FMC Powered by Concentric Finance. In collaboration with Aifirm

Transcript

1 FMC 2015 Powered by Concentric Finance In collaboration with Aifirm

2 Concentric is an international team of finance, corporate governance, strategy and professional development experts providing training and advisory solutions to banks, insurance companies and medium-large organizations. To enable the idea, Concentric has firmly fixed sector-specific strategic partnerships with world renowned thought and action leaders who, together with a close-knit client delivery team of local business analysts, project managers and experts, distinguish the company and its values. Dates Workshop Speakers 25, 26 e 27 Marzo 2015 Il Comprehensive Assessment della BCE: linee guida e implicazioni operative Martin Marchesi Giacomo Petrini 23 e 24 Aprile 2015 ICT Risk & Data Quality, Risk Data in action nel nuovo contesto di Vigilanza Michele Bonollo 8, 9 e 10 giugno 2015 Stress Testing, Scenario Generation e RAF: strumenti e framework gestionale Alexander Denev Marin Gueorguiev Cristina Gualerzi 21 e 22 Settembre 2015 Metodologie quantitative per la Validazione di III livello Elisa Alghisi Giacomo Petrini 22 and 23 October 2015 Counterparty Credit Risk, Collateral and Funding valuation under Bilateral CSA and CCPs Damiano Brigo Andrea Pallavicini 19 and 20 November 2015 Securities Lending, Repos and Collateral management in the new financial context Dino Fabbro 17 e 18 Decembre 2015 Modern ALM: risks measurement and balance sheet management under B3 Cristiano Bonisoli Umberto Crespi Marco Palumbo Sconto convezione soci Aifirm 10%

3 Il Comprehensive Assessment della BCE: linee guida e implicazioni operative 25, 26 e 27 Marzo 2015 Palazzo delle Stelline, Corso Magenta 61 Milano Il workshop fornisce una panoramica complessiva su come organizzare efficacemente un framework per gestire impatti regolamentari, operativi e metodologici connnessi all esercizio di AQR e Stress Testing per il comprehensive assessment EBA-BCE. Giorno 1 (Petrini) Il Comprehensive Assessment della BCE e il contesto normativo. Le "EBA Recommendations on asset quality reviews" e l'"its EBA on Supervisory reporting on forbearance and NPEs" del 21 ottobre 2013; il disegno dell'assessment. La nuova segmentazione regolamentare; fasi dell'assessment: Supervisory Risk Assessment (SRA), Asset Quality Review (AQR), Join-up e Stress Test. Il Supervisory Risk Assessment (SRA). Overview delle aree di indagine: processo contabile, gestione del credito e accantonamenti, garanzie, esposizioni in derivati creditizi, clienti connessi, costi legali. Classificazione attivi di bilancio (Amortised Cost, Designated at Fair Value, HFT, AFS); la gerarchia di fair value prevista dall'ifrs 13 e la classificazione delle esposizioni. La definizione di NPE (Non Performing Exposure); le policy di ristrutturazione e riscadenzamento del credito, individuazione delle esposizioni forborne e la gestione dei relativi accantonamenti. Il processo di gestione degli accantonamenti (triggers, impairment, calcolo degli accantonamenti); la valutazione del valore e dell'efficacia legale delle garanzie; la valutazione creditizia dell'aggiustamento per i derivati. Clienti connessi: identificazione e gestione; il deconsolidamento contabile; il processo di gestione degli accantonamenti per il rischio legale. Giorno 2 (Petrini) L'AQR; la creazione dei Loan Tape; la validazione di Data Integrity; il campionamento e la Credit File Review. La valutazione delle garanzie reali ed immobiliari; proiezione dei risultati a livello di portafoglio; l'analisi degli accantonamenti collettivi ed il Challenger Model BCE; il calcolo dell'aqr-adjusted CET1% e la definizione delle azioni di mitigazione. Giorno 3 (Marchesi) Lo stress test: principali caratteristiche; scenari ipotizzati e i profili di rischio interessati. La metodologia: portafoglio crediti, margine di interesse, altre componenti di conto economico, titoli di stato, cartolarizzazioni e altri ambiti interessati; stima dell'evoluzione del CET1. Il sistema di data quality BCE. Il join-up; Macro approccio del join-up; integrazione dei risultati dell'aqr e dello stress test (compreso il tool). Stima dell'evoluzione del CET1. Giacomo Petrini è responsabile Ufficio Audit Misurazione Rischi Di Credito e Operativi del gruppo BancoPopolare. Martin Marchesi e responsabile operativo direzione Risk Management gruppo Banca Popolare di Vicenza. Conditions Sconto soci Aifirm 10% Cost: Euro 2.700,00+ VAT Data for Bank Transfer Concentric srl Bank Account Number 6951 CIN X ABI CAB Bank: Credito Artigiano Spa Milano IBAN: IT87B Ai sensi dell art 13 Dec. Leg. 30/06/2006 i dati forniti saranno tenuti rigorosamente riservati e usati unicamente per l invio di ulteriori simili iniziative. I dati non verranno diffusi a terzi ne ceduti ad altre società e rimarranno a disposizione del cliente per eventuali modifiche e/o cancellazioni Concentric SRL piazza 4 novembre 6, Milan (Italy) Tel info@concentric.it

