MANAGING OPERATIONAL RISK UNDER STANDARDISED MEASUREMENT APPROACH (SMA)
MEXICO CITY JUNE 20, 2018
MARCELO CRUZ MANAGING PARTNER YACAMY ADVISORS
Marcelo Cruz is the Managing Partner of Yacamy Advisors, a global management consulting firm. He is also the Editor-in-Chief of The Journal of Operational Risk and adjunct professor at the New York University. Formerly he was the Executive Vice President and Chief Risk Officer at Ocwen Financial Corporation. Previously he was the deputy CRO at E*Trade and Global Head of Operational Risk Analytics at Morgan Stanley. He was an associate Partner at McKinsey & Co, Chief Risk Officer of Aviva plc and global head of operational risk at Lehman Brothers. Marcelo was the Managing Director and founder of RiskMaths a boutique consultancy focused on risk management and strategy. Marcelo also worked on UBS AG, the Swiss bank, for 3 years as head of operational risk having worked in London and New York. Before UBS he also worked as a chief economist/strategist for an investment bank and as a derivatives trader for JP Morgan where he was in charge of structuring and trading OTC products. Marcelo Cruz is recognized worldwide in the financial industry as a leader in operational risk and one of the top names in risk management. He is a member of the board of many publications and industry associations. He is a sought after speaker in many seminars and conferences in several countries. He wrote the first academic article on operational risk in 1998 and has published many articles on the subject since then. He wrote the best seller book on operational risk (“Modeling, Measuring and Hedging Operational Risk, Wiley 2002”). He wrote/ edited other books in risk management. Most recently he wrote “Fundamental Aspects of Operational Risk and Insurance Analytics”. He was a member of the Industry Technical Working Group that helped to develop the new Basel Accord. He was also a Trustee of the Board of GARP and currently sits on the Research Committee of PRMIA. He holds a PhD in Mathematics by the Imperial College in London, a M.Sc. in Financial Mathematics, an MBA and a B.Sc. in Economics.
TOPICS: 1.Developing and Managing Operational Risk Database. a.Improving your loss data collection. b.Using internal and external loss data effectively. c.Integrating scenario analysis into an operational risk management framework. d.Developing KRIs as a key management tool. e.Understanding your risks through a robust Risk Control Self-Assessment and Risk Mapping program. 2. State-of-the-Art Operational Risk: Derivatives and CCAR. a.Implementing a strong change management program. b.Developing and implementing a risk appetite framework. c.Stress tests and CCAR. d.Using insurance to hedge operational risks. e.How derivatives can be used to protect financial institutions against operational risks. f.Six sigma and quality programs to mitigate operational risk. 3.Measuring Operational Risk. a.Using statistical distributions to measure operational risks. b.Causal models: how your model can be used to manage risks on a day-to-day basis. c.Running a dynamic operational risk model to estimate VaR for operational risk: setting risk limits and appetite. d.Workshop: MBA-Style Case: Practice what you learned by resolving a real-life operational risk case in which you will have to calculate exposures and assess operational risk impacts using the given data and propose solutions to control risk to management and Board.
REGISTRATION TELEPHONE: +52 (55) 5638 0367 y +52 (55) 5669 4729 E-MAIL: email@example.com REQUIREMENTS
1. Intermediate or high level of English is required. Simultaneous translation will not be provided.
1. Bank Transfer and Cash Deposits (for Local Institutions) NAME: RiskMathics, S.C. BANk: BBVA Bancomer CLABE: 012180001105829640 ACCOUNT: 0110582964
2. Come from economic - Administrative Careers. 3. Preferably working in Financial Institutions. 4. Participants should bring a laptop.
VENUE: Universidad Panamericana Campus Santa Fe Antonio DovalÃ Jaime #75 Piso 8 Col. Santa Fe, CDMX. Price: $15,000.00 MXN + IVA June 20 | 10:00 am - 6:00 pm Duration: 8 Hours
2. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT: 0121 8000 11 0583 0066 3. Credit Card: Visa, Mastercard or American Express. IMPORTANT NOTICE: There will be no reimbursements.