Registration and formation of Discussion Teams

Introduction to Seminar

• Alexander Fleming, Sector Manager, World Bank

• Richard Keown, Director of Conferences, Incisive Media

Welcome Reception (MC Atrium, World Bank Headquarters)

End of day

Day 1: Regulatory and Supervisory Framework (Emerging Market Focus)

Chair: Jeffrey Carmichael, former Chairman, Australian Prudential Regulation Authority

0900

Opening Remarks

• Jeffrey Goldstein, Managing Director, World Bank

Keynote Address

• Sir Andrew Crockett, Managing Director, JP Morgan Chase International

Panel Discussion: Implementation of Basel II and IAS in Emerging Markets

• Moderator: Jeffrey Carmichael, former Chairman, Australian Prudential Regulation Authority (APRA) (download 78 kb Word document)

• Sir Andrew Crockett, Managing Director, JP Morgan Chase International

• Paulo Sergio Cavalheiro, Deputy Governor, Banco Central do Brazil (download 60 kb Word document)

• Ahmad Jachi, First Vice Governor, Banque du Liban

• Dato' Razif Abdul Kadir, Assistant Governor, Bank Negara Malaysia

• Cedo Maletic, Vice Governor, Croatian National Bank

Coffee Break

Survey Results: Challenges with Risk-Based Supervision Under Basel II

• Jeffrey Carmichael, Chairman, Australian Prudential Regulation Authority (download 22 kb Word document • download 734 kb PowerPoint presentation)

Lunch (Main Complex 12th floor Gallery)

Country Case Studies: Addressing the Challenges of Basel II

This session will include: assessing progress and roadmap; implementation timeframe and challenges; and policy implications

• Brazil: Paulo Sergio Cavalheiro, Deputy Governor, Banco Central do Brazil (download 219 kb PowerPoint presentation)

• Lebanon: Dr. Ahmad Jachi, First Vice Governor, Banque du Liban; Dr. Amine Awad, Board Member, Lebanon Banking Control Commission, Banque du Liban (download 293 kb PowerPoint presentation)

• Malaysia: Dato' Razif Abdul Kadir, Assistant Governor, Bank Negara Malaysia (download 4.3 Mb PowerPoint presentation)

Breakout Sessions

Coffee Break

Plenary Session

Chairman's Closing Remarks

End of Day 1

Day 2: Risk Management Systems and Infrastructure (G-7 Best Practice)

Chair: Dr. David M. Rowe, Executive Vice President, Risk Management, SunGard Trading and Risk Systems

0910

Risk Architecture in a Basel II World

• Dr. David M. Rowe, Executive Vice President, Risk Management, SunGard Trading and Risk Systems (download 942 kb PowerPoint presentation)

  • The Basel Accord: Rationale and Brief History

  • Credit Data: The Consolidation Challenge

  • Available technology options

  • Supporting better decisions, not just regulatory compliance

  • The buy vs. build decision

Enterprise Risk Management: Effectively Implementing Basel II

• Ron Dembo, Chief Executive Officer, Algorithmics Inc.

Regulatory Perspective: Assessing Best Practice Risk Systems

• Michael Ainley, Head of International Firms Department, Financial Services Authority (download 140 kb PowerPoint presentation)

  • Basel II: Objectives and main elements

  • Progress made so far

  • FSA's approach to implementation and timetable

  • The main challenges for banks (including methodology, validation, data, risk management and governance)

  • The main challenges for regulators (including resourcing, consistency and co-operation)

  • Costs and benefits

Roundtable Discussion: Priorities for Risk Management Tools and Data Management

• Moderator: Michael Ainley, Head of International Firms Department, Financial Services Authority

• Ron Dembo, Chief Executive Officer, Algorithmics Inc.

• Christopher Finger, Head of Credit Products, Riskmetrics Group

• Dr. David M. Rowe, Executive Vice President, Risk Management, SunGard Trading and Risk Systems

• Donald Solberg, Vice President, Capital Compliance and Oversight, Freddie Mac

Lunch

Securitization, Risk Management, and Bank Capital

• Ashish Dev, Executive Vice President & Group Head, Enterprise Risk Management, KEYCORP (download 198 kb PowerPoint presentation • download 213 kb PowerPoint presentation)

  • What is 'securitisation' and 'tranches'?
    

