for Financial Institutions Asia Pacific

Transcription

1 magazine presents June, 2006 Hong Kong for Financial Institutions Asia Pacific Fred Au, Independent Risk and Return Consultant, former Managing Director, STATE STREET CORPORATION Stuart Burns, Head of Economic Capital and Model Risk Management, Group Risk Strategy, Speakers include: Asia Risk magazine is proud to present its second annual Basel II Compliance training course s highly successful event attracted delegates from all over the Asia Pacific region to discuss the challenges inherent in implementing a robust and strategic Basel II framework in financial institutions. Dr. Peter Miu, Assistant Professor of Finance, DeGroote School of Business, MCMASTER UNIVERSITY Corinne Neale, Managing Director, STANDARD AND POOR S Preston Thompson, Assistant Vice President, FEDERAL RESERVE BANK OF BOSTON DAY ONE DAY TWO DAY THREE UNDERSTANDING MARKET RISK CAPITAL Tuesday 20th June, 2006 OVERCOMING THE CHALLENGES OF CREDIT RISK AND BASEL II Wednesday 21st June, 2006 OPERATIONAL RISK AND CAPITAL ALLOCATION Thursday 22nd June, 2006 Dominic Wu, Head of Risk and Control, Services - Hong Kong ABN AMRO BANK GROUP HONG KONG For further information: please contact Sunny Singh on or via [email protected]

2 Fred Au, Independent Risk and Return Consultant, former Managing Director, STATE STREET CORPORATION Fred Au was previously Managing Director of State Street Corporation responsible for all trading, balance sheet and regulatory risks management of the branch infra structure of State Street Bank and Trust Company in Asia (i.e. Hong Kong, Singapore, Taiwan and Seoul). He has 24 years of front and back offices risk management experience in both the U.S and Hong Kong from his involvement in interest rate and currency related trading activities at the beginning of his banking career and later through his managerial responsibilities to build the business of different branches in Asia. In addition to his working experience in financial and operational risks management he also has in-depth working knowledge in the risk and return management area of the investment management business and reserve management activities of central banks.prior to his retirement from State Street, he has been designated by the Hong Kong Monetary Authority as the Chief Executive of State Street Bank and Trust Company Hong Kong Branch since Stuart Burns, Head of Economic Capital and Model Risk Management, Group Risk Strategy, Stuart Burns is Head of Economic Capital and Model Risk Management at Standard Chartered Bank. He is responsible for overseeing risk management in over 50 countries in the Asia Pacific Region, South Asia, the Middle East, Africa, the UK and the Americas. His main responsibilities include coordination of stress testing across portfolios and risk types, as well as leading the group s model validation team. Stuart joined Standard Chartered in November 2004 from RBS Financial Markets, where he was responsible for developing the credit models for Basel II. Dr. Peter Miu, Assistant Professor of Finance, DeGroote School of Business, MCMASTER UNIVERSITY Professor Miu s research has been conducted primarily in such areas as credit risk modeling and forecasting, pricing and risk management of credit portfolio, and validations of Basel II parameters. His articles have been published in the Journal of Credit Risk and the Canadian Investment Review. He has consulted on such issues as the validations of credit risk measures and the regulatory capital for issuer risks. He teaches Financial Institutions at DeGroote School of Business, McMaster University, Canada. He obtained his Ph.D. and M.B.A. in Finance from the University of Toronto. Corinne Neale, Managing Director, STANDARD AND POOR S Corinne is the Default Filter Product Manager and a regular adviser to central banks, financial institutions and professional bodies. Prior to this position, Ms. Neale was Managing Director of IQ Financial System (owned by Deutsche Bank) and of Bankers Trust Company, most notably responsible for its three times Euromoney award winner European and Asian Risk Advisory Group. Corinne also worked in the Capital Markets Division of Chase Manhattan Bank Paris, where she managed the French Corporate Syndication and Private Placement desk. Corinne is a Mathematics and Physics graduate and received Master degrees in Finance and Business Administration (MBA in France and the US). Preston Thompson, Assistant Vice President, FEDERAL RESERVE BANK OF BOSTON Preston Thompson is an Assistant Vice President of the Federal Reserve Bank of Boston where he leads a group responsible for operational risk quantification and modeling. Preston is involved in a number of ongoing projects that support research, policy, and exam work related to Basel II, economic capital modeling, and risk management. Preston s group has invested significant time and resources towards understanding the potential impact of the proposed capital rules for operational risk and their implementation at U.S. financial institutions. Preston was heavily involved in the U.S. Regulatory Agencies Operational Risk Benchmarking Project conducted during 2004 and continues to participate in a number of economic capital reviews at some of the largest and most complex institutions headquartered in the U.S. More recently he has been involved in the analysis of the information provided in the Loss Data Collection Exercise as well as the operational risk portion of the most recent Quantitative Impact Study (QIS-4). Dominic Wu, Head of Risk and Control, Services - Hong Kong ABN AMRO BANK GROUP HONG KONG Dominic is the Head of Operations Risk and Control of ABN AMRO Bank NV, Hong Kong Branch who is responsible for the operational risk activities covering the services units of Wholesale Client Services Unit in Hong Kong, China and Taiwan as well as securities operations in 11 countries across Asia Pacific. He has more than 14 years of extensive experience in banking industry working in European and US banks, international accounting and consulting firm specialising in operational risk management programme formulation and execution

