Documente Academic
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participants
will be recieving
complimentary copy
of the pre-workshop
reading material
20 - 21 November, 2014
Clive Corcoran is an FCA registered investment adviser, financial trainer and author
having conducted workshops on a variety of topics including risk management, asset
allocation techniques and trading strategies especially with regard to the FX market.
The clients for whom he has recently provided in house training have included the Saudi
Investment Bank in Riyadh, Central Bank of North Africa, a sovereign wealth fund in the
Gulf, an asset management company in Beijing, a global banking group domiciled in
the Netherlands, Central Bank of South America, a public/private partnership in project
finance based in Washington D.C. and the European Investment Bank (EIB).
As an author, he has written several titles on finance and investment management. His
most recent book entitled Systemic Liquidity Risk and Bipolar Markets (Wiley Finance,
February 2013) looks at new challenges facing asset allocators and risk managers in the
post financial crisis environment. An earlier book entitled Long/Short Market Dynamics:
Trading Strategies for Todays Markets (Wiley, 2007) dealt primarily with alternative
asset management strategies.
He was also commissioned by the London based Chartered Institute for Securities
and Investment (CISI), to write three textbooks, Portfolio Construction Theory, Wealth
Management and Securities (Level 4) for those seeking the Investment Advice Diploma
and Financial Markets.
He has also been a regular analyst/contributor to CNBC Europe and other broadcast
outlets, a columnist for several print and online publications, and has been a featured
speaker at international investment and trading expos.
Clive has been working with some of the Worlds largest training organizations including
Euromoney, Fleming Gulf, Informa Telecom, etc.
9:00 am to 5:00 pm
COURSE OBJECTIVES
SESSION THREE
CASE STUDY:
- Excel model for credit transition matrix and estimating Credit Value At Risk
from ratings migration
Case Study
- Bypassing the credit risk from OTC transactions through Central Party
Clearing (CCP)
- Novation removes the risk of non-performance from originators of trades
- Netting, collateralization issues and preferential treatment of CCP exposure
in Basel III
- Understanding the loss waterfall in a CCP
- Understanding of the margin protocols of CPPs and SEFs
SESSION THREE
Credit Assessment and Financial Ratio Analysis
Financial Statement Analysis
Credit Assessment based on detailed analysis of corporate balance sheets,
income statements and cash flow statements
Impact of Corporate actions - capitalization or consolidation, rights issues
Financial ratios
Profitability, Liquidity, Asset turnover, Gearing
Liquidity ratios, pay-out ratios, financial stability ratios, operational gearing
Dividend policy, Return on equity, Return on Capital Employed ROCE
Earnings per share, P/E Ratios (historic and prospective)
Dividend yield, Dividend/interest cover, Price/book
Ratio based Methods for Determining Credit Stress and Defaults
Altmans Z score model, KMV model, Moodys Analytics,
Ohlson financial distress model, Risk Metrics, McKinsey Credit Portfolio View
Case Study
- Excel model showing the application of Altmans Z score model for default
prediction
Coffee & Networking Break
SESSION FOUR
Managing Credit Risk And Regulatory Capital Charges for Credit Risk
Mechanics of credit derivatives and how they can be used for hedging
portfolio credit risk
Single name credit derivatives (unfunded and funded structures)
Total return swaps, n-th to default Credit Derivatives
Basket and Tranche CDS, index based CDS
Impact on regulatory capital from use of, and exposure to, credit derivatives
ISDA documentation and legal framework for IR swaps, Credit Support
Annex (CSA)
Regulatory capital under Basel II and 2.5
New approaches to capital charges for credit risk under Basel III
Stress testing how to conduct stress testing with Monte Carlo Simulations
Calculating capital charges for credit exposures
o Standardized approach
o Foundation internal ratings based approach
o Advanced internal ratings based approach
Case Study And Concluding Discussion
- Excel modelling tool for conducting stress testing using standard VaR,
Expected Shortfall, and Random scenario generation (Monte Carlo Simulation)
- Will new techniques for credit risk modelling and provisions for alleviating
counter party credit risk prove effective in avoiding a similar crisis to that seen
in 2008?
TARGET AUDIENCE
The course is suitable for those engaged in credit
risk management and supervision within central
banks, treasury and risk management functions
in commercial banks, and asset managers
including those within hedge funds, pension
funds, securities analysts, private client wealth
managers, and sovereign wealth funds. In general
terms, the course will be valuable for all of those
who wish to expand their knowledge of
innovations in modelling credit risk, techniques
for credit risk management and the impact of
Basel III on capital markets.
The focus in the workshop will be on using
analytical tools exemplified in Excel - and there
will be abundant use of statistical/quantitative
techniques applied to credit risk analysis.
STRUCTURE OF THE COURSE
The course covers two days of lectures and the
focus will be on specific examples and case
studies. There will also be opportunities for
collective exercises and analytics using
quantitative techniques which will have been
explained.
For each day of the course there will be four
separate ninety minute sessions with coffee
breaks in the morning and afternoon with a
lunch break in the middle.
WHY THIS COURSE IS TIMELY
Treatment of credit risk is of a different order of
magnitude from that seen before the global
financial crisis. Prior to 2008 it was considered
almost inconceivable that major investment
banks and global insurers could default and
create a systemic credit and liquidity crisis. When
Lehman Brothers failed it had about 1.5 million
derivatives contracts with 8000 counter parties.
Since the crisis there has been a pervasive rethinking of most aspects of legacy risk
management techniques. In regard to credit risk,
financial regulators and the Basel Committee on
Banking Supervision have placed a great
emphasis on the need for innovative and more
robust methods of modelling financial stress and
the kinds of credit market deterioration that was
witnessed during the crisis. This course will focus
on the impact of this new thinking and practice
in the assessment of credit risk.
TESTIMONIALS
Excellent trainingmaterial covered was very
enlightening
Financial Analyst, Global Development Agency
Washington D.C.
Registration Details
Regular Tuition Fee: Rs. 89,000 per participant
*Group Discount: 15% Discount
on 2 or more nominations from the same organization
Includes courseware, certificate, lunch, refreshments and business networking.