Enterprise Risk Management

This Euromoney Training course will provide you with an overview of the key elements involved in constructing and executing an effective enterprise risk management (ERM) system. Starting with organisational concerns surrounding corporate governance and transparency, the course provides the tools necessary for using risk management as a transparency-enhancing mechanism. This is especially valuable for entities that are publicly listed or wanting to become publicly listed. The course will cover the essential elements required for risk-based pricing (credit, market and operational risk assessment) and will demonstrate with examples at both the senior management and technical implementation level. You will cover the tools related to establishing effective capital allocation and hedging strategies. Key Basel II, IFRS and Sarbanes- Oxley compliance issues are discussed as they relate to financial and non-financial firms concerned with an enterprise risk management programme. How will this course assist you? A general alchemy for implementing ERM based upon industry examples Essential technical and non-technical elements necessary for establishing the ERM programme “from the top” and implementing it from below Key line management elements related to establishing and utilizing risk-based pricing with respect to market, credit and operational risk exposures How to set and execute portfolio management objectives along with allocating portfolio capital How to utilize essential risk-transfer mechanisms including financial derivatives, credit derivatives, synthetic securitizations and operational risk insurance within an ERM framework Essential risk-analytic components associated with developing internal models of market, credit and operational risk that support risk-based pricing, risk-transfer and transparency Data concerns in respect to managing inputs to risk-analytic models as well as the control of information internal to the organization Key issues surrounding the management of stakeholders within the ERM environment Who Should Attend? This course is geared towards senior personnel from financial institutions and large, nonfinancial institutions, this includes: CEOs, CFOs Chief Risk Officers Risk Managers Risk Analyst Auditors Accountants IT Personnel
Day 1 Registration commences at 8:30 Programme runs from 9:00 - 5:00 daily Introduction and overview: establishing enterprise risk management objectives The motivation for ERM: inside and outside Outside motivations Basel II, Sarbanes-Oxley and IFRS compliance issues as they relate to companies Inside Motivations Profitability and transparency benefits Examples from the Basel II realm Hurdles to ERM establishment and implementation High-level difficulties Senior-management buy-in Conglomerate nightmares Merger problems/benefits Technical difficulties Getting model results for market, credit and operational risk to coincide Difficulties with combining model inputs Difficulties in combining model outputs Solutions and methods for overcoming hurdles Coordination of business units and merger “partners” Concerted methods of obtaining senior management buy-in Exhibiting the benefits to ERM using the bottom line Outlines for implementing ERM Day 2 Corporate governance management Establishing a risk-appetite, capital leverage and a desired credit rating Determining whether you have the internal risk management skills on-hand Establishing an organisational structure Overseeing risk assessment and auditing processes Shaping the risk culture from the top Providing organisational incentives for learning from mistakes Risk-based pricing and line management Risk adjusted performance measurement (RAPM): a primer Various RAPM measures compared and objectives defined Risk-adjusted Return On Capital (RaROC) Risk-adjusted-Return On Risk-Adjusted Capital (RaROROC) RAPM from an individual perspective RAPM from a portfolio perspective RAPM using capital allocations for market, credit and operational risks Examples in Excel Risk analytics Credit risk assessment Assigning ratings via scoring Basel requirements for financial institutions Quantitative approaches Qualitative approaches Probability of Default (PD) and Probability of Event (PE) assignment Scoring facilities Loss Given Default (LGD) and Exposure At Default (EAD) assessment Expected Loss (EL) and Unexpected Loss (UL) assessment EL and UL: provisioning and capital allocation for single exposures EL and UL: provisioning and capital allocation for portfolio exposures Credit Value-at-Risk (CreditVaR) estimation Examples in Excel Day 3 Risk analytics (contd.) Market risk assessment Establishing and using market VaRs Calculating VaR: brief expositions and examples Parametric methods Historical methods Monte Carlo methods Allocating capital in a market risk framework Individual exposures Portfolio-level exposures Examples in Excel Operational risk assessment Establishing and Operational VaR (OpVaR) Calculating the OpVaR Parametric approaches Loss distribution approaches Establishing EL and UL estimates Allocating provisions, insurance and capital Attempts at combining creditVaR, market VaR and OpVaR to assess total capital Risk transfer mechanisms Traditional, financial derivatives Credit derivatives and more exotic products Securitisations and synthetic Collateralised Debt Obligations (CDOs) Day 4 Portfolio management Behaving like a fund manager in establishing objectives and targets Using RAPM Portfolio management in the entire process of making profits Data and IT concerns Establishing the right inputs and outputs for models and assessment systems Managing technology effectively Stakeholder management Some guidance on keeping the crowd happy Case discussion: some episodes where our tools might have been effective Course summary and close