  • Securitization as a source of funding/liquidity for financial institutions
    

  • Interest rate/prepayment risk in securitisation
    

  • Credit risk in securitisation tranches
    

  • Securitisation and Basel II
    

  • Economic and regulatory capital for securitisations

Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates

• Til Schuermann, Senior Economist, Federal Reserve Bank of New York (download 446 kb PowerPoint presentation • download 236 kb PDF)

• How should you measure and manage the very diverse set of risks in a financial conglomerate?
  

• How should assessments of capital adequacy take into account diversification or concentration of activities within a conglomerate?
  

• What are the implications for regulating the solvency of a multi-line conglomerate?
  

• Consider a range of approaches to look at the three main levels of risk aggregation
  

• within a risk type e.g. credit risk in retail, commercial and international business lines
  

• across risk types within a subsidiary e.g. market, credit and operational risk within a bank
  

• across subsidiaries e.g. bank + insurance

Coffee Break

Case Study: LTCM and Lessons for Risk Management Systems and Supervision

• André F. Perold, George Gund Professor of Finance and Banking, Harvard Business School (download 268 kb PDF)

Chairman's Closing Remarks

Happy Hour (MC Unsecured Lobby)

Day 3: Credit and Market Risks (Market Focus)

Chair: Arun Pingaley, Senior Solutions Architect, Reveleus

0900

Chairman's Opening Remarks

• Arun Pingaley, Senior Solutions Architect, Reveleus (download 700 kb PowerPoint)

Framework for Evaluating Credit Risks

• Jeffrey Carmichael, former Chairman, APRA (download 374 kb PowerPoint presentation)

  • Application of credit risk models

  • Modelling default; KMV: ‘Credit Monitor’ (Moody’s)
    

  • Portfolio models of credit risk; CreditMetrics (JP Morgan Chase), CreditRisk+ (Credit Suisse)

Panel Discussion: Challenges in Implementing Banks' Internal Credit Rating Systems

• Moderator: Charles Smithson, Partner, Rutter Associates

• Michael Ainley, Head of International Firms Department, Financial Services Authority

• Barbara Grunkemeyer, Deputy Comptroller for Credit Risk, Office of the Comptroller of the Currency

• Lee Hemphill, Managing Director, Credit Risk Management & Advisory, Goldman Sachs

• Dennis Oakley, Managing Director, JP Morgan Chase

Coffee Break

Use of Derivatives as a Risk Management Tool and Policy Implications

• Charles Smithson, Partner, Rutter Associates (download 328 kb PowerPoint presentation)

  • The tool box: The spectrum of derivative instruments being used by financial institutions
    

  • Asset-Liability Management: Using interest rate derivatives to manage the ‘maturity gap’ and/or the ‘duration and convexity’ of the institution’s portfolios of assets and liabilities
    

  • Managing risks in the investment portfolio: Using interest rate and foreign exchange derivatives (and in some cases equity and commodity derivatives) to modify the risk in the institution’s investment portfolio
    

  • Managing the financial institution’s core credit risk: The evolution of credit derivatives has made it possible for a financial institution to reduce or increase its credit exposure to individual obligors and groups of obligors.
    

  • Policy implications of the use of derivatives by financial institutions

Lunch (Participants will be on their own)

Practical Challenges in Implementing Credit and Market Risk Solutions and Ways to Solve Them

• Arun Pingaley, Senior Solutions Architect, Reveleus

• Preparations prior to implementing a credit or market risk solution
  

• Challenges

  • data management issues

  • traceability issues for auditability
    

  • adaptability issues for continuing changes to policies
    

  • delivering a common solution for the risk management eco-system
    

  • leveraging regulatory capital infrastructure for enhanced uses
    

  • economic capital, RAROC and beyond

• Pre-requisites of a comprehensive solution

Framework for Assessing Market Risks

• Philippe Jorion, Professor of Finance, Graduate School of Management, University of California-Irvine (download 435 kb PDF)

  • Components of a market risk measurement system: Reporting system, analytical system, and risk engine
    

  • Evolution of market risk management systems: From limits on notional to limits on VAR
    

  • Value at Risk as a measure of downside risk
    

  • Choice of VAR parameters: Horizon and confidence level
    

  • VAR caveats: Alternative measures of risk
    

  • Stress tests: Historical and prospective scenarios

Coffee Break

Technical Modelling Workshop: Market Risk Measurement Techniques

• Philippe Jorion, Professor of Finance, Graduate School of Management, University of California-Irvine (download 451 kb PDF • download 870 kb PDF)

  • Risk factors and mapping
    

  • Approaches to risk measurement: Variance-covariance method, historical simulation method, Monte Carlo simulation method
    

