Measuring and Mitigating Counterparty Risk Management

Transcription

1 Course highlights Use of internal ratings systems to assess counterparty risk Modelling and management challenges Dealing with credit mitigation What takes precedence- economic or regulatory capital? What is credit treasury? Benefit of netting, transparency and portfolio compression through warehousing for swaps What is central counterparty clearing? asiarisk.com.hk/counterparty Measuring and Mitigating Counterparty Risk Management 24 th & 25 th November 2009

2 About the course The ongoing financial crisis and extreme economic volatility has forced everyone to reassess their exposure to counterparty risk. It is more important now than ever to remain up to date with the ever changing regulatory landscape and practical developments relating to counterparty credit risk. This course has been designed to help you do just that. This course draws together leading experts from the Asia Pacific region. It includes focused sessions on modeling and measuring your counterparty risk exposure. It addresses the highly topical issue of central counterparty clearing and how this may impact counterparty risk practices in the future. Delegates will also benefit from an Asia specific case study looking at the lessons learned from Lehman. Certificates of attendance are available for all our training courses Venue Please check website for updates asiarisk.com.hk Learning outcomes Discover why you need to measure your counterparty risk and what methodologies are available Learn how to understand your counterparties risks How to use rating systems in the current market environment Hear about the lessons learned from Lehman Understand the use of collateral and the issue with trading in different jurisdictions Determine how best to reconcile economic and regulatory capital Who should attend? This course is relevant to managers and executives working in capital management, credit risk, liquidity risk, market risk and operational risk. It is particularly useful to managers/heads/ officers of: Counterparty credit risk Derivatives trading Credit risk Credit portfolio strategy Counterparty risk exposure Market risk Risk management Quantitative management Collateral management FX options This crisis has really highlighted the importance of counterparty risk and counterparties counterparty risk Andrew Haldane, Executive Director of Financial Stability at the Bank of England (Risk, June 2009)

3 Course tutors Manmohan Singh, Senior Economist, INTERNATIONAL MONETARY FUND Paget Dare Bryan, Foreign Legal Consultant, CLIFFORD CHANCE Manmohan is presently a Senior Economist at the IMF in Washington DC. He was previously with ABN Amro Bank s emerging market syndicate team (Amsterdam/London). He continues to write extensively on various topics including counterparty risk in OTC derivatives, the recent sub-prime losses and capital injections to financial institutions; deleveraging and rehypothecation of collateral etc. He was the first to identify the role cheapest-to-deliver bonds as a proxy for recovery value in CDS instruments. Manmohan has led workshops for the IMF on reserve management and strategic asset allocation to official sector policy makers. His articles have appeared in, RISK, Journal of Investment Management, HedgeWorld and he been interviewed by major newspapers such as The Wall Street Journal, The Economist, Business Week, El Cronista (Argentina), Valor (Brazil) etc. His work experience covers several countries including Chile, Argentina, India, Japan, Pakistan, Hungary, Poland, and the Gulf countries. He holds a Ph.d. in Economics and a MBA from Univ. Illinois (Urbana-Champaign). He received his B.S. (magna cum laude) from Allegheny College, Pennsylvania Andrew Gordon, Executive Vice President, Head of Broker-Dealer Services and Alternative Investment Services, Asia Pacific, THE BANK OF NEW YORK MELLON Andrew Gordon, Executive Vice President, is responsible for Broker-Dealer Services and Alternative Investment Services for The Bank of New York Mellon in Asia, based in. This includes the Global Collateral Management and Clearing businesses, as well as fund administration services and other banking for hedge funds, private equity funds and other alternative investment vehicles. Previous roles within the Bank included responsibility for Client Management for The Bank of New York Mellon in North Asia covering Japan, South Korea, China, Taiwan and (June 2003 to December 2007). Bart Piron, Solution Manager, Credit, ALGORITHMICS PART OF FITCH RATINGS Bart studied economics at the University of Antwerp (Belgium) and at INSEAD (France) and has a CFA from the University of Amsterdam (Netherlands). He worked for a range of consulting and software organisations, including Dun & Bradstreet and Oracle. At Algorithmics, he is involved in the implementation of credit risk solutions at major banks, both for operational management and for regulatory and economic capital optimisation. Paget Dare Bryan is a partner at Clifford Chance () and heads the derivatives and structured products practice in Asia. Paget is admitted in England and Wales and is a Foreign Legal Consultant in. Paget specialises in derivatives and other financial market products including repackagings, credit and equity linked notes, collateralised debt obligations (CDOs), CLOs, constant proportion portfolio insurance ( CPPI ), warrants, securities lending and repos. Paget has extensive experience of structured transactions, credit, equity and commodity derivatives, specialist debt securities and rating issues. He also advises on credit risk management, custody, collateral and netting issues and regularly speaks on Asian and PRC derivatives issues. paget.darebryan@cliffordchance.com Corinne Neale, Managing Director, Capital Markets, ALGORITHMICS Corinne is a Managing Director at Algorithmics and Fitch Solutions, both members of the Fitch Group, and a regular adviser to central banks, and professional bodies. Prior to this position, Corinne was: Managing Director at Standard & Poors, President of IQ Financial System Singapore (owned by Deutsche Bank) Managing Director at Bankers Trust Company, successively in the Capital Markets, Structured Finance and Global Risk Management groups. Corinne also worked in the Capital Markets Division of Chase Manhattan Bank, 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). Vivek Pathak, Chief Credit Officer (Asia Pacific), INTERNATIONAL FINANCE CORPORATION Vivek Pathak has extensive emerging markets experience in Asia, Middle East, North Africa and Central Asia, focusing largely on distressed assets and risk management. Currently, Mr Pathak is IFC Chief Credit Officer for East Asia and Pacific. His previous assignments include IFC Portfolio Manager for Middle East and North Africa and Country Credit and Risk Head for ABN AMRO Bank N.V., Thailand. IFC, a member of he World Bank Group, promotes sustainable private sector development in developing countries. Its focus is to promote economic development by encouraging the growth of productive enterprise and efficient capital markets.

