Valuation of Assets in Illiquid Markets. asiarisk.com.hk/valuation

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1 Course highlights Overview of the valuation challenges faced in Asia Changes in valuation techniques Understanding effective valuation models Using independent valuation agencies Accounting standards and regulatory challenges Practical application of models to products asiarisk.com.hk/valuation Valuation of Assets in Illiquid Markets 20 th August 2009

2 About the course Financial institutions must fair value complex and illiquid assets as defined by the accounting standards and to the satisfaction of auditors. In these volatile markets conventional methods of mark-to-market valuation have broken down leaving fund managers to instead use mathematical models, a practice called mark-to-model to value their assets. As traditional methods prove harder to implement assessing the risk profiles of illiquid assets has become a top risk management concern. This course will take a look at the current valuation challenges faced by institutions in Asia and will introduce delegates to valuation techniques and explain how to effectively use valuation models in the current market. Delegates will learn how to apply the models to various products through practical and interactive case studies while gaining a clear understanding of regulator requirements. With regulators and institutional investors calling for greater transparency and independence in the valuation of complex securities there is an increasing demand external valuation services. This course will address this and take delegates through the pros and cons of using valuation vendors and discuss best practices of working with them. Venue Please check website for updates asiarisk.com.hk/valuation Learning outcomes Understand the current market situation Compare valuation technique approaches Overcome difficulties of model assumptions Managing illiquid positions Discuss the main methods of valuation Interpret regulatory standards and processes Learn how to work with valuation agencies Who should attend? This course is particularly relevant to executives working in Banks / Asset managers / Hedge funds / Insurance companies: Heads, Directors and managers of: Quantitative analysis / research Portfolio management Structuring Risk modeling Credit Analytics Securitisation Financial Engineering Risk Management Also for Pricing Vendors / Exchanges / Software vendors: Heads, Directors and managers of: Data and Analytics Business development Sales and marketing Can t find what you re looking for? Incisive Training values our delegate feedback and is always looking for new ideas and suggestions for interesting topics you would like to see produced as a training course. If you would like to submit a subject area or have a topic you would like to see covered at one of our training events please contact us on asiarisk@incisivemedia.com Forthcoming courses May September 2009 Practical Calibration and Implementation Techniques for Interest Rate Modelling, 10 & 11 September 2009 asiarisk.com.hk/irmhk Sydney, 14 & 15 September 2009 asiarisk.com.hk/irmsydney The realities of closing out transactions in volatile markets, 24 September asiarisk.com.hk/documentation Advanced Stress Testing New Techniques and regulatory developments Sydney, 26 & 27 August asiarisk.com.hk/stresstestingsydney, 22 & 23 September asiarisk.com.hk/stresstestinghk

3 Course tutors Maria Luisa Dy, Risk Management Offic er, DHL Global Forwarding Salvatore M. Petrancosta, Risk Management, Consultant & Advisor Maria Luisa Dy is a Risk Management Officer at DHL Global Forwarding, a position she has held since Prior to this role she has worked for DHL as a Financial Analyst and a Credit & Collections Officer. Malu worked for 10 years at the Philippine National Bank where her final role was Chief Economic Development Specialist. During her time there she also held analyst and research posts. Malu Dy is a certified public accountant. She has a Bachelor in Accountancy from Polytechnic University of the Philippines and a Master in Business Administration from De La Salle University, Manila She is an Associate Professorial Lecturer for the Graduate School of Business at De La Salle University and is a frequent speaker at risk management events.. Pravin Shirname, Head, Market Risk, HDFC Bank Mr Shirname is Senior Vice President and Head of Market Risk at HDFC Bank Ltd., Mumbai, India. His current and past roles include treasury portfolio market risk, treasury products counterparty risk evaluation, Asset-Liability Management (ALM), treasury and risk analytics, credit risk: rating and portfolio analytics. He has also worked in the publishing and insurance industry. Mr Shirname has completed MBA from University of North Carolina, MBA from Pune University India and M.Sc from M.S. University, India. FRM certified (2004). He has lectured on risk related topics at various forums and institutions such as Marcus Evans- Singapore, City of London Mumbai, Jamnalal Bajaj College- Mumbai, Symbiosis College - Pune, Reserve Bank of India Staff College- Chennai, Bankers Training College- Mumbai and IIT- Mumbai Mr. Petrancosta has spent a career in risk management that spans almost four decades and concentrated primarily in the Asian region. He is well versed in modern risk management techniques with deep and rich experience in both banking and insurance. Beginning with Chase Manhattan Bank, N.A. his career path included Prudential Insurance Company, Prudential Bache Securities, Salomon Brothers/Citi Global Markets, and finally Merrill Lynch. Mr. Petrancosta has managed teams of up to 45 professionals scattered throughout Asia. He has served in various senior management positions in commercial and investment banking and both Private and Public Equity Fund management. His latest being Managing Director and Head of Global Risk Management for the Pacific Rim at Merrill Lynch where he was responsible for all risk across a broad range of products. He has spent much of his career domiciled in and Singapore. He has experience managing risk in trade finance, joint venture and private and public equity funds, merchant banking, global wealth management, Real Estate, Corporate Principal Investments, and structured and traded products. HeongWee Chong, Head, Risk Solutions, RISKMETRICS GROUP (ASIA) HeongWee Chong is Head of the Risk Solutions team for RiskMetrics Group (Asia), and is responsible for the Group s business development strategy in Asia. He actively works with regulators and industry participants to develop and share best practices across the risk management industry, and has worked with numerous global clients including banks, asset managers, hedge funds, pension funds, central banks and sovereign wealth funds. Prior to this, HeongWee headed up the group s Account Management team where he managed a team providing client training and risk advisory services. He holds a Bachelors degree from Georgia Tech and a Masters degree in Engineering from Stanford University. Certificates of attendance are available upon request for all our training courses.

4 , 20 August Lunch 8.30 Registration and coffee 9.00 Market overview: challenges faced by institutions in Asia Understanding the current market situation How and why have valuation models broken down? Consequent valuation challenges Salvatore Petrancosta, Risk Management Consultant and Advisor Morning break Understanding effective valuation approaches Discussing the main methods of valuation NAV approach Cash-flow analysis Analysis based on comparable securities Essential components of mark-to-model valuation Identifying pricing sources Comparative analysis or proxy modelling IASB and Basel approach towards valuation issues HeongWee Chong, Head, Risk Solutions RISKMETRICS GROUP (ASIA) Changes in valuation techniques Introduction to valuation models Comparing valuation technique approaches Mark-to-market vs mark-to model Problems with historical value and the use of fair market value Overcoming difficulties of model assumptions Managing illiquid positions Pravin Shirname, Head, Market Risk HDFC Bank Fair Value Accounting Origins and History - who adopted this first and where it was used Basic principle of fair value accounting What is fair market valuation? Sample application of fair value accounting Countries who has adopted fair value Accounting Other applications of fair value accounting The Role of IASB in fair value accounting Risks and Rewards of fair value accounting Maria Luisa Dy, Risk Management Officer DHL Global Forwarding Afternoon break Using independent valuation agencies Valuation agencies in the market place Advantages of using valuation agencies Limits and pitfalls of valuation agencies Working with valuation agencies: where does your job end and theirs begin? Salvatore Petrancosta, Risk Management Consultant and Advisor End of Course

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