3 Asia Risk magazine is delighted to present three separately bookable one-day briefings that examine exactly what implementing Basel II means for the financial market and institutions operating within the Asia-Pacific arena. Each day examines a critical component of the Basel II Capital Accord, and brings together senior-level practitioners reporting implementation solutions on key issues, including modeling and ratings approaches, disclosure methods and lessons learnt. Delegates will hear industry perspectives and practical case studies from both regional and international institutions that have made significant progress towards Basel II compliance, giving insight into how Basel II can ultimately be used as a means for enhancing shareholder value and conveying value to investors. DAY ONE UNDERSTANDING MARKET RISK CAPITAL Tuesday 20th June, :30 Registration and breakfast 9:00 The concept of VAR and RAROC for market risk The concept of VAR and RAROC for market risk Definition of economic and regulatory capital Value at Risk VaR using variance/covariance method VaR using historical loss methods VaR using Monte Carlo simulation RAROC calculations 10:30 Morning coffee break 11:00 Supervisory expectations for economic capital under Basel II A U.S. perspective Economic capital vs. Pillar 2 capital needs Existing federal reserve guidance on economic capital Key objectives of Pillar 2 capital measure Identification and measurement of risk Capital planning Validation oversight and controls Preston Thompson, Assistant Vice President, FEDERAL RESERVE BANK OF BOSTON 12:30 Lunch 1:30 Managing interest rate risk and liquidity risk under Basel II Explicit and implicit interest rate risk and liquidity risk expectations in Basel II Measures of interest rate and liquidity risk scenario analysis and stress testing cash flow management The role of Funds Transfer Pricing (FTP) in isolating interest rate and liquidity risk Crafting policies and procedures for managing interest rate and liquidity risk 3:00 Afternoon break 3:30 The operational risk AMA: What recent supervisory activities tell us about the current range of practice for U.S. institutions Recent regulatory exercises related to AMA AMA benchmarking exercise Loss data collection exercise LDCE) Quantitative Impact Study 4 OpRisk results Overview of the current range of practice Governance, data, and quantification Overview of model outputs and results Preston Thompson, Assistant Vice President, FEDERAL RESERVE BANK OF BOSTON 5:00 Questions and answers session 5:30 End of day one

