Modules

• Challenges in implementation of advanced approaches (FIRB and AIRB) for credit risk capital calculation & Implementation of vertical and horizontal allowances market risk capital calculation
• Operational risk loss data management and its uses in capital computation for operational risk
• Qualitative and quantitative assessment of Pillar II risks i.e., credit concentration, interest rate risk in banking book, settlement risk, strategy risk, reputational risk etc.
• Understanding various terminologies used in Basel III framework, i.e., countercyclical buffer, capital conservation buffer, credit value adjustment etc. and brief approach in their implementation

Duration

2 Day Classroom

Faculty

Sanjoy Choudhury is FRM and MBA (Finance) with more than 20 years of experience in treasury and risk management functions including research, product management and valuations. He has been associated with GlobeOp Financial Services as Director - Valuations, Credence Analytics as Head - Research and ICICI Bank as Chief Manager - Risk Analytics. He has been instrumental in developing pricing, valuation and risk models for all asset classes viz., Interest Rate, Forex, Equity, Commodity and Credit including both cash and derivatives products.

Who should Attend

This program has been designed particularly for Risk Management Department of banks, financial institutions and various financial services companies to provide comprehensive understanding of regulatory guidelines on capital calculation on credit, market and operational risk and qualitative and quantitative assessment of various risk which are not covered in pillar I, disclosure requirements and introduction of various new concepts through Basel III framework

Modules

• Potential Future Exposure profiling, multi party netting & collateral, simulation methods, collateral models, wrong way exposure and credit value adjustment Economic Capital Allocation Models for Counterparty Risk & Stress Testing Parameters and Scenarios and Reverse Stress Testing
• Risk mitigation using credit derivatives, collateral hedges, margining, exposure limits, nettings, break-up clauses and country risk application
• Basel II and Basel III for counterparty risk and regulatory capital
• Economic Capital Allocation Models for Counterparty Risk & Stress Testing Parameters and Scenarios and Reverse Stress Testing

Duration

2 Day Classroom

Faculty

Srinarayan Pareek is Chartered Accountant, Cost Accountant and Company Secretary with more than 20 years of experience in treasury and risk management domain. He has been associated with ICRA Management Consulting Services (a Moody's associate organization) wherein he has advised banking institutions and corporate houses in India and various countries in Middle East, South East Asia and African region on treasury and financial risk management under Basel and COSO framework. During his association with Reliance Industries Limited he has also designed various OTC derivative pricing models on fixed income and foreign exchange underlying

Who should Attend

This program has been designed for counterparty risk managers, market risk managers and credit risk managers, associated with banks, financial institutions, various financial services companies, credit rating agencies and asset management companies to gain comprehensive knowledge on various factors driving credit risk, methodology and models to determine and analyse credit risk and develop a deep understanding of the principles laid down by the Basel Committee

Modules

• Understanding of probability of default, loss given default, exposure at default, correlation of default in estimation of capital requirement under advanced approaches
• Measurement of expected loss for loan pricing and unexpected loss for capital requirement & Understanding of RAROC framework
• Loss distribution and relationship to expected loss, worst credit loss, economic and regulatory capital
• Credit portfolio risk management through credit risk models like CreditMetrics, Moody’s KMV etc. & CVA Risk for counterparty credit risk under Basel framework

Duration

2 Day Classroom

Faculty

Srinarayan Pareek is Chartered Accountant, Cost Accountant and Company Secretary with more than 20 years of experience in treasury and risk management domain. He has been associated with ICRA Management Consulting Services (a Moody's associate organization) wherein he has advised banking institutions and corporate houses in India and various countries in Middle East, South East Asia and African region on treasury and financial risk management under Basel and COSO framework. During his association with Reliance Industries Limited he has also designed various OTC derivative pricing models on fixed income and foreign exchange underlying

