Credit and investment risk management in a commercial bank

Programme

The global risk perspective. New approaches to the theory and practice of risk management

• Global volatility in world money markets
• Currency wars as a systemic risk factor
• Commodity price instability. Which countries are the most vulnerable?
  Macroeconomic imbalances: national currency stability, trade imbalance, financial crisis and asset price collapse.
• The new reality: high unemployment, low GDP growth, high debt, weak global demand.
  The impact of macroeconomics and geopolitics on a commercial bank's strategy
• Criteria for successful bank management in a changing environment: can classic ratios or bank value indicators be used?

Workshop: Currency interventions to weaken and to strengthen the national currency. The role and functions of currency interventions under money market volatility

Organising risk management in a bank. Main trends in risk assessment

• How applicable is accumulated financial market statistics to analysing and forecasting risks? Do market events repeat or not
• Legal regulation of risk management in banks
• The psychology of risk and decision-making
• The practice of integrating risk management into the activities of a commercial bank
• The impact of risk on the distribution of capital and business value between owners and shareholders
• Factors influencing the formation of banking risks
• Ensuring counterparty loyalty for risk management purposes in a bank
• Principles of credit and investment risk management
• The impact of demographics and changing standards on credit and investment products
• Organisational principles of the credit and investment risk management and control system
• IFRS for banks and business
• Adaptive approaches
• Financial diagnostics and legal due diligence
• Investment strategies
• Profit Based Pricing as a system for optimising risk and return in pricing
• Finding investment resources in a crisis
• Creating attractive conditions for international investors
• Evaluating investment decisions for corporate clients
• Building a financial risk management model

Workshop:

• Choosing a corporate financing method
• Modelling risk management in debt restructuring

Modern models and approaches in bank and corporate risk management. Bank strategies for minimising risks

• Building a financial recovery model
• Estimating the probability of default, losses and the bank's debt recovery rate
• Restructuring doubtful assets
  Cooperation between treasury and risk management in liquidity management
• Definitions and calculation methods adapted to the banking system of a developing economy with a large role of the commodity sector

Workshop: A modern risk identification matrix

Borrower creditworthiness assessment models

• The system of indicators for the qualitative assessment of borrower creditworthiness
• Credit rating assessment and how to build it
• List of the main indicators and ratios used in the rating calculation

Workshop: The structure of a scoring model for an individual borrower

Credit risk assessment methods

• Credit risk. Reducing counterparty risk
• Criteria for classifying credit products on rating scales
• Internal IRB systems
• Insurance as a tool for reducing credit risks
• Classification of credit claims and adaptation to country specifics. Implementation problems under Basel II and Basel III

Workshop: The art of understanding financial indicators

Operational risk management. Assessing loan portfolio risk

• Operational risk management as part of the internal control system
• The operational risk management system
• Practical recommendations on identification and assessment
  The practice of building anti-fraud systems in banks
• Building a portfolio risk model: CreditMetrics, CreditRisk+, CSFB
• Industry diversification and portfolio optimisation
• Tools and ways of limiting and controlling credit risk; main methods of active loan portfolio management
• Stress testing
• Methodological and technological support of the procedure

Workshop: Stress testing credit risk in project finance