q1 training calendar
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Training CalendarJanuary – March 2014
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About Incisive Training
Incisive Training has been providing financial training courses for over fifteen years.
Our public training courses are independently researched with industry experts to offer you focused and topical agendas on business critical issues facing the financial markets.
At each course you will hear from expert practitioners offering their expertise and practical techniques to ensure you can resolve and respond swiftly to changing regulation, in addition to equipping you with the knowledge you need to advance in your careers.
In-House Incisive Training
All our public Incisive Training courses are transferrable into an in-house course, tailored to suit your specific training needs of your organisation. Alternatively our team can structure a unique program and produce bespoke courses for your business.
For more information on in-house courses or for a quote, contact
Alex Xavier on +44 (0) 207 004 7660 or via [email protected]
Benefits of Incisive Training
Cutting edge topics: we carefully research and develop the content of our seminars and training courses to ensure we meet the business needs of financial risk managers from around the world
High quality speakers: our high quality speakers come from a range of organisations such as banks, investment managers, regulatory bodies and academic institutions. This allows you to learn from a range of market experts
Peer group networking: given the niche subject matter we cover, group sizes at our seminars and training courses are intimate which in turn encourages focused discussion, debate and sharing of best practice
Benchmarking: you will be learning alongside participants from similar organisations, disciplines and cultures which will allow you to benchmark your own firms working practices
CPD/CPE: the majority of our training courses in Europe and North America will allow you to gain valuable CPD and CPE points to demonstrate your commitment to maintaining your knowledge and skills
Trust: Risk has been a trusted provider of cutting edge training courses and seminars for over 15 years, and we pride ourselves on the timeliness and relevance of our content, as well as the expertise and professionalism of our tutors
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Subject Venue Month > Finding Business Value In Solvency II London February
> VaR and Alternative Analytics London February
> VaR and Alternative Analytics New York February
> Counterparty Risk: Funding and Discounting CVA & FVA London March
> Counterparty Risk: Funding and Discounting CVA & FVA New York March
> Variable Annuities in Europe: 2014 & Beyond London March
> Pricing IRDs: OIS Discounting, Risk, Operations and Audit London March
> Generation Asset Anayltics & Risk Management London March
> Capital Management Under Basel III and CRDIV London March
> Pricing IRDs: OIS Discounting, Risk, Operations and Audit New York March
> Selecting and Designing KRIs London March
> Risk Model Validation: A Practical Approach for US Financial Institutions New York March
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Finding Business Value in Solvency II
About the CourseFor many years now Solvency II has been creating a compliance burden for Insurers. Now, as we are starting to gain more clarity on the shape that the regulation will take, attention can be turned to making Solvency II work from a business perspective.
This course will look at the key requirements of Solvency II and assess how strategic benefits can be gained from compliance.
