Tag archives for Economic Capital

Finance Training Course – Course Outline – Basel II – Myths, Challenges and Question Marks

10th January 2011 by under Training Course Outlines     

Designed as a senior management retreat on Basel II, this limited seating, one day workshop serves as a 6 hour crash course on Basel II for Chief Executives, Chief Financial Officers, Country Risk Officers, Credit Administration Heads, Treasury Heads, Basel II Coordinators and Board Risk Committee members.

1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

What are Basel II implications for capital allocation, profitability measurement… Premium Courses Treasury Crash Course - Package$249.99Corporate Finance – First Course – Includes case study$17.49Calculating VaR – EXCEL Example$13.99Heath Jarrow Merton (HJM) Interest Rate Model - Package$130.00

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Finance Training Course – Course Outline – Economic Capital, Limit Management & Basel II: Application and Practice

10th January 2011 by Admin under Training Course Outlines     

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…

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Finance Training Course – Course Outline – Internal Capital Adequacy Assessment

10th January 2011 by Admin under Training Course Outlines     

Serves as an introduction to the internal capital adequacy assessment framework being proposed by the central bank as outlined in the Basel II revised framework.1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

What is the ICAAP framework and how is it applicable to the local market? How do we extend stress testing to capital adequacy, economic capital and capital charge calculations? What is the business case… Premium Courses Basel & ICAAP - Package$125.00Interest Rate Simulation Crash Course - Package$199.00Option Pricing using Binomial Trees$199.00Quant Crash Course$199.00

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Finance Training Course – Course Outline – Probability of Default Models: Beyond Regulation

10th January 2011 by Admin under Training Course Outlines     

Serves as a Probability of default (PD) calculation refresher as well as reviews intermediate topics and implementation issues related to Probabilityof default models.

1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

Compare key methods used for PD calculations and work with them. Apply these methods within the local environment. Work with statistical test of significance to identify and drive key patterns. Link PD calculation with internal rating, facility… Premium Courses Forward Prices, Forward Rates and Forward Rate Agreements (FRA) - EXCEL Example$24.99Basel & ICAAP - Package$125.00Derivatives Terminology Crash Course$7.99Credit Analysis - Financial Institution - EXCEL Example$29.00

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Finance Training Course – Course Outline – ICAAP – Implementation and Challenges

10th January 2011 by Admin under Training Course Outlines     

Serves as a guide to Internal Capital Adequacy Assessment framework implementation with a focus on the calculations required behind thereporting format.

1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

What is really required in implementing the ICAAP framework at your bank? How do we extend stress testing to capital adequacy, economic capital and capital charge calculations? What are some of the possible options for evaluating strategic risk? How… Premium Courses Setting Limits – EXCEL Example$19.49How to construct a Black Derman Toy Model in EXCEL$29.00Calibration of CIR Model – EXCEL Example$39.99Derivative Products$11.49

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Finance Training Course – Course Outline – Value at Risk

8th January 2011 by Admin under Training Course Outlines     

This intermediate level workshop serves as a Value at Risk refresher and reviews intermediate topics and implementation issues related to Value at Risk.

1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

Assess the impact of methods and parameter choices on VaR number. Translate VaR numbers into capital charge requirements. Evaluate the magnitude of capital savings or additional capital requirements by comparing standardized approach capital charge with VaR… Premium Courses Credit Analysis – First Course$11.99Setting Counterparty Limits$69.00Pricing Interest Rate Options – Module III$14.49Derivatives Terminology Crash Course$7.99

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ICAAP: Stress Test: Liquidity Risk

14th December 2010 by Admin under ICAAP, Middle Office, Middle Office and VaR     

In this post we will be covering some of the ways in which liquidity risk may be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying liquidity and interest rate shocks to the assets and liabilities of the bank.

Simple Sensitivity Analysis Liquidity shocks

The stress test for liquidity risk evaluates the resilience of the banks towards the fall in liquid…

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ICAAP: Stress Test: Market Risk

14th December 2010 by Admin under ICAAP, Middle Office, Middle Office and VaR     

In this post we will be covering some of the ways in which market risk can be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying interest rate and equity shocks, as well as Worst-Case MTM Stress Tests.

Simple Sensitivity Analysis Interest Rate Shocks

MTM positions are assessed for fixed income portfolio by assuming various shifts in the yield curve.  The…

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ICAAP: Credit Risk: Stress Test: Profitability Analysis Stress Test

14th December 2010 by Admin under ICAAP, Middle Office, Middle Office and VaR     

As part of the stress testing procedures of the bank’s Internal Capital Adequacy and Assessment Process (ICAAP) we will be looking at how shocks are applied to various elements of the original profitability analysis to determine their impacts on the profitability of the bank’s loan portfolio.

Profitability Analysis Stress Test

The profitability will be stress tested by applying shocks to various elements of the profitability analysis as described earlier. The impact…

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ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test

14th December 2010 by Admin under ICAAP, Middle Office, Middle Office and VaR     

In this post we discuss one way of stress testing a rating grades transition matrix. The stressed transition matrix will then be used in the other credit risk quantification calculations. The revised results will be compared to the original credit risk quantification calculations to determine the impact of the stress test.

How to stress the transition matrix

The transition matrix stress test is based on a sector wide or industry wide…

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