4 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 Irene Lo on irene.lo@incisivemedia.com Forthcoming courses August November 2009 Implementing an Effective ORM Framework in a Basel II Context Kuala Lumpur, 6 & 7 August 2009 Valuation of Assets in Illiquid Markets, 20 August asiarisk.com.hk/valuation Advanced Stress Testing Sydney, 26 & 27 August, 22 & 23 September (Need to put in weblinks) Managing Currency Risk Singapore, 8 & 9 September fxweek.com/currencyrisk Practical Calibration and Implementation Techniques for Interest Rate Modelling, 10 & 11 September Sydney, 14 & 15 September asiarisk.com.hk/irmhk asiarisk.com.hk/irmsydney The realities of closing out transactions in volatile markets, 24 September asiarisk.com.hk/documentation Market Data Training, 2-6 November training is very well organised and provides true insight into the most current issues. It is also well attended by delegates from prominent financial institutions who could use it as a forum to share their views on market practice. Jane Jiang, Counsel, Allen & Overy Certificates of attendance are available for all our training courses

5 Tuesday 24th November 2009 Day Registration and coffee 9.30 KNOWING YOUR COUNTERPARTY RISK Operational due diligence Risk appetite for counterparties Counterparties to avoid and why? Understanding revenue generation Estimating default probability Use of internal ratings systems to assess counterparty risk IRB-A framework IRB-F framework Using external rating systems Rating in the current market Vivek Pathak, Chief Credit Officer, International Finance Corporation Morning break COUNTERPARTY ( FINANCIAL MARKETS) CREDIT RISK MEASUREMENT Why measure counterparty risk Methodologies available to measure counterparty risk Common methodology foundations: shortcomings and solutions Measuring and managing correlation risk Validation issues and Asian illustrations Monte Carlo simulation of potential future exposure Accounting for netting agreements Accounting for margin agreements Accounting for early termination agreements Accounting for credit derivatives Accounting for guarantees Modelling challenges Management challenges how are the results used? Rahul Talwakar, Head of Counterparty, ING ASIA Lunch ASSESSING EXPOSURE How does the standarised approach work for completeness of coverage The precision/cost tradeoff Types of transactions Advantages and disadvantages of the various methods Data requirements Typical problems in sourcing the data Implementation decision for a simulation methodology Types of risk factors and their statistical behaviour Risk neutral and actual scenarios Configuration for a typical bank Integrating complex pricing methodologies Choice between types of simulation models (one factor and multi factor) Aggregation across different products/risk types Dealing with credit mitigation Types of mitigation Data requirements for netting agreements (PSR and settlement netting) CSA calculation choices Calculating for both IMM and internal purposes Example of Interacting multiple model (regulatory EPE) calculation Pragmatic solution for implementation Bart Piron, Solution Manager, ALGORITHMICS Morning break ECONOMIC CAPITAL FOR COUNTERPARTY CREDIT RISK What is economic capital for counterparty risk? Information carried by exposures to manage the portfolio Information carried by loss profiles to manage the portfolio Measuring risks in credit traded portfolios Management applications Wrong way risk management and tactical pricing Integrating stress-tests and macroeconomic scenarios Capital allocation in the bank s ICAAP What takes precedence - economic or regulatory capital How do you reconcile the two? What does the business manage Regulatory view Counterparty credit risk in Pillar 1 Counterparty credit risk in Pillar 2 and reconciliation Other risks requiring market and credit risk integration Corrine Neale, Managing Director Capital Markets, ALGORITHMICS End of day one