Learning Outcomes– An understanding of the progress of Solvency
II and an update on predicted implementation deadlines
– Insight on optimal capital and asset allocation strategies
– Understanding of how to create and implement internal models under Solvency II
– Awareness of balance sheet optimisation under Solvency II
– Comprehensive knowledge of the qualitative aspects of Solvency II including setting risk appetite
– An overall appreciation of how Solvency II compliance can add business value
Who should attend– Actuary– Head of Solvency II– Solvency II Programme Managers– Director– Vice President– Compliance– Treasurers– Capital Management– Risk Officers– Risk Management– Financial Officers– Analysts– CEO
Location: London
Date: 19 & 20 February 2014
Website: www.training.risk.net/solvency Finding Business Value in Solvency II
in
London 19 & 20 February 2014
12Points
Course highlightsAn update on the progress of Solvency II
Insights from expert practitioners
Emphasis on creating value through Solvency II compliance
Focus on ORSA and reporting requirements
Developing and communicating risk appetite
Discussion of optimal asset and capital allocation strategy
Course tutors
William Coatesworth, Consulting Actuary, Milliman LLP
David Simmons, Head of Strategic Capital and Result Management, Willis re
Alain Robert-Dautun, Head of Risk Management, Sycomore Asset Management
Scott Eason, Head of Insurance and Pension Advisory, Societe Generale
Anthon Seidel, Head of Group Wide ORSA Implementation, Swiss re
Nicola Askham, Independent Data Governance Coach
www.training.risk.net/solvency
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VaR and Alternative Analytics
Learning Outcomes– The objectives and implications of the finalised
Fundamental Review of the Trading Book– The expectations of risk professionals from the
regulators in the next 2 - 5 years– How approving risk models at the desk level will
help banks avoid weaknesses in modelling– The risk and trading implications of moving the
boundary between banking and trading book products
– How communicating risk, and improving governance throughout an institution can influence strategy
Who should attend– Compliance– Risk Manager– Derivatives – Regulatory Reporting– Quantitative Analyst– Market Risk– Model Validation– Internal Audit– Capital Management– Risk Policy– Risk Strategy– Risk Appetite
Location: London
Date: 25 & 26 February 2014
Website: www.training.risk.net/varlondon
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About the CourseRisk is delighted to announce a brand new seminar covering the objectives, theoretical justifications, and practical implications of the soon-to-be-finalised Fundamental Review of the Trading Book. After a process that has taken many years and much consultation, the Basel Committee is expected to publish final rules and implementation guidelines in regard to a new framework governing the calculation and management of market risk capital in the trading book.
VaR and Alternative Metrics: Risk Models, Regulation and Governance
in
www.training.risk.net/varlondon
London 25 & 26 February 2014
Course highlights• Ledbyexperiencedchairmenwithlonghistoryofmarketexpertise
• MembersoftheBCBSTradingBookGroupwillpresentonanddiscusstheFundamentalReview
• Threepaneldiscussionsallowfordynamicandopendiscussioninaclosed-doorsetting(ChathamHouse)
• Discusstheincreasingimportanceofriskgovernanceandcommunicationwithinbanking institutions
• Heavyfocusonpracticalmodellingtechniques,withnewmethodsdrivenbyregulation and innovation
• VaRandExpectedShortfallweighedupagainstoneanotherinlightofregulatorydrivetoES
SpeakersKarsten Stickelmann, Director,DeutscheBundesbankandmemberofBCBSTradingBookGroup
Panelists:
Vincent Baritsch, HeadofGroupPrudentialPolicy, RBS
Jim Congleton, HeadofMarketRiskAnalytics,StandardChartered
Ed Duncan, Director,RiskRegulatoryLiaison,BarclaysCapital
Marc Peters, AdvisorandPrudentialPolicyExpert,NationalBankofBelgiumandmemberofBCBSTrading
Jerry English, HeadofTradingBookCapitalManagement, LloydsBankingGroup
Ignacio Ruiz, CEOandFounder, iRuizConsulting
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VaR and Alternative Analytics
Learning Outcomes– The objectives and implications of the finalised
Fundamental Review of the Trading Book– The expectations of risk professionals from the
regulators in the next 2 - 5 years– How approving risk models at the desk level will
help banks avoid weaknesses in modelling– The risk and trading implications of moving the
boundary between banking and trading book products
– How communicating risk, and improving governance throughout an institution can influence strategy
Who should attend– Compliance– Risk Manager– Derivatives – Regulatory Reporting– Quantitative Analyst– Market Risk– Model Validation– Internal Audit– Capital Management– Risk Policy– Risk Strategy– Risk Appetite
Location: New York
Date: 26 & 27 February 2014
Website: www.training.risk.net/varnewyork
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About the CourseRisk is delighted to announce a brand new seminar covering the objectives, theoretical justifications, and practical implications of the soon-to-be-finalised Fundamental Review of the Trading Book. After a process that has taken many years and much consultation, the Basel Committee is expected to publish final rules and implementation guidelines in regard to a new framework governing the calculation and management of market risk capital in the trading book.