4 ICT Risk & Data Quality, Risk Data in action nel nuovo contesto di Vigilanza 23 and 24 Aprile 2015 Palazzo delle Stelline, Corso Magenta 61 Milano Il recente esercizio del comphrensive assessment ha evidenziato il ruolo critico che la qualità dei dati gioca nell intero processo di risk management. Il presente workshop, attraverso casi, concreti mostra come sviluppare un framework robusto per data quality e ICT risk control. Giorno 1 (Bonollo) ICT Risk & data Quality. Normative e loro relazioni. Le origini. Sistemi Informativi e Validazione dei Modelli interni. Circolare 263, 15^ Aggiornamento, Capitolo 8; definizione Rischio ICT; intersezione con Rischio Operativo. Ownership del Rischio ICT. Competenze di metodo vs. Competenze di Dominio; policy di governo del rischio. Esempi pratici. Paper basilea 239, sistemi di Risk Mgt e di Accounting; il doppio binario. Dati Risk Mgt vs. Dati di Bilancio. Sistemi transazionali (legacy) vs. sistemi direzionali e di controllo. Enterprise datawarehouse. Mito o realtà? Dabatase relazionali vs. Big Data file systems. Il nuovo Archivio delle Perdite LGD di Banca d Italia. Scopi e utilizzi. ICT Risk: Le Componenti Sicurezza Accessi, Profili, provisioning e deprovisioning; software development; change management Principi, roll back, processi e strumenti. Auditability: Esempi pratici. Trackability. Esempio: provvedimento del garante Privacy. Data Quality. Definizione, le dimensioni del Data Quality. Metriche di ICT RISK Metriche di Rischio vs. SLA e KPI Esempi pratici. Giorno 2 (Bonollo + ICT Specialist) Data Quality & Risk Management Dimensioni formali del Data Quality: correttezza, consistenza, accuratezza, Catalogo dei controlli & KQI Key Quality Indicators. Un approccio concreto: il business value del data quality. Caso 1. Qualità Market parameters e impatti su calcolo del VaR-ES. Caso 2. Qualità dati anagrafici e impatti su calcolo RWA del credito in modelli standard e modelli interni. AQR, Stress test e Data Quality: alcune problematiche delle banche italiane. Data Integrity, Credit File Review; campionamento; AQR del Trading Book e Data Quality; Data Quality BCE. Trade repositories EMIR e loro utilizzo; TRs vs statistiche BIS ISDA. TRs. Aggregazioni e utilità per le banche. Esempio pratico: tool GTRA. Michele Bonollo è senior consultant IT risk della società Iason. Conditions Cost: Euro 2.000,00+ VAT Sconto soci Aifirm 10%