4 DAY TWO OVERCOMING THE CHALLENGES OF CREDIT RISK AND BASEL II Wednesday 21th June, :30 Registration and breakfast 9:00 Assessing, understanding and developing a Basel II compliant credit risk framework Bullet points to be confirmed, please view website for details 10:30 Morning coffee break 11:00 Estimation and validation of risk rating philosophies, PD, LGD and EAD Introduction and risk-rating system Developing and implementing a robust internal ratings-based approach to capital requirements for credit risk Risk Rating Philosophy: Point-in-Time vs. Through-the-Cycle Credit risk measurement: PD, LGD and EAD and their role in capital computation estimation and validation of credit risk parameters PD: internal default data, mapping to external ratings and models, backtesting. LGD: market value vs. workout recoveries, appropriate discount rate, benchmarking to external data and models, segmentations, stressed vs. downturn LGD EAD: EAD factors, time variation of exposure Dr. Peter Miu, Assistant Professor of Finance, DeGroote School of Business, MCMASTER UNIVERSITY 12:30 Lunch 1:30 Examination of capital requirements needed for counterparty credit risk Risk and expectation Risk, capital and reward How does the business cycle affect capital requirements Why are economic profit and ROEC good planning frameworks An introduction to credit portfolio modelling Default correlations - an introduction Stuart Burns, Head of Economic Capital and Model Risk Management, Group Risk Strategy, 3:00 Afternoon break 3:30 Validating internal rating system What is validation Implications of validation Validation governance Data management Quantitative validation techniques Benchmarking Stuart Burns, Head of Economic Capital and Model Risk Management, Group Risk Strategy, 4:30 Validation of LDP internal rating systems Low default portfolio versus expert rating systems Construction and methodology processes Performance assessment Mapping to agency default rates Corinne Neale, Managing Director, STANDARD AND POOR S 5:00 Questions and answers session 5:30 End of day two

5 DAY THREE OPERATIONAL RISK AND CAPITAL ALLOCATION Thursday 22th June, :30 Registration and breakfast 9:00 Operational risk: overview of industry methods Basic Approach Standardised Approaches Advanced Measurement Approaches Implementation of loss data collection Quantification of operational risk Scenario-based approach Loss Distribution Approach Lack of internal/external data Potential home-host problems for banks using AMAs 10:30 Morning coffee break 11:30 Estimating and Modeling of PD and LGD Correlations With Respect to Basel s Downturn LGD Requirement What is LGD philosophy? Does Basel call for an a-cyclical LGD philosophy? The motivation behind the down-turn LGD requirement What are the different types of correlations in play? Estimating and modeling different types of correlations Estimating long-run PD from default rate time series In economic capital terms, how much does the mean LGD need to be increased to account for the omission of correlations? Some empirical results Dr. Peter Miu, Assistant Professor of Finance, DeGroote School of Business, MCMASTER UNIVERSITY 12:30 Lunch 1:30 Basel II implementation and beyond-the practical problems encountered and associated techniques in implementing Basel II requirements for operational risk activities Home/host perspective of Basel II Practical problems in Pillar I-minimum capital requirements Pillar II-supervisory review process Pillar III- market discipline Techniques in implementing Basel II for operational risk Beyond Basel II- how can an institution leverage from the Basel II effort? Fred Au 3:00 Afternoon break 3:30 Sound practice of implementing a Basel Compliance operational risk programmes in financial industry under Asian environment (with focus in Greater China) Sharing of practice to overcome the challenges in implementation of ORM for Basel II Topics Review of major operational risk events in a banking environment Tackling the problem on loss data collection in the Asia-Pacific region Road to Advanced Measurement Approach - implication to Basic Indicators Approach and Standardised Approach Management control cycle for effective risk guarding Interaction with other control and risk functions Integration of operational risk management programme with Basel II and SOXA Building a sound operating model for ORM Calibers of high performing operational risk management team Dominic Wu, Head of Risk and Control, Services - Hong Kong ABN AMRO BANK GROUP HONG KONG 5:00 Questions and answers session 5:30 End of day three