VaR and Alternative Metrics: Risk Models, Regulation and Governance
in
www.training.risk.net/varnewyork
New York February 27 & 28, 2014
Course highlights• Ledbyexperiencedchairmenwithlonghistoryofmarketexpertise
• MembersoftheBCBSTradingBookGroupwillpresentonanddiscusstheFundamentalReview
• Threepaneldiscussionsallowfordynamicandopendiscussioninaclosed-doorsetting(ChathamHouse)
• Discusstheincreasingimportanceofriskgovernanceandcommunicationwithinbanking institutions
• Heavyfocusonpracticalmodellingtechniques,withnewmethodsdrivenbyregulationandinnovation
• VaRandExpectedShortfallweighedupagainstoneanotherinlightofregulatorydrivetoES
SpeakersChairmanandCourseModerator
Santa Federico, IndependentConsultant,formerCROMarketRisk, Ally Bank
Norah Barger, SeniorAdvisor,DivisionofBankingSupervisionandRegulation, FederalReserveBoardofGoverners, andCo-chairofBCBSTradingBookGroup
Gordon Liu, HeadofWholesaleandMarketsRiskAnalytics, HSBCBankUSA
Lucio Della Ratta, InternalAuditDirector, RiskandTreasury,BarclaysCapital
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Counterparty Risk: Funding and Discounting CVA & FVA
About the CourseThis course is essential for institutions that are keen to improve their knowledge in the key areas of modelling, managing and hedging counterparty risk. It will be of specific interest to those who are working to establish or improve their own CVA and FVA analytics and trading function.The course will also appeal to individuals from major CVA traders who would benefit from further knowledge on the fundamentals of the active management of counterparty risk.
Learning Outcomes– Understand wrong way risk – Calculate CVA using advanced methodologies– CVA, DVA and funding explained – Know how to manage CVA risk – Implement a Counterparty Risk system in your
organisation– Distinguish the interaction between risk
management, capital calculation and CVA pricing– Determine how to optimise your corporate
framework.
Who should attend– CVA Trading– CVA Controller– Structured Credit Valuation/Trading– Head of Counterparty Risk Management– Head of Collateral Management– Counterparty Risk Analyst– Head of Credit Risk– Derivative Operations– Chief Risk Officer– Credit Risk Management/Analytics– Market Risk Management/Analytics– Quantitative Analyst– CVA Modelling– Model Review– Model Validation
Location: London
Date: 5 & 6 March 2014
Website: www.training.risk.net/counterpartylon
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Counterparty Risk Funding and Discounting CVA & FVA
in
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New York 12 & 13 March 2014
CPE Accredited
Course highlightsIntroduction to discounting CVA and FVA
Guidance on Monte Carlo Simulation and more complex methodologies
Practical examples of pricing
Implementation of a CVA & FVA system in your organisation
Hedging CVA and FVA
Calculating regulatory and economic capital
CVA risk management
Practicalities of trading systems
About the tutorIgnacio Ruiz provides contracting and independent consulting services in Quantitative Risk and CVA. He is highly delivery orientated. Ignacio has a proven track record at designing risk methodologies, building risk analytics frameworks and managing projects to completion in tier-1 investment banks.
Previous to establishing himself independently, he was the head strategist for Counterparty Risk exposure measurement at Credit Suisse, and the head of Equity Risk Methodology at BNP Paribas. He holds a PhD in nano physics from Cambridge University.
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Counterparty Risk: Funding and Discounting CVA & FVA
About the CourseThis course is essential for institutions that are keen to improve their knowledge in the key areas of modelling, managing and hedging counterparty risk. It will be of specific interest to those who are working to establish or improve their own CVA and FVA analytics and trading function.The course will also appeal to individuals from major CVA traders who would benefit from further knowledge on the fundamentals of the active management of counterparty risk.
