Предложение отFinancial Technology Transfer Agency

по организации факультативных семинаров

в рамках дисциплины «Управление финансовыми рисками в коммерческом банке»

магистерской программы НИУ ВШЭ по направлению «Финансы»

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Резюме предложения

Семинар 1 Семинар 2Тема семинара Basel II/III Operational Risk

Management

Количество аудиторных часов

24 ак.ч. 16 ак.ч.

Предлагаемые даты проведения

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 31. Introduction: risk types; risk taxonomy of a financial conglomerate2. 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 explain5. 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 crisis7. 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 Banks12. Basel Framework and EU- CRD / CRR & Dodd-Frank Act13. 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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PROFESSIONAL EXPERIENCECORPORATE 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 changesMarch 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 staffJuly 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 SolvencyEDUCATIONMBA – 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)

Преподаватель: Ruben Olieslagers

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Семинар Operational Risk Management

День 1 День 21. Overview of risk management- Objective and scope of modern risk management- Deregulation, consolidation and liberalization- The financial crisis and its lessons 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

 3. The regulatory environment- Regulation overview - Risk capital - The Basel Accord- The new landscape of prudential regulation

4. Operational risk identification - Process mapping- Risk mapping- Developing a cartography of risks

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 6. Management and infrastructure- Software selection and implementation - The future of operational risk management

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PROFESSIONAL EXPERIENCEEUROPEAN INVESTMENT BANK2001 – Today: Deputy head of DivisionPRICEWATERHOUSECOOPERS1999-2001: Principal ConsultantCANADIAN IMPERIAL BANK OF COMMERCE1997 – 1999: Senior manager

EDUCATIONMaster of Business Administration - Indiana University – Kelley School of Business (1995 – 1997)Membership of Professional Bodies: GARP. PRIM

PUBLICATIONS / COURSES2008, “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, London2007, “The Operational Risk Manager’s Guide: Tools and Techniques of the Trade”, RISK Books, Londoneditor), 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).

Преподаватель: Sergio Scandizzo