5 Stress Testing, Scenario Generation e RAF: strumenti e framework gestionale 8, 9 and 10 June 2015 Palazzo delle Stelline, Corso Magenta 61 Milano This course will review Stress Testing techniques for Credit, Market and Liquidity Risk. The course will also offer a new technique of how to design forward-looking scenarios to satisfy both the regulatory requirements and the internal need for a better capital planning. Day 1 Preparing the ground (Denev) Risk parameters at transaction and counterparty level. Portfolio risk measures and correlations. The Basel II/III master formula. Value-at-Risk, Economic Capital and Concentration Risk. Market practices in Stress Testing. Taxonomy of Stress Testing: Sensitivity Analysis, Scenario Analysis; Reverse Stress Testing. Credit risk: defining credit cycle indices and transition matrices; architecture of models and link to macroeconomic variables; stressing credit risk. Market risk: what are the specificities of a market risk stress test; examples; IRRBB. Liquidity risk: Funding and asset side; Deposit flight, wholesale funding freeze, rating downgrades and higher margining requirements stresses; interaction with Credit and Market risks. Pro&Cons of current widespread modelling techniques. Reasons for the problems with the market practice models; Structural breaks, nonlinearities and outliers. Validating a model for Stress Testing: main steps and challenges. Case study: The CDO market. Managing a stress scenario: setting the right governance and controls. How it works; the need for an integrated view; what can be done and what is missing; putting the right governance in place. Managing a stress scenario: Capital Planning, setting limits and pricing; hedging. Balance sheet data, interconnectedness, risk factors; network effects and systemic indicators; bottom-up and top-down approaches; Stress Scenarios: which ones to select and how often, impact, aggregation of the results and reporting, actions. Discussion of regulatory stress testing exercises: CCAR and EBA. Day 2 - A new way of thinking (Denev) A new way to approach S.T. : what historical data cannot teach us; too much data & everywhere! Introduction to Bayesian Nets: properties and simplifications; Calibration, subjective and market implied information; Examples of building simple stress testing models; integration with normal times distributions; revolution in Scenario Analysis? How it is going to impact the governance process; consolidating the results ; Creating management reports. Case study: Building a complete scenario for a major event and its consequences. Day 3 designing the comprehensive framework (Gueorguiev Gualerzi) Risk Culture; Link between risk management and strategic planning: RAF; Circolare 263 Banca d Italia; international market practice; R.A.P.M. metrics; how risk analysis is intergrated in the planning process; B3 and the new capital definition; the «quasi-equity» instruments; Recovery and Resolution Plan: why, when and how to build. Alexander Denev is Senior Advisor at Risk Dynamics and Founder of AD Consulting Marin Gueorguiev is Managing Director at Protiviti Italia Cristina Gualerzi is Senior Manager Protiviti Italia Sconto soci Aifirm 10%

6 Metodologie quantitative per la Validazione di III livello 21 e 22 Settembre 2015 Palazzo delle Stelline, Corso Magenta 61 Milano Il workshop illustra approcci e metodologie per la validazione di III livello dei modelli e dei processi nell ambito dei sistemi di rating AIRB. L incontro prevede anche sessioni operative di supporto mediante librerie in Excel. Giorno 1 (Petrini Alghisi) Il processo di validazione dei modelli interni AIRB Le funzioni aziendali coinvolte e le fasi del processo. I contenuti del processo: requisiti normativi ed indicazioni del Comitato di Basilea. I contenuti del processo di validazione (drill down) La validazione dei modelli. La validazione dei sistemi IT a supporto. La validazione dei processi aziendali (use test). La validazione dei modelli di PD Introduzione teorica - approccio di validazione di III livello: verifica autonoma di quanto realizzato dalla Funzione Sviluppo ; valutazione degli interventi e verifiche della Funzione Convalida. Excursus teorico delle metodologie di stima dei modelli di PD, LGD e EAD (come si stimano, approcci maggiormente utilizzati, ). Approfondimento degli aspetti normativi della CRR/CRD e della Circolare 285 per la verifica dei requisiti minimi quantitativi richiesti. Definizione di una check-list metodologica ; definizione dei livelli di aderenza (trigger). Giorno 2 (Petrini Alghisi) Esercitazioni pratiche Calcolo autonomo di indicatori di performance dei modelli di PD (mediante Excel). Accuracy ratio; AUROC; matrici di confusione ; Pietra Index e indice di entropia. Calcolo autonomo di indici di concentrazione e stabilità (mediante Excel): Herfindhal e population stability index. Calcolo delle matrici di transizione (mediante Excel). La validazione dei modelli di LGD L approccio di validazione di III livello ai modelli di LGD; Dati e processi di recupero: completezza, correttezza, tempestività e conformità. La validazione dei sistemi informatici e dei processi aziendali ( use test) L approccio di validazione di III livello per KPI. Matrice dei processi e trigger. La validazione IT: i principi di Audit ICT; la formalizzazione delle risultanze di Internal Audit. Elisa Alghisi è Senior Credit risk consultant area sviluppo modelli, Concentric. Giacomo Petrini è responsabile Ufficio Audit Misurazione Rischi Di Credito e Operativi del gruppo BancoPopolare. Conditions Cost: Euro 2.000,00+ VAT Sconto soci Aifirm 10%