Learning Outcomes– Understand wrong way risk – Calculate CVA using advanced methodologies– CVA, DVA and funding explained – Know how to manage CVA risk – Implement a Counterparty Risk system in your
organisation– Distinguish the interaction between risk
management, capital calculation and CVA pricing– Determine how to optimise your corporate
framework.
Who should attend– CVA Trading– CVA Controller– Structured Credit Valuation/Trading– Head of Counterparty Risk Management– Head of Collateral Management– Counterparty Risk Analyst– Head of Credit Risk– Derivative Operations– Chief Risk Officer– Credit Risk Management/Analytics– Market Risk Management/Analytics– Quantitative Analyst– CVA Modelling– Model Review– Model Validation
Location: New York
Date: 12 & 13 March 2014
Website: www.training.risk.net/counterpartyny
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Counterparty Risk Funding and Discounting CVA & FVA
in
www.training.risk.net/counterpartyny
New York 12 & 13 March 2014
CPE Accredited
Course highlightsIntroduction to discounting CVA and FVA
Guidance on Monte Carlo Simulation and more complex methodologies
Practical examples of pricing
Implementation of a CVA & FVA system in your organisation
Hedging CVA and FVA
Calculating regulatory and economic capital
CVA risk management
Practicalities of trading systems
About the tutorIgnacio Ruiz provides contracting and independent consulting services in Quantitative Risk and CVA. He is highly delivery orientated. Ignacio has a proven track record at designing risk methodologies, building risk analytics frameworks and managing projects to completion in tier-1 investment banks.
Previous to establishing himself independently, he was the head strategist for Counterparty Risk exposure measurement at Credit Suisse, and the head of Equity Risk Methodology at BNP Paribas. He holds a PhD in nano physics from Cambridge University.
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Variable Annuities in Europe: 2014 & Beyond
About the CourseThis two day training course is delivered by expert speakers and experienced insurance-sector facing practitioners. By attending this course, practitioners will be provided with the skills to fully integrate a risk management focus into product design, whilst also considering wider regulatory issues that are indicating the need for new approaches to variable annuities.
Learning Outcomes– Definitive overview of significant regulatory
challenges– A clear understanding of the impact of Solvency II
capital requirement on the VA book– Reviewing sources of risk including market risk
and hedging– Develop a best-practice approach to sustainable
product design– Gain experience in incorporating risk
management into product design
Who should attend– Actuary– Head of Solvency II– solvency II Programme Managers– Director– Vice President– Compliance– Treasurers– Risk Officers– Risk Management– Financial Officers– Analysts– CEO– Asset Allocation
Location: London
Date: 18 & 19 March 2014
Website: www.training.risk.net/va
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Pricing IRDs: OIS Discounting, Risk, Operations and Audit
Learning Outcomes– The operational challenges of managing collateral
and margin in a CVA sensitive world– How the use of OIS Discounting has had an
impact on pricing methodology and support functions
– Why CVA has become a central part of dealers’ derivatives operations, and how it can be priced accurately
– What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
– The objectives of hedging CVA and FVA, and the role of the CVA/FVA desk
– The impact of these many challenges on middle office and back office trading functions, particularly in regard to collateral and margin
– The long term risk, compliance and audit requirements for market participants
Who should attend– Rates Trade Support– Derivatives Middle Office– Derivatives Back Office– Derivatives Finance/Funding– Treasury– Derivatives Legal– Derivatives Technology– Compliance– Internal Audit– Market Risk Manager– Credit/Counterparty Risk Manager
Location: London
Date: 18 & 19 March 2014
Website: www.training.risk.net/irdlondon
Course highlights– Detailed examples of the basics
of modelling: bootstrapping, zero-curve building
– Examples of how pricing models are applied to various interest rate products
– Case study on building OIS-LIBOR, OIS Forward and OIS Swap Curves and the pitfalls to avoid
– Discussion on the impact of collateral and counterparty risk on funding and pricing
– Discussion on hedging strategies to minimise CVA/FVA volatility
– Presentation on regulatory developments, internal audit and model validation
Pricing IRDs: OIS Discounting, Risk, Operations, and Audit
in
www.training.risk/irdlondon
London March 18 & 19, 2014
SpeakersFrank Mulder Senior Interest Rates Trader, Rabobank International
Chris Hunt Former Head of Counterparty and Market Risk Operations
Moises Gerstein Director, CVA and FVA, ING Bank
Lucio Della-Ratta Audit Director, Risk and Treasury, Barclays
Julian Keenan Head of CVA and FVA, Lloyds Banking Group
Ales Lipensky CVA and FVA Trader, Lloyds Banking Group
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About the CourseRisk has hosted a number of group seminars exploring the industrywide impact of these developments. We are now pleased to be hosting a training course which will provide examples of how OIS discounting has impacted on pricing methods, how and why this effects middle and back office functions, as well as the consequences for compliance and internal audit groups.
