The Economic Capital debate triggered by Basel II requires a mind shift that needs to flows all the way down to current limit management frameworks. Simply extending the existing structure does not lead to full compliance or value creation. The objective is to introduce active capital management and monitoring tools and apply them in a local market setting in line with the Basel II guidelines.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
- Differentiate between various capital management and monitoring tools.
- Design tiered risk limit systems in line with market risk policies.
- Evaluate the impact of risk limits on performance benchmarks.
- Create exception tracking mechanisms.
2. TRAINING COURSE LEVEL
Advance users. This advance level workshop is aimed at individuals responsible for capital allocation and management within banks, insurancecompanies and mutual funds. This would include group heads for risk, treasury, finance and strategic initiatives.
3. TRAINING COURSE PREREQUISITES
Familiarity with Value at Risk, economic capital, local markets, portfolio management concepts and the Basel II framework.
4. COURSE OUTLINE
| Session & Title | Topics |
| Session One – 9 concepts in 90 minutes | Introduction.Course objectives.
Format.Economic capital. Regulatory and internal capital guidelines. Active Capital Management toolkit. RAROC defined. Performance measurement benchmarks.Limit monitoring tools. |
| Session Two – LimitManagement Framework | A market risk case study. |
| Session Three – LimitManagement Framework II | A market risk case study – continued.Review, lessons learnt, wrap up and closure. |