7 CCR, Collateral & Funding valuation under Bilateral CSA and CCPs 22 and 23 October 2015 Palazzo delle Stelline, Corso Magenta 61 Milano Credit, Collateral and Funding Costs and Benefits are currently impacting valuation of financial products. In this course we explain where the different type of adjustments (mostly Credit (CVA), Debit (DVA), Liquidity (LVA) and Funding (FVA)) impacts. Day 1 (Brigo) Credit Risk, Collateral and Funding Costs: introduction. Credit Risk Products and Models: CDS and Bonds; market implied and Rating implied default probabilities; recovery rates; intensity models; Firm Value Models; Lehman Brothers case study; Rating implied vs market implied default probability; credit spread volatility. CVA and DVA: Unilateral CVA and unilateral DVA; Bilateral Adjustment; Problems with DVA: Wrong incentives and hedging. First to default analysis; ISDA Closeout choices; Payout Risk; Examples of CVA and DVA with Wrong Way Risk; Rates, Commodities, Credit, Equity, Longevity. Credit, Collateral and Funding together. Collateral and Gap Risk; Collateral and residual Credit risk: CVA/DVA; Margining costs for collateral: LVA; Funding costs & benefits of replication: FCA & FBA; Default risk for the funding operations: DVAF and CVAF; Full theory: Recursive Nonlinear pricing problem. Arguments for and against funding costs; Is Modigliani Miller relevant here? Non-separability; Price or value? The Black Scholes case study. Theoretical implications for the bank structure. Funding Costs Analysis and implications. Possible numerical techniques and linearization; Nonlinearity Valuation Adjustment: NVA; Simplified benchmark industry solution; FCA, FBA, CVA, DVA, CVAF, DVAF, LVA; Double counting? Hints on adding initial margin and specializing to SCSA and CCPs; Hints at multiple curves with funding costs; CVA/FVA Desk: What are banks doing? Day 2 (Pallavicini) The money market. Central bank and inter-bank rates; the basis of interest-rate modelling. Interest-rate derivative contracts and the hjm framework. Post-crisis pricing. Counterparty credit risk and collateralization; the credit crunch and the rising of the basis. Trading contracts under bilateral csa or ccp clearing; margining procedures and collateralization costs; pricing in collateralized markets. The multiple-curve framework. Bootstrapping discount and forwarding curves. Modelling constraints for multiple curves; a multiple-curve extension of the hjm framework. Model calibration and numerical examples. Damiano Brigo is the Chair in Mathematical Finance at Imperial College, London Andrea Pallavicini is Head of Equity, FX and Commodity Models at Banca IMI Conditions Cost: Euro 2.000,00+ VAT Sconto soci Aifirm 10%

8 Securities Lending, Repos & Collateral MNG in the new financial context 22 and 23 October 2015 Palazzo delle Stelline, Corso Magenta 61 Milano This workshop focuses on the international securities borrowing and lending and repurchase agreements (repo) markets. It will provide you with an insight on market practices as well as the collateral management processes required. Day 1 (Fabbro) Securities financing transactions Repo; Security lending and Collateralisation of derivatives. Repo: understanding Repo. Mechanics (Legally, Economically). Definition; market conventions; principal uses; terminology. Key characteristics legal/economic - Repo 105/108. Credit risk; Operational risk; Legal risk; Liquidity risk. Collateral management: Valuation of collateral; Initial margin and hair cut; Margin maintenance; Right of substitution. GMRA 2000 overview; Default procedures; Fails; Custody; GC vs Special. Repo vs Sell and buy Back; Repo Variants. Day 2 (Fabbro) Securities Lending and Borrowing Basic structure. Terminology. Calculations. Core use; Return, Recall. Substitution; Fees. Cash Collateral reinvestment. Collateral selection. Initial Margin. Margin Maintenance. Manufactured payments on securities; Non-cash income; Fails. Default procedures; Indemnification. Corporate actions; Voting rights. Custody. Security lending market structure. Security lending vs repo. Dino Fabbro is Deputy Head Division Liquidity Mng Treasury Department - European Investment Bank Conditions Cost: Euro 2.000,00+ VAT Sconto soci Aifirm 10%