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Capital Management under Basel III and CRDIV
Learning Outcomes– Understanding the capital requirements under
BIII/CRDIV for cleared and non-cleared OTC transactions
– Quantify the capital benefit of an IMM framework vs. the infrastructure costs
– Learn how to make your IMM framework function in the most complex cases (collateralized MC, extended MPR, full simulation of initial margin)
– Understand the business impact of new regulation (e.g. the BIS proposal for a unified Non-IMM and the BCBS-IOSCO initiative for IM for uncleared OTC’s)
– Improve your capital management under central clearing
– Discover which trades can and should be cleared
Who should attend– Capital management– Economic capital– Counterparty risk (front and middle office)– Market risk– Traded credit risk– Fixed income– Equities– Foreign exchange– Commodities– Quantitative analysis– Collateral management– Derivatives valuation– Model review/validation– Internal audit
Location: London
Date: 20 & 21 March 2014
Website: www.training.risk.net/capital
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About the CourseRisk is delighted to provide a two day training course delivered by experts from Credit Suisse and UBS. The course will specifically cover topics in counterparty risk including Basel III/CRDIV Capital Requirements, the Internal Model Method (IMM), Collateralised Monte Carlo, Central Clearing and Capital Management in the new regulatory landscape.
Capital Management Under Basel III and CRDIV
in
London 20 & 21 March 2014
12Points
Course highlightsOverview of capital regulations under Basel III and CRDIV
Internal Model Method (IMM) vs. standardised approaches
IMM from both a technical and governance perspective
Initial margin requirements under central clearing
Capital management in the central clearing process
Collateral liquidity assessments
About the tutorsDr Fabrizio Anfuso, Head of IB CCR Backtesting, CREDIT SUISSE
Fabrizio is heading the CCR Backtesting methodology team in the Investment Banking Division of Credit Suisse.
His areas of expertise are counterparty credit risk modelling, derivative pricing and regulatory capital. The main focus of his activity is the development and backtesting of stochastic models for exposure calculation of OTC derivatives, security financing transactions and exchange traded derivatives, as well as other regulatory driven methodologies.
Fabrizio is co-chairing the master’s course on counterparty credit risk of the quantitative finance program of the University L. Bocconi in Milan.
Dr Dimitris Karyampas, Director, IB Exposure Measurement, UBS
Dimitris is Senior Quantitative Analyst, Director at UBS AG. His areas of expertise are counterparty credit risk (CCR) modelling, CVA/FVA pricing and regulatory capital for the trading book. He works on stochastic models for capital computations for OTC derivatives, security financing transactions and exchange traded derivatives.
