Know the Trainer: Fred Vacelet, MBA, FRM/PRM, CTM, IFQ

Highly communicative Financial Risk Management Consultant and project manager with some 25 years of experience, well versed in quantitative techniques, with a strong academic and practical background in banking and finance, and an expertise in Risk Management methodological frameworks across the categories of risk.Acquisition of a Rich and Diverse Professional Expertise.

Benefits of Attendance:

Participant will achieve an understanding of ICAAP, Capital Management, Liquidity Risk and Treasury Risk Management as well as proven approach to construct an ILAAP.

  • Chief Risk Officer/Head of Risk.
  • Head of Liquidity Risk.
  • Head of Treasury/Balance Sheet.
  • Management/Asset-Liability Management.
  • Head of Market Risk.
  • Head of Finance.
  • Head of Compliance/Regulation.
  • Programme Directors/Project.
  • Managers for ICAAP (Internal Capital Adequacy Assessment Process).
  • Risk Managers.
  • Liquidity Managers.
  • Capital Management Managers.
  • Senior/Executive Management.
  • Heads of Audit.
  • Basel III Project Managers.
  • Business Heads.
  • Risk Management Professionals.
  • Regulators.
  • Managers for ILAAP.

Course Outline: Day 1

  • The essence of risk management
  • Regulatory sources - The Basel papers
  • From Basle I to Basel IV and beyond
  • The perimeter of regulatory texts
  • National flavours
  • The principles
  • The pillars, the approaches
  • Governance and internal controls

  • Banking book and trading book
  • The Fundamental Review of the Trading Book (FRTB)
  • Interest Rate risk in the banking book
  • VaR/ES shortcomings: the normality assumption and others
  • Internal model approaches
  • Handling bubbles and black swans
  • Framework for credit risk; EAD-PD-LGD model
  • Credit risk mitigation
  • Credit/Debit Valuation Adjustment
  • Standard and IRB approaches
  • The principles for operational risk management
  • 3-line defence, 4-eye principle
  • The death of AMA
  • Processes, systems and controls
  • Loss distribution approach
  • Business process and data dependencies
  • Process-based risk management
  • Risk and controls self-assessment

  • Regulatory capital: recapitulation
  • Tier 1 and tier 2 capitals
  • Capital and liquidity
  • Introduction of global minimum liquidity standards
  • Prerequisites: data logistics
  • The liquidity ratios: rationale, calculation, interpretation
  • Monitoring tools
  • The counter-cyclical capital buffer
  • Interaction with Pillar 1 and 2

  • What is modelling
  • Best practices in financial modelling
  • General issues with financial models
  • What can/will go wrong
  • Deterministic vs. stochastic and other models
  • The model approval process

Course Outline: Day 2

  • Modelling interest rates
  • Types of interest rate risks
  • Yield curve, bootstrapping
  • Duration and convexity
  • Sensitivity parameters
  • Simulation methodologies
  • Fund Transfer Pricing (FTP)
  • IFRS 9 and its consequences
  • Hedging interest rate risk in the banking book

  • Regulatory vs. economic capital
  • Inventory of risks
  • Forecasting systems
  • From data to intelligence
  • Principles and application
  • Other risks: reputation, models etc.
  • Risk-based governance
  • Securitization and non-standard derivatives
  • Home-host regulation

(According to the audience’s wishes)

Examination and discussions on the current consultations. Discussion: what may come next.

MINI-CASE-STUDIES AND GROUP DISCUSSIONS WILL BE PERFORMED EACH DAY.