Who should Attend

This program has been designed for credit analysts and credit risk manager associated with banks, financial institutions, various financial services companies, credit rating agencies and asset management companies to gain comprehensive knowledge on various factors driving credit risk, methodology and models to determine and analyse credit risk and develop a deep understanding of the principles laid down by the Basel Committee

Modules

• Market Risk Management
• Liquidity Risk Management
• Credit Risk Management
• Operational Risk Management

Duration

2 Day Classroom

Faculty

Sanjoy Choudhury is FRM and MBA (Finance) with more than 20 years of experience in treasury and risk management functions including research, product management and valuations. He has been associated with GlobeOp Financial Services as Director - Valuations, Credence Analytics as Head - Research and ICICI Bank as Chief Manager - Risk Analytics. He has been instrumental in developing pricing, valuation and risk models for all asset classes viz., Interest Rate, Forex, Equity, Commodity and Credit including both cash and derivatives products.

Who should Attend

This program has been designed for treasury, risk and investment professionals with banks, financial institutions, various financial services companies, investment banks, portfolio management companies and credit rating agencies to provide them comprehensive understanding of approach in capital computation for market risk, steps involved in offsetting the short and long positions and vertical and horizontal allowances for short positions and migration to advanced approaches through implementation of VaR models

Modules

• Overview of ICAAP processes under the regulatory guidelines
• Quantification and consolidation of material risks including the risks covered under Pillar II of the Basel framework
• Process of quantifying the risk tolerance and appetite within the organization including designing of capital planning statement
• Principles of stress testing including estimation of risk factors in stress testing, Sensitivity and Scenario Test (i.e. Stress or Reverse Stress Test) and Stress Testing of various components of risk elements including economic capital estimation

Duration

2 Day Classroom

Faculty

Srinarayan Pareek is Chartered Accountant, Cost Accountant and Company Secretary with more than 20 years of experience in treasury and risk management domain. He has been associated with ICRA Management Consulting Services (a Moody's associate organization) wherein he has advised banking institutions and corporate houses in India and various countries in Middle East, South East Asia and African region on treasury and financial risk management under Basel and COSO framework. During his association with Reliance Industries Limited he has also designed various OTC derivative pricing models on fixed income and foreign exchange underlying

Who should Attend

This program has been designed for analysts and risk manager associated with banks, financial institutions, various financial services companies, credit rating agencies and insurance companies to gain comprehensive knowledge on ICAAP and Stress Test framework under the Basel Accord which includes qualitative and quantitative assessment of pillar II risk components, defining risk tolerances for each risk factor and sensitivity and scenario test of the portfolios

Modules

• Stock and flow approach liquidity risk management & Practical example on estimation of behavioral pattern of assets and liabilities where the maturity is not defined
• Intra-day liquidity risk management framework & Stress testing and scenario analysis for liquidity risk management
• Understanding of liquidity coverage ratio (LCR) and net stable funding ration (NSFR) under Basel III framework
• Usage of simulation techniques to define the maturity of assets and liabilities and Estimation of Liquidity Value at Risk

Duration

2 Day Classroom

Faculty

Sanjoy Choudhury is FRM and MBA (Finance) with more than 20 years of experience in treasury and risk management functions including research, product management and valuations. He has been associated with GlobeOp Financial Services as Director - Valuations, Credence Analytics as Head - Research and ICICI Bank as Chief Manager - Risk Analytics. He has been instrumental in developing pricing, valuation and risk models for all asset classes viz., Interest Rate, Forex, Equity, Commodity and Credit including both cash and derivatives products.