6 Wednesday 25th November 2009 Day Registration and coffee 9.00 CASE STUDY ON ASIA Lessons learnt from Lehman How is one s capital planning affected by counterparty risk How capital affects the survival of a bank today Internal credit risk: does it affect regulatory capital? What is credit treasury? Practical application Morning break COLLATERAL MANAGEMENT Nature of collateral What collateral is acceptable Segregation of assets Custody of assets Trading in different jurisdictions Forward looking valuations and valuation disputes Collateral management beyond banks Andrew Gordon, Executive Vice President, Head of Broker-Dealer Services and Alternative Investment Services, Asia Pacific, THE BANK OF NEW YORK MELLON Lunch HOW PROPOSED GLOBAL REGULATORY CHANGES WILL IMPACT COUNTERPARTY RISK Role of central counterparty clearing for OTC derivatives Benefit of netting, transparency and portfolio compression through warehousing for swaps Impact of proposed changes to regulatory capital Changes to the regulation and transparency of hedge funds and systemically significant entities Impact of rating agency regulation Paget Dare Bryan, Foreign Legal Consultant, CLIFFORD CHANCE Afternoon break IS THE FUTURE CENTRAL COUNTERPARTY CLEARING? What is central counterparty clearing What can it achieve What does it do Differences between OTC, OTC clearing and exchange traded products Benefits Drawbacks OTC derivative migration towards exchange based systems Hurdles Drawbacks Case studies Where a CCP has worked Where a CCP might not have worked Manmohan Singh, Senior Economist, INTERNATIONAL MONETARY FUND End of Course

7 Registration & payment details I would like to book: Price Early Bird Standard (before Sept 25) (after Sept 25) US$2469 US$2899 * and Risk subscribers save 20%. Please add your subscriber number here: (Discounts cannot be combined) /09 Please complete the form below in BLOCK CAPITALS. Title Family name Job title / Position Department Company Address Post/zipcode Telephone (direct) Fax Approving manager Training manager First name City Country (main) Please note that payment must be received prior to the start of the event. A pro-forma invoice will be forwarded to you automatically should you not provide details with your booking. I have enclosed a cheque made payable to Incisive Financial Publishing Ltd. Please debit my: Amex Visa Mastercard Maestro Issue number Card no Expiry date CVS Account address if different from above Signature Date Incisive Financial Publishing Ltd. VAT No: GB For companies in EU member states only. Please write your VAT/TVA/BTW/IVA/ MCMS/MWST/FPA number here: Payment is required prior to the event. 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.

8 Your fee Your registration fee includes breakfast, lunch and refreshments and your documentation pack. Book online or fax the completed form with your credit card details, or follow up the provisional reservation with a cheque made payable to Incisive Financial Publishing Ltd. In order that we process your registration with maximum efficiency, we request that a copy of this booking form accompanies your payment. Subscriptions If you currently don t subscribe to or Risk magazine please contact irene.lo@incisivemedia.com for more information. Accommodation Please see website for more information asiarisk.com.hk Customer Services Asia-Pacific office mail Conference Administration, Incisive Financial Publishing Ltd., 20/F, Tower 2, Admiralty Centre, 18 Harcourt Road Admiralty, call + (852) fax + (852) e-fax + 44 (0) asiarisk@incisivemedia.com For registrations outside Asia mail Conference Administration, Incisive Financial Publishing Ltd Haymarket House, Haymarket, London, SW1Y 4RX, UK call +44 (0) fax +44 (0) e-fax +44 (0) conf@incisivemedia.com Warning: and Risk are registered trademarks, and the title, 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. *All discounts must be redeemed when booking, discounts will not be valid or applied after this time. Incisive Financial Publishing Ltd reserve the right to decline any discount offers and this offer cannot be used in conjunction with any other offer. Incorrect mailing, data protection: If any of the details on the mailing label are incorrect, please return the brochure to our database administrator at Incisive Media so that we can update our records and ensure that future mailings are correct. Please find our mailing address and fax details above. By registering for this training course, 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. Please remember that if you choose not to receive other literature you may miss out on some exclusive offers.*for a list of companies included in Incisive Media please see our website dataprotection Incisive Media is organising well-attended courses gathering practitioners and academics to address practical issues of relevance to Asian banks. There is as much value in the Experts presentations as in the lively debate that usually follows. Corinne Neale, Managing Director, Algorithmics a member of the Fitch Group.