Dimitris is co-chairing the master course on Counterparty Credit Risk of the quantitative finance program of the University L. Bocconi in Milan.
www.training.risk.net/capital
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Generation Asset Analytics & Risk Management
Learning Outcomes– The latest methodologies for modelling energy
prices, including single factor, multi factor and hybrid models
– Explore various numerical techniques to value options, model assets and measure risk
– Effectively analyse wind and hydro assets– How to treat generation assets as ‘real options’– Determine the effects of operational constraints
and emissions on the value of generation assets– Measure the risk in portfolios that contain
generation assets and financial contracts– Accurately calculate important risk metrics such as
value at risk, earnings at risk, revenue at risk, gross margin at risk and potential future exposure
Who should attendHeads, directors, managers and business analysts of:– Quantitative analysis– Risk management– Risk modelling– Structuring– Valuation– Power asset optimisation– Portfolio optimisation
Location: London
Date: 18 & 19 March 2014
Website: www.training.risk.net/generationasset
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About the CourseThis practical two day course is essential for gaining an overview of different price models and numerical techniques to allow you to value and manage a portfolio of thermal, wind, and hydro generation assets along with standard power contracts. You will learn how to delta hedge assets, calculate a variety of risk metrics such as Value at Risk, Earnings at Risk, Potential Future Exposure, and how to analyse these risk metrics.
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Pricing IRDs: OIS Discounting, Risk, Operations and Audit
Learning Outcomes– The operational challenges of managing collateral
and margin in a CVA sensitive world– How the use of OIS Discounting has had an
impact on pricing methodology and support functions
– Why CVA has become a central part of dealers’ derivatives operations, and how it can be priced accurately
– What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
– The objectives of hedging CVA and FVA, and the role of the CVA/FVA desk
– The impact of these many challenges on middle office and back office trading functions, particularly in regard to collateral and margin
– The long term risk, compliance and audit requirements for market participants
Who should attend– Rates Trade Support– Derivatives Middle Office– Derivatives Back Office– Derivatives Finance/Funding– Treasury– Derivatives Legal– Derivatives Technology– Compliance– Internal Audit– Market Risk Manager– Credit/Counterparty Risk Manager
Location: New York
Date: 25 & 26 March 2014
Website: www.training.risk.net/irdnewyork
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About the CourseRisk has hosted a number of group seminars exploring the industrywide impact of these developments. We are now pleased to be hosting a training course which will provide examples of how OIS discounting has impacted on pricing methods, how and why this effects middle and back office functions, as well as the consequences for compliance and internal audit groups.
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Selecting and Designing KRIs
Learning Outcomes– Design an efficient indicator program in a risk
management framework– Specify relevant indicators for various tasks– Focus on predictive risk indicators for their own
activity– Use indicators as an effective management tool– Collect the right information to report on– Define threshold levels for KRI that translate
corporate risk appetite– Comprehend the methods and strategies to use
KRIs efficiently– Improve returns as a result of monitoring KRIs
Who should attend– Business Officers– Credit Risk Managers– Operational Risk Managers– Internal Auditors– Consultants– Regulators
Location: London
Date: 26 & 27 March 2014
Website: www.training.risk.net/kri
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About the CourseThrough a combination of presentations and practical exercises, this seminar offers a full review of the role and attributes of KRIs in financial services, clarifies some confusing ideas about the topic and positions a risk indicators programme in a risk management framework. It suggests a list of the best performing KRIs in some banking and financial markets activities and proposes a step by step method to select and design proactive KRIs.
Selecting and Designing Effective KRI’s
in
London 26 & 27 March 2014
12Points
Course highlightsReceive a comprehensive overview of indicators
Understand step by step how to select predictive KRI’s
Discuss risk culture and indicators
Understand risk and control identification through process mapping
About the tutorAriane Chapelle, PhD, MIRM
Ariane Chapelle is a professional trainer and independent adviser with 20 years experience in teaching and training both academic and executive audiences. She is active in operational risk since 2000, with business experience acquired in managerial functions in Internal Audit and Risk Management in ING Group and Lloyds Banking, academic research, independent consulting and training.
She has designed, managed and run operational risk training programmes for several international banks and facilitated hundreds of training sessions on operational risk along the years across Europe, Middle East and Asia.
