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Suresh recently assumed the role of Managing Director, Advisory Services, of Kamakura Corporation where he heads, develops, and provides Enterprise Risk Management (ERM) and Basel II advisory consulting services to its clients worldwide. His work includes practical application of advanced financial analytics to solve crucial risk management issues, on assignments involving latest solutions in the field of financial engineering including advice on term structure models, valuation strategies, V@R, and credit risk. He re-joined Kamakura Corporation from the International Finance Corporation (I FC), the private sector arm of the World Bank Group, where he was Principal Operations Officer responsible for the development of risk management practices in the financial services sector in emerging markets. Prior to his current role, he was Vice-President and Director, Strategic Consulting Services, at Fiserv. In this role, was responsible for risk management projects around the globe, and was also for consulting development on the enterprise wide risk management-consulting arm of Fiserv Risk. Suresh has managed several projects to structure default probability estimates for retail banking portfolios, including the incorporation of user-specific variables into a credit scoring and default estimation framework, and including the testing of the statistical significance of selected variables. He has advised clients on customer behavior modelling on retail banking products like mortgages for prepayments, and non-determinant deposits for early withdrawal. Suresh joined IPS-Sendero, a fully owned business unit of Fiserv, in 1998 from A BN AMRO Bank, where he was responsible for the conceptualization, development, and implementation of Treasury Trading and Profitability Systems to support the Group’s ongoing Executive Information Programme.

DESCRIPTION: Regulation has become the cornerstone of all management analytics, and compliance seems tohave taken over from traditional risk management, with regulations aplenty, focused on the following areas: • • • • • • • • • •

Basel II, Basel III and beyond Credit risk Market risk Operational risk Asset Liability Management Liquidity & Interest Rate risk Hedge Accounting risk Default Probabilities Portfolio Modelling Transfer Pricing

An organisation should be equipped with a state of the art stress test builder that can take into consideration today’s regulation and any forecast strictures that may be imposed by the regulatory authorities. This ensures that the solution employed is scalable, and can cope with not just present regulations, but also anything conceivable that regulators may impose upon the sector over time. The solution, being fully integrated, should be in a position to apply the impact of macro factor changes on market factors, idiosyncratic customer behaviour, and therefore, impact cashflows to produce results with unparalleled accuracy. The organisation should undertake a model validation exercise for its positions, through: • A review of the model documentation. • A review of the conceptual framework underpinning the model for ‘appropriateness and assumptions. • A review of data source quality and relevance. • A review of model calibration approach and performance. • A review of model results for predictive power, statistical fit, etc. • An identification of potential model deficiencies. • Documentation and presentation of findings of the model validation process. This approach, though expensive, is also comprehensive, as it will be instrumental in: • • • •

Providing complete, succinct, and current model documentation. Producing standard data analysis and model calibration metrics. Identifying potentially inappropriate model assumptions. Using the same model validation team for repetitive validation projects.

OBJECTIVES: This advanced Masterclass is focused on the accurate assessment of total risk of any subset or the entire balance sheet of an organization. It is now well established that the only approach to accurate portfolio risk assessment is a bottoms up with maximum accuracy at the individual transaction and individual counter-party level. The course covers default model construction and determinants of credit spreads. With this foundation, the course focuses intensely on the vastly different implications of value-at-risk calculations versus a put option or reinsurance which could be used to mitigate some or all risk. It then moves on to stress testing with respect to macro-economic factors, starting at the transaction level and individual counterparty level and aggregating to total risk. Market data is used to illustrate the perceived total risk of the largest financial institutions in the world.

TOPICS: How do you pass the regulatory test? Quantitative objectives. Qualitative objectives (reminder: 5 banks failed, 1 for quantitative results, 4 for qualitative, 1 passed but restated quantitative results after the fact). Going beyond regulatory compliance. How to use the regulatory stress test (designed for horizontal comparison among banks) and modify the models and process to use as a management tool to better manage capital. What are the issues that need to be studied? Internal Data – loan level, defaults, losses, recoveries, lags; granularity vs. aggregation, assumptions vs. bank history. External Data – macro factors. Model - construct, assumptions, validation, use of challenger models (Champion/Challenger approach). Infrastructure and Resources. Reconciliation Reporting of Results. Best practices / future issues. Assumptions – rollovers, reinvestment of cash flows, dynamic characteristics of default probability. Assumptions – normality, multi-collinearity, lags, autocorrelation, fitting macro factors, no arbitrage. Deterministic (regulatory scenarios) vs Monte Carlo simulation. Number of risk factors/HJM.



WEDNESDAY JUNE 20 & THURSDAY JUNE 21, 2018 10:00 AM - 6:00 PM 10:00 AM - 5:00 PM

REQUIREMENTS • Graduated from an economic and/or administrative career. • Preferably working in Financial Institutions. • Participants should bring a laptop.


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Price: $28,000.00 M.N. +TAX $. + IVA

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CCAR: Comprehensive Capital Analysis & Review 2018 Ing  
CCAR: Comprehensive Capital Analysis & Review 2018 Ing