Who should Attend

This program has been designed for various professionals engaged in treasury operations, risk management and accounting operations with banks, financial service institutions and financial services companies to provide in depth understanding about the advances techniques of liquidity risk management at the enterprise wide level including the implementation of the recommendations for liquidity management under the Basel III framework

Modules

• Identifying the types of risk which needs to be evaluated under Basel framework
• Differentiation between banking and trading book for market risk capital estimation & Estimation of portfolio PVBP or duration for estimating the interest rate risk
• Estimation of net open position in forward portfolio for estimating the foreign exchange positions
• Application of vertical and horizontal disallowance for long and short positions & Implementation of Value at Risk models for various underlying under advanced approach

Duration

2 Day Classroom

Faculty

Sanjoy Choudhury is FRM and MBA (Finance) with more than 20 years of experience in treasury and risk management functions including research, product management and valuations. He has been associated with GlobeOp Financial Services as Director - Valuations, Credence Analytics as Head - Research and ICICI Bank as Chief Manager - Risk Analytics. He has been instrumental in developing pricing, valuation and risk models for all asset classes viz., Interest Rate, Forex, Equity, Commodity and Credit including both cash and derivatives products.

Who should Attend

This program has been designed for treasury, risk and investment professionals with banks, financial institutions, various financial services companies, investment banks, portfolio management companies and credit rating agencies to provide them comprehensive understanding of approach in capital computation for market risk, steps involved in offsetting the short and long positions and vertical and horizontal allowances for short positions and migration to advanced approaches through implementation of VaR models

Modules

• Identifying the sources of operational risk events within the organization & Implementation of Risk and Control Self Assessment for institutionalization of operational risk framework
• Development of loss data framework to capture actual loss, potential loss and near miss events
• Structure of internal loss data base i.e. matrix approach as per RBI guidelines including classification based on severity and frequency of the events
• Usage of loss data in estimation of capital requirement under advanced approach, Determining the Key Risk Indicators across the organization & ORAP for new product and process development

Duration

2 Day Classroom

Faculty

Srinarayan Pareek is Chartered Accountant, Cost Accountant and Company Secretary with more than 20 years of experience in treasury and risk management domain. He has been associated with ICRA Management Consulting Services (a Moody's associate organization) wherein he has advised banking institutions and corporate houses in India and various countries in Middle East, South East Asia and African region on treasury and financial risk management under Basel and COSO framework. During his association with Reliance Industries Limited he has also designed various OTC derivative pricing models on fixed income and foreign exchange underlying

Who should Attend

This program has been designed for risk professionals with banks, financial institutions, various financial services companies, investment banks, and credit rating agencies to provide them comprehensive understanding of processes for identification, assessment and control of operational risk events, implementation of RCSA framework and development of operational risk loss data framework and its usage in estimation of capital requirements under advanced approach

Modules

• Introduction to VaR – Why has VaR become accepted methodology for risk assessment
• Estimation of Market VaR – Excel based exercise for single factor VaR using historical simulation & Multiple factor VaR using historical simulation
• Extreme Value Theory to improve the accuracy of historical simulation, Development of parametric delta approximation for VaR & Measuring VaR using Monte Carlo Simulation
• Credit VaR – Brief overview of basic inputs parameters such as EAD, PD and LGD & Building loss distribution by simulating defaults and estimating default correlations

Duration

2 Day Classroom

Faculty

Sanjoy Choudhury is FRM and MBA (Finance) with more than 20 years of experience in treasury and risk management functions including research, product management and valuations. He has been associated with GlobeOp Financial Services as Director - Valuations, Credence Analytics as Head - Research and ICICI Bank as Chief Manager - Risk Analytics. He has been instrumental in developing pricing, valuation and risk models for all asset classes viz., Interest Rate, Forex, Equity, Commodity and Credit including both cash and derivatives products.

Who should Attend

This program has been designed for fund managers, traders, fund administrators, risk managers and middle office professionals engaged with banks, financial institutions, primary dealers, asset management companies, brokers, insurance companies and corporate houses to provide them overview of application of quantitative methods for portfolio risk assessment. The module would provide in depth understanding of Market Risk VaR on an investment portfolio using historical simulations for single and multiple factors impacting the portfolio. This would also cover Credit VaR on the loan portfolio by building loss distribution through estimated PD, LDG and EAD of the portfolio