Enterprise Risk Management (ERM) Basel II Focus
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3 4 ( 56 Lecture 1: Enterprise Risk Management Framework: An Introduction 3 rd April 2008 Introduction to risk management Description of the main risks faced by banks Overview of the COSO enterprise-risk management framework Overview of main regulatory issues Lecture 2: Asset-Liability Management: The Main Components 10 th April 2008 Definition and main components of ALM Liquidity risk: definitions, methodology and main recommendations Interest rate risk: definitions, methodology and main recommendations Practical: Interest rate gap analysis and repricing model 17 th April 2008 Lecture 3: Mathematics of Risk: Statistics and Econometrics Basic statistical concepts (probability, distributions) Basic econometrical concepts (OLS, panel data, time series) Practical: Linear regression analysis Lecture 4: Market Risk: The Management and Modeling Aspects 24 th April 2008 Market Risk definition Value-at-risk calculation Duration and modified duration Basell II requirements for market risk Practical: Calculation of duration and modified duration
4 Tuesday, 29 th April 2008 Lecture 5: Practical: Calculating Value-at-Risk Variance Covariance Method (on PC) Monte Carlo Simulation (on PC) Historical Method (on PC) 8 th May 2008 Lecture 6: Credit Risk: Components of Credit Risk and Modeling of Credit Exposures Credit risk definition Probability of default calculation (theoretical aspects) Applied stress testing techniques Basel II requirements for credit risk Speaker: Ms Catherine Galea, Senior Manager, Banking Unit, MFSA 15 th May 2008 Lecture 7: Practical: Establishing Probability of Default Internal ratings methodology (on PC) Probability of default calculation (on PC) Lecture 8: Operational Risk: Scope and Basic Methodologies of Operation Risk Management Framework 22 nd May 2008 Operational risk definition Operational risk management framework: methodology and recommendations Business continuity plans Basel II requirements for operational risk
5 29 th May 2008 Lecture 9: Basel II: A Risk Sensitive Approach in Calculating Regulatory Capital Pillar 1 Pillar 2 Pillar 3 Speaker: Mr Karol J Gabarretta, Director, Banking Unit, MFSA Lecture 10: Economic Capital Models: The Basic Challenges 5 th June 2008 Economic capital models definition and main methodologies Integrating different aspects of risk Similarities and differences between regulatory and economic capital Speakers: Mr Miguel Borg, Risk Management Consultant, Bank of Mr. Miguel Borg is a Risk Management Consultant at Bank of. He is mainly responsible to provide risk management advice to senior management and the various risk units of the Bank, whilst developing risk management policies for the consideration of the Board. In addition, he provides advice for the smooth and effective implementation of the revised framework of Capital Measurement and Capital Standards (Basel II). He was previously employed as a Senior Risk Analyst at the Central Bank of Malta, within the Financial Stability Office. His responsibilities were related to the development, implementation and calibration of the macro stress testing model for the Maltese financial system. Also, he assessed the vulnerabilities of the system through risk models as part of the early warning analysis of the Bank. He was also a member of the European Central Bank Liquidity Risk Management Task Force (LRMTF) that reviewed the regulation and risk management practices within the European Union. At the beginning of his career, he was given the responsibility of Economics Officer at the Bank s Economic Analysis Office. Mr. Miguel Borg is a graduate from the University of Malta. His main academic interests include risk management issues, financial econometrics and banking regulation. He also lectures and is actively involved in international conferences on these issues.
6 Ms Catherine Galea, Senior Manager, Banking Unit, MFSA Ms Galea joined the Central Bank of Malta in 1990 and worked in various departments, including the Financial Control and Banking Supervision Departments. In January 2002, when the move towards a single regulator was implemented, she moved to the Malta Financial Services Authority, where she continued working on other aspects of banking supervision. She occupied positions in both the Off-site and On-site Sections of the Unit, while, at present she is the Senior Manager of the Banking Regulation and Compliance Section. Her duties included being the Chairperson of the internal working group in charge of the local implementation of Basel II and the relative amendments introduced by EU Directive 2006/48/EC (CRD). She is also a member in a number of CRD-related working groups established by the Committee for European Banking Supervisors. Currently, Ms Galea is also enhancing her studies and is in the final stage of completing the MSc in Finance with the University of Leicester. Mr Karol J Gabarretta, Director Banking Unit, MFSA Karol J Gabarretta is the Director in charge of the Banking Unit within the Malta Financial Services Authority. The Banking Unit was set up in January 2002 following the transfer of the banking regulatory and supervisory function from the Central Bank of Malta to the Authority. Prior to joining the then Malta Financial Services Centre in 2002, Mr. Gabarretta was previously employed at the Central Bank of Malta from 1979 to end Throughout his career at the Bank he worked in several divisions and from 1994 has carried out duties related to banking regulation and supervision. His former posting prior to joining the Authority was as Manager at the Bank s Financial Stability Office. Mr. Gabarretta is also a former secretary of the Central Bank s Joint Banking Committee (which prior to 1st October 2002 was responsible for formulating banking regulatory and supervisory policy and monitoring the soundness of the local banking system). He has attended various conferences and seminars overseas dealing with banking regulatory and supervisory issues and was actively involved in the implementation locally (in the form of Banking Directive BD/08) of the E.U. s Capital Adequacy Directive. Mr. Gabarretta currently represents the Authority on the E.U. s Committee of European Banking Supervisors (CEBS). Mr. Gabarretta has presented papers dealing with inter alia prudential controls, financial stability issues and regulatory and supervisory matters during banking conferences organised by the Island and Small States Institute of the Foundation of International Studies Malta and other organisations. He graduated from the University of Malta with Honours in Economics in He also holds a postgraduate degree (Master of Arts) in Financial Services from the same university.
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