6 For more than 3 delegate bookings, please contact Customer Services to discuss a group discount on tel:+44(0) Please complete your details below in BLOCK CAPITALS TITLE LAST NAME JOB TITLE/POSITION DEPARTMENT COMPANY ADDRESS Booking Details Attend Day 1 briefing Market risk capital and beyond US$1250 Attend Day 2 briefing Credit Risk under Basel II US$1250 Attend Day 3 briefing Operational risk and capital allocation US$1250 Attend Day 1 & 2 briefings US$2300 (Save US$200) Attend Day 1 & 3 briefings US$2300 (Save US$200) Attend Day 2 & 3 briefings US$2300 (Save US$200) Attend Day 1, 2 & 3 briefings US$3400 (Save US$ 350) Registration Details FIRST NAME Please do not cover this box as it contains important marketing information Register now Post: Complete this form and send it to Conference Administration at: Incisive Financial Publishing Ltd 2708, 27th Floor The Center 99 Queen s Road Central Hong Kong, SW1Y 4RX, UK Telephone: Fax: [email protected] Post: Complete this form and send it to Conference Administration at: Incisive Financial Publishing Ltd Haymarket House, Haymarket, London, SW1Y 4RX, UK Telephone: +44 (0) Fax: +44 (0) [email protected] Book Online* *Book and pay online and receive a $50 discount! Visit the Incisive Media web site for an update on our forthcoming conferences and courses, and for information on our magazines/books visit In order that we process your registration with maximum efficiency, we request that a copy of this booking form accompanies your payment. Your registration fee includes morning refreshments, lunch, afternoon refreshments, your conference/seminar materials and the conference cocktail party. Venue and Accommodation CITY COUNTRY TELEPHONE APPROVING MANAGER POST/ZIP CODE FAX TRAINING MANAGER Conrad Hong Kong Pacific Place 88 Queensway Hong Kong Tel: Fax: I enclose a cheque payable to Incisive Financial Publishing Ltd. Please debit my Amex Visa Maestro ISSUE NUMBER: CARD NO Payment Details Mastercard Diners Club VALID FROM DATE: EXPIRY DATE 4404/06 A limited number of rooms at a special discounted meeting rate have been reserved at the Conrad. To make reservation, please contact the hotel directly and quote Incisive Media / Basel II Asia when making your booking to ensure you receive the special meeting rate. Please book early as demand for rooms will be high. Please note your place is not guaranteed until your payment has been received If you require an invoice please inform us stating whether you need an original or a fax copy. We accept company cheques, credit cards and bank transfers. Please allow a minimum of seven working days for a bank transfer to reach us and phone or fax us when it has been sent. Please state the event name and delegate name to which it relates. ACCOUNT ADDRESS IF DIFFERENT FROM ABOVE SIGNATURE DATE Incisive Finanicial Publishing Ltd. VAT No: GB For companies in EU member states only: Please write your VAT/TVA/BTW/IVA/ MCMS/MWST/FPA number here Warning: Basel Asia and Asia Risk are registered trademarks, and the titles, contents and style of this brochure are the copyright of Incisive Media. We will act on any infringement of our rights anywhere in the world. Incisive Media. Cancellation: A refund (less 10% administration fee) will be made if notice of cancellation is received in writing three weeks before the event. We regret that no refunds can be given after this period. A substitute delegate is always welcome at no extra charge. Disclaimer: The programme may change due to unforeseen circumstances, and Incisive Media reserves the right to alter the venue and/or speakers. Incisive Media accepts no responsibility for any loss or damage to property belonging to, nor for any personal injury incurred by, attendees at our conferences, whether within the conference venue or otherwise. Data Protection: By registering for Basel Asia 2006 Incisive Media* will send you further information relating to this event. In addition we will send you information about our other relevant products and services which we believe will be of interest to you. If you do not wish to receive other relevant information from Incisive Media via a particular medium please tick the following relevant boxes: mail ; phone ; fax ; . Incisive Media will also allow carefully selected third parties to contact you about their products and services. If you do not wish to receive information from third parties via any of the following media please tick the relevant boxes: mail ; phone. ; Please tick if you are happy to receive relevant information from carefully selected third parties by and fax.