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.
1. COURSE OBJECTIVES
At the end of this workshop the 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.
2. TRAINING COURSE LEVEL
Intermediate and advance users.
3. TRAINING COURSE PREREQUISITES
Comfort with basic mathematics, numbers and excel familiarity with credit, market and capital adequacy concepts is also recommended.
4. COURSE OUTLINE
|Session & Title||Topics|
|Session 1 –|
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.
|Session 2 – 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.
|Session 3 – 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.