk Capital framework & Group Solvency
EDUCATION
MBA – FSI Financial Services and Insurance (Sept. 2004 - June 2006)
Master in Finance – ULB Solvay Business School (1992-1994)
Master of Science in Engineering - Leuven (1986-1992)
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Семинар Operational Risk Management
День 1
День 2
1. Overview of risk management
- Objective and scope of modern risk management
- Deregulation, consolidation and liberalization
- The financial crisis and its lessons
4. Operational risk identification
- Process mapping
- Risk mapping
- Developing a cartography of risks
2. Key issues in operational risk
- What is operational risk
- A day in the life of an operational risk manager
- The operational risk function
- Relationship with Internal Audit, Compliance and
Business Continuity
- The operational risk policy
- The new product approval process
5. The measurement and reporting of operational risk
- Historical data
- The business and control environment: the Key Risk
Indicators (KRIs)
- Scenario analysis and stress testing
- Reporting to board and top management
- Issues in operational risk capital modelling
- Validation of Advanced Measurement Models
- Managing extreme risks
3. The regulatory environment
- Regulation overview
- Risk capital
- The Basel Accord
- The new landscape of prudential regulation
6. Management and infrastructure
- Software selection and implementation
- The future of operational risk management
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Преподаватель: Sergio Scandizzo
PROFESSIONAL EXPERIENCE
EUROPEAN INVESTMENT BANK
2001 – Today: Deputy head of Division
PRICEWATERHOUSECOOPERS
1999-2001: Principal Consultant
CANADIAN IMPERIAL BANK OF COMMERCE
1997 – 1999: Senior manager
EDUCATION
Master of Business Administration - Indiana University – Kelley School of Business (1995 – 1997)
Membership of Professional Bodies: GARP. PRIM
PUBLICATIONS / COURSES
2008, “An Operational Disaster”, Operational Risk & Compliance, June 2008, Volume 9, Issue 6.
2008, “Rethinking (Operational) Risk Management”, OpRisk & Compliance, July 2008, Volume 9, Issue 7.
2008, “Validation & Use Test in AMA: A Roadmap to Successful Implementation”, RISK Books, London
2007, “The Operational Risk Manager’s Guide: Tools and Techniques of the Trade”, RISK Books, London
editor), Risk Books, London.
2006, “Scenario Analysis in Operational Risk Management”, in “The Advanced Measurement Approach to Operational Risk” (Davis E.
editor), Risk Books, London.
2005, “Risk Mapping and Key Risk Indicators in Operational Risk Management”, Economic Notes, vol.34, N. 2-2005, pp.231-256.
2003, “Connectivity and the Measurement of Operational Risk: An Input-output Approach”, Soft Computing, Volume 7, N. 8, pp. 516-525.
2003, “Mark up the scorecard”, Operational Risk, December 2003, Vol. 4, Issue 12 (co-author).
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