This intermediate level workshop serves as a guide to Internal Capital Adequacy Assessment framework implementation with a special focus on treasury, market risk and counterparty limits.
Internal Capital Adequacy Assessment and Treasury Risk Workshop Learning objectives
At the end of this workshop, participants will be able to:
- View trends from a much broader perspective, in general the practical as opposed to the quant/ data way to view distributions (effectiveness, behavior, relationships).
- Evaluate what happens when model price match market prices, especially in illiquid markets.
- Understand the difference between economic capital, regulatory capital and loss capital.
- Link Value at Risk limits to Stop loss limits and linking stop loss limits to book size and risk appetite.
- Review calculations of Potential Future Exposure (PFE) and Pre-Settlement Risk (PSR) for derivative products and make these numbers work for counterparty limits.
About Internal Capital Adequacy Assessment and Treasury Risk Workshop location and facilities
This enchanting 4-star picturesque resort is sprawled over 13 acres of land, fronting on one of Langkawi island’s finest beach, Pantai Tengah. Famed for its UNESCO geopark status, a holiday or business conference at Langkawi island promises a host of memorable adventures.
Internal Capital Adequacy Assessment and Treasury Risk Workshop Training Level:
Intermediate and advance users. In addition to comfort with basic mathematics, numbers and excel familiarity with credit, market and capital adequacy concepts is also recommended.
Internal Capital Adequacy Assessment and Treasury Risk Workshop Course Outline:
ICAAP – All you ever needed to know in less than 90 minutes.
Overview and introduction.
Key terms and concepts.
Economic Capital and Dynamic Solvency Testing models.
Value at Risk – Market Risk
Fixed Income, Foreign Exchange, Capital Markets, Derivatives.
Worst case losses, Worst Case Shocks.
Value at Risk calculation review using VaR for ICAAP.
Applications to Capital Management, Capital Allocation and Limit setting
Limit Management and the Value at Risk framework.
Understanding PSR and PFE. Integrating Value at Risk (VaR) with Stop Loss limits.
Setting limits for MM, FX and Equity products.
PSR and PFE limits for counterparty risk.
Jawwad Farid is the founder and CEO of Alchemy Technologies, an enterprise risk practice that builds and deploys risk, treasury, ALM, ICAAP, market and credit risk platforms. He is a Fellow Society of Actuaries (Chicago), a MBA from Columbia Business School (New York City) and a computer science graduate. During the last 18 years, he has worked as a consultant in North America, Pakistan and the United Kingdom with a number of blue chip clients including Hartford Life, Aegon, American General, Goldman Sachs, ING, Manu Life, Safeco, Merrill Lynch, Met Life, Sun America, Nationwide, Phoenix Life, Sumitomo Mitsui Bank, Sun Life of Canada, Pacific Life, AllState, Fidelity Investments, Transamerica, Skandia, GE Financial Assurance, Lincoln National, Ohio National, AXA Equitable and Washington Mutual Bank.
Jawwad’s core areas of expertise include Asset/Risk Management, Investments, Product Development and the Financial Services Back Office. Jawwad blends a rare combination of risk management, information systems, international standards, business and product development skill set side by side with his actuarial expertise. His regional client list includes Asian Development Bank, First Gulf Bank, Riyad Bank, Dubai Islamic Bank, Noor Islamic Bank, Dubai Bonds, Deutsche Bank, State Bank of Pakistan, National Bank of Pakistan, Muslim Commercial Bank, Crescent Commercial, MyBank, Dawood Islamic Bank, KASB Bank, United Bank Limited, Pak-Kuwait Investment, Saudi Pak Commercial Bank, ABN AMRO, InvestBank, Invest Capital Markets, State Life Insurance, Dawood Family Takaful, Asia Health Care, Adamjee Insurance, Shell Pakistan, International General Insurance and Securities and Exchange Commission of Pakistan. Jawwad is also a regular contributor to the Learning Corporate Finance portal as well as on the SP Jain platform where he teaches courses on Entrepreneurship, Risk Management and Derivative pricing to executive MBA students in Dubai and Singapore.
Jawwad’s expertise includes:
- Appointed actuary.
- ALM, Liquidity Management and ICAAP.
- Risk based capital, investment and portfolio optimization strategies.
- Fixed Income, Foreign Exchange and Commodities (Oil) research.
- Basel II market, credit and operational risk management framework.
- Probability of Default modeling and Days Past Due analysis.
- Centralized or distributed Middle & Back office design, review, integration, assessment and deployment for banks, brokerage, mutual funds, and insurance companies.
- Derivative pricing, application and usage.
- Valuation of contingent products, benefits and solutions in investments, portfolio management, life insurance, general insurance, finance and risk.
- Development and conduction of individual and institutional skill development & capacity building programs.
For more details, pricing, registration and multi nomination discounts please contact:
M. Shakila – [email protected]
Leonard – [email protected]
Jawwad Farid – [email protected]
623, Block B, Mentari Business Park
Jalan PJS 8/5, Bandar Sunway
46150 Petaling Jaya,
Selangor Darul Ehsan MALAYSIA.