Ariane Chapelle is Tenured associate professor of Finance and Risk Management (Universite Libre de Bruxelles, Belgium). She has published books and articles on Corporate Governance and Operational Risk Modelling and Management. She won two years in a row the Outstanding Speaker award in the MBA programme of Warwick University. She is a full member of the Institute of Risk Management and of the Institute of Operational Risk.
www.training.risk.net/kri
“Helpful methodology to focus on risk root causes and derive relevant KRI’s”Operational Risk Specialist, AXA Bank Europe (BE)
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Risk Model Validation
Learning Outcomes– Discover why risk models play such a prominent
role in finance today– Learn to build quick and simplifed risk models– Discover the tools to check the limits of
quantitative risk models– Find out how to implement a validation strategy
for your own institution– Learn about the implications resulting from the
regulatory framework for the trading book
Location: New York
Date: 27 & 28 March 2014
Website: www.training.risk.net/rmv
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About the CourseOver the last few decades we have seen the use of quantitative risk models become a cornerstone of financial regulation. Financial institutions now have to determine capital buffers based on increasingly complex modelling techniques. With these challenges in mind, Risk is delighted to offer this specialist training course which has been designed to focus on the assessment of risk models in the context of concrete risk model implementation. There are numerous validation tools available, and the course will individually describe these tools and their application in practice. The course will offer a holistic perspective of validation which should be kept in mind at all times - validation is about assessing the usefulness of a quantitative risk model.
Who should attend– Chief Risk Officer – Head of Risk Management – Head of Market / Credit Risk Management – Risk Managers, Analysts and Controllers – Risk and Credit Risk Controllers – Head of Stress Testing – Head of Operational Risk / Risk Appetite – Model Validation – Model Review – Equity and Fixed Income Analysts – Credit Portfolio Specialists – Hedge Fund Managers – Asset Fund Managers – Quantitative Analys – Derivatives Legal– Derivatives Technology– Compliance– Internal Audit– Market Risk Manager– Credit/Counterparty Risk Manager
Risk Model Validation a Practical Approach for US Financial InstitutionsLed by Peter Quell and Christian Meyer
in
New York 27 & 28 March 2014
CPE Accredited
Course highlightsThe origins of risk models
Elements of risk models and risk model failures
The risk model validation roadmap
Regulatory expectations of risk model validation
Impact of the Fundamental Review of the Trading Book on risk models
Scenario and sensitivity analysis
Use of data and reporting requirements
The risk model validation framework
About the tutorsChristian Meyer is a quantitative analyst in the portfolio analytics team for market and credit risk in the risk controlling unit of DZ BANK AG in Frankfurt, where he is responsible for the development of portfolio models for credit risk in the banking book and incremental risk in the trading book. Before joining DZ BANK, Christian worked at KPMG, where he dealt with various audit and consulting aspects of market risk, credit risk and economic capital models in the banking industry. He holds a diploma and PhD in mathematics. Christian is member of the editorial board of the Journal of Risk Model Validation.
Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Economic Capital and the New Market Risk Framework. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation.
training.risk.net/rmv
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Benefits of on-site training: • Contentanddeliverytailoredtomeetyourneeds
and challenges• Savemoneyonstafftravelandaccommodation
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Want to run one our public courses in-house?Need a financial course not covered in our public training? Incisive Training is a leading provider of professional training services. Our public training courses and educational seminars have been applauded for their unique multi-speaker approach to learning; we provide attendees with a variety of perspectives on the most practical challenges they face, so they may in turn serve their clients.
However, we understand public training cannot always be ideal for training requirements - particularly when staff need to be trained quickly or en masse. In association with our market leading brands, we can replicate any of our public training programmes to become an in-house training course.
Our Tutors • Individualswithextensiveexperienceinthe
financial markets• Possessaproventrackrecordintrainingdesign
and delivery• Encourageinteractionanddiscussion• Passonreallifecasestudiesandexample
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