  • Modeling time variation in risk: GARCH process
    

  • Managing risk with marginal VAR, incremental VAR, and component VAR

Chairman's Closing Remarks

Reception (Twelfth Floor Gallery, Main Complex, World Bank)

Sponsorship Dinner—Enterprise Risk Management (Twelfth Floor Gallery, Main Complex, World Bank)

• Introduction: David Koenig, Chairman, PRMIA
  

• Keynote Speaker: James Lam, President, James Lam & Associates (download 764 kb PowerPoint presentation)

Day 4: Liquidity and Operational Risks (Regulatory Focus)

Chair: Eric Rosengren, Senior Vice President, Supervision, Regulation and Credit Department, Federal Reserve Bank of Boston

0900

Chairman's Opening Remarks

Effective Liquidity Risk Management

• Leonard Matz, Managing Director, Kamakura Corporation (download 488 kb PowerPoint presentation)

  • Measuring liquidity risk
    

    • -common liquidity metrics: strengths and weaknesses
      

    • -cash flow projections, liquidity scenarios and stress levels
      

  • Managing liquidity risk
    

    • management approaches and tools, limits, management reporting
      

    • stress testing, contingency funding plans and potential crisis responses

An Integrated Framework for Measuring and Managing Operational Risk

• Robin L. Phillips, Vice President, Corporate Operational Risk, JP Morgan Chase & Co.

Coffee Break

Operational Risks and Scorecards

• Gene Alvarez, Vice President and Manager, Operational Risk Management Department, Bank of Tokyo-Mitsubishi, Ltd. (download 840 kb PowerPoint presentation)

• Introduction to operational risk
  

• Effective management of operational risk
  

• Operational risk reports
  

• Collecting and managing operational loss data
  

• Scorecards and quantitative tools
  

• Effective Key Risk Indicators
  

• Implementing a self assessment programme

Lunch (Participants on their own)

Regulatory Incentives on Operational Risk

• Eric Rosengren, Senior Vice President, Supervision, Regulation and Credit Department, Federal Reserve Boston (download 184 kb PowerPoint presentation)

  • Regulatory overview of Basel II operational risk charges
    

  • Supervisory perspective of Basel II operational risk charges
    

  • Emerging best practices in operational risk at internationally active banks
    

  • Home/host issues with operational risk
    

  • Implications for emerging markets

Case Study: Korea First Bank—Risk Exposure and Risk Management

• George Allayannis, Professor, Darden Graduate School of Business, University of Virginia (download 40 kb Word document • download 256 kb PowerPoint presentation)

Case Study Breakout Sessions

Coffee Break

Case Study: Presentations and Conclusion

• George Allayannis, Professor, Darden Graduate School of Business, University of Virginia (download 84 kb PDF • download 7 kb PDF)

Chairman's Closing Remarks

Discussion Teams Prepare Final Presentations

End of Day 4

Day 5: Accounting and Corporate Governance (EM Application)

Chair: tbd

0900

Chair's Opening Remarks

Corporate Governance: Country Assessments and EM Performance

• Simon C. Y. Wong, Corporate Governance Expert, McKinsey & Company (download 404 kb PowerPoint presentation)

  • Corporate governance reform is a priority across the world
    

  • Equity investors are willing to pay premiums for companies with good governance
    

  • Equity investors see corporate governance risks at three levels
    

  • Corporate governance is starting to be incorporated into credit analysis
    

  • The role of banks in improving corporate governance
    

  • Challenges to the improvement of corporate governance in emerging markets

Risk Management, IAS and Governance: Market Implications

• Richard Reynolds, Partner, PricewaterhouseCoopers (download 822 kb PowerPoint presentation)

Coffee Break

Identifying Best Practice and Methodologies for Optimal Regulatory and Economic Capital Allocation

• Tom Wilson, Managing Director, Co-Head of the Finance & Risk Practice, Mercer Oliver Wyman

Economic and Regulatory Capital: Strategic Implications

• Dr. Sebastian G. Fritz, Head of Risk Analytics & Instruments, Deutsche Bank AG (download 851 kb PDF)

Panel Discussion: Challenges of Risk Management and Supervision—EM Experience

• Moderator: Representative, World Bank

• Team Leader: Dr. Sebastian G. Fritz, Head of Risk Analytics & Instruments, Deutsche Bank AG

• Team Leader: Khalid Sheikh, ABN AMRO

Coffee Break

Discussion Groups to Present "Lessons Learned and Action Points"

Chairman's Closing Remarks

Course Certificates/CD-ROM/Evaulations

End of seminar