9 Modern ALM: risks measurement and balance sheet management under B3 17 e 18 Dicembre 2015 Palazzo delle Stelline, Corso Magenta 61 Milano ALM has been strongly impacted by systemic risk and B3. In this workshop we will present a new approach to ALM and liquidity risk that seeks to overcome traditional techniques in order to analyze and manage higher volatility and complexity within Banking Book. Day 1 (Bonisoli) Financial Context and new regulations Risks from Financial Institutions perspective, Balance Sheet Re-Classification for Banking and Trading book Risk. Banking Book regulation: evolution and perspective. IAS principles, accounting rules and Banking Book management. ALM environment IRR management, FX risk management, LR management, CR management; Boundaries between Banking and Trading Book. ALM definition, goals, evolution, organization, governance, policies, processes and controls. ALM & Treasury, ALM as a BU. ALM & planning. ALM and risk mng, RAF. The role of ALM in the deployment, mng and conservation of capital. ALM and ICAAP process. ALM and credit risk. ALM management Creation and categorization of assets and liabilities in the Banking Book: measuring interest rate, liquidity and currency gaps. Identifying interest-rate sensitive assets and liabilities that impact NII. Basis, yield curve twist, and re-investment/re-funding risks. Measuring cost-to-close exposures for BB: analysis of impacts on cash flow, accounting performance and economic value. Complications from financial, contractual, and real options in assets and liabilities. Estimating impacts of volatility and correlations. Transfer Price FTP basics, metrics, evolution, components; FTP & interest rate risk transfer; FTP & pricing. Day 2 (Crespi Palumbo) Advanced tools to measure and manage interest rate risks in the Banking Book NII vs NEV; EaR: concepts and variations; advantages and disadvantages. Duration and Duration of Equity (DoE): concepts; using key rate; understanding convexity; pro and cons; EvE: concepts and variations; advantages and disadvantages. IRR stress testing: scenario design (e.g. dynamic vs static) and reporting. Hedging: risk minimization vs risk positioning; optimizing EaR and EvE; differences between IRR management tactics and strategies; managing interest rate risk with and without derivatives. ALM Modelling Techniques Effective risk modeling: data, aggregation, back testing, model risk, regulatory requirements. Non-maturing deposits (NMD): review; modelling assumptions; NMD interest rate replicating strategies. Assets with prepayment: the importance of prepayment in ALM; prepayment risk for different type of assets; different prepayments models; implementation of prepayment models in earnings simulation and EVE/valuation models. Pipelines transactions: definition; modelling and pre-hedging. Equity capital: definition of non-interest bearing capital resources, corporate planning assumptions for its investment. Show how the ALM model are used in the management of liquidity risk and setting FTP rates. ALM Involvement with Credit Exposures Credit metrics for expected and unexpected losses; Credit RM through sec. & strategic structured finance. Problems with past due and impaired loan exp. Cristiano Bonisoli è responsabile dell unità ALM del Gruppo BancoPopolare Umberto Crespi è responsabile modelli/strategie rischio tasso banking book unità ALM UniCredit Marco Palumbo è senior quantitative analyst modelli/strategie rischio tasso banking book unità ALM Unicredit Conditions Sconto soci Aifirm 10% Cost: Euro 2.000,00+ VAT

10 . Concentric FINANCE Concentric FINANCE is the Concentric business unit specialized in advisory, research and training solutions for decision makers and technical experts in risk, finance, strategic planning, auditing and IT of banks and insurance companies. Organizations on the look out for marked improvements in their company performances request support from Concentric FINANCE, aware of the fact that results stem from a balanced mix of the following factors: 1.Commitment Extended and continual involvement of company decision makers before, during and after every project. 2.Expertise The possibility to involve leading technical / management professionals able to provide a careful mix of experience, content and methods. 3.Projects Experience with primary international and national players enables a global vision in the definition of client needs through a pragmatic use of technical-methodological, organizational and governance best practice. 4.Management Rigour during roll-out, respect for deadlines and realization of satisfaction targets represent elements of commitment with clients that guarantee high levels of quality. 5.Culture Particular attention to the definition of holistic processes for the diffusion of a risk culture throughout client structures has always represented a distinctive quality of Concentric FINANCE solutions. Concentric SRL piazza 4 novembre 6, Milan (Italy) Tel info@concentric.it