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Up

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Sem

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MONECOFINANCIALTRAININGMOFINTR

Registration Deadline: October 20, 2020

BANK CAPITAL MANAGEMENT CAPITAL PLANNING, FUND TRANSFER PRICING AND RAROCNovember 3 – 5, 2020

Lecturer: Jean-Bernard Caen

3

Online SeminarsAll of our seminars are now also available online!

Save time and money on your education and get any of our training seminars on offer in the online form.

BENEFITS OF OUR ONLINE TRAINING

● An effective way of learning without the need to travel. You can participate our seminars in the safety and comfort of your home or offi ce.

● With online training you save time and money on accommodation and travel.

● Live interaction with a trainer during the seminar, with the ability to respond immediately to your questions.

● All study materials for online seminars are provided electronically.

● In addition, you can fl exibly change your registration from online to in-class and vice versa.

KEY FEATURES

● Wherever you are located around the globe, you can learn from our expert trainers, 100% online.

● You just need a computer and an Internet connection.

● We use a secure and reliable communication platform based on a virtual classroom solution.

● The online training takes place live with one lecturer and other seminar participants.

● Upon completion you will receive the same printed diploma as at the onsite seminar.

BANK CAPITAL MANAGEMENT – CAPITAL PLANNING, FUND TRANSFER PRICING AND RAROC

DATES: November 3 – 5, 2020 • PRICE: € 1,755 • LOCATION: Prague, NH Hotel Prague

The purpose of this seminar is to give you a clear understanding of what is banks capital and how to use it to create value. Banks are currently managed using two desynchronized steering wheels: The regulatory framework that ignores profi tability, and the accounting framework that – until recently – ignores risk. Economic Capital and IFRS 9, increasing competition from FinTechs and the need for a better servicing of the economy are promoting a review of how banks manage their capital. This seminar clarifi es for you the issues and the practical ways to handle them.

The three days are articulated as follows: On day 1, we clarify the nature of capital and its articulation with risk and return; On day 2, we learn how to measure economic risks so that the results are usable both for micro- and macro-management decision support; On day 3 we enter the internal mechanics of transferring funds and risks within the bank and still retaining the coherence required for proper performance assessment and the support of management actions.

Day 1 starts with the exploration of the different capital metrics: Regulatory, accounting and economic. We look at the multiple components of capital and their “raison d’être”. Once the articulation between capital and risk is clearly defi ned, we address the issues of risk appetite and tolerance, capital usage and allocation. We end the day with the RICAP, the process used to identify and classify risks.

Day 2 is entirely dedicated to Economic Capital. It is a key component of banks capital management. In its aggregate form, it measures the need for capital. It constitutes a risk metrics that is neutral and transverse, applicable to all measurable risks. We look at how to link Economic Capital with profi tability and capital measures, to provide powerful top to bottom performance measures and effi cient management decisions support.

Day 3 addresses the intricacies of moving capital, risks and funding within the bank in such a way that performance and risk indicators remain relevant and effi cient for any subset of the bank, at any level of aggregation.

And we conclude the seminar with issues related with macro-prudential considerations: what issues are born from the discrepancies between the views of regulators and of shareholders regarding capital levels, and what are the challenges this creates for banks and for the economy as a whole.

• Understanding the role of banks capital

• Articulating capital, risk and return

• Risk identifi cation, measurement and aggregation

• Regulatory and Economic Capital assessment

• Internal Funds and Risk Transfer Pricing

• Forward-Looking View and Capital Allocation to businesses

• Risk-Adjusted Performance Measurement and Monitoring

TUESDAY, NOVEMBER 3

0900– 0915

Welcome and Introduction0915–1200

The Nature and Utility of Banks Capital

• Why do banks need capital?

• The regulatory, accounting and

economic views of capital

• Capital regulation from Basel 1 to Basel

4 and beyond

• Accounting capital, its components and

the role of equity

• Economic capital and value creation

• Capital allocation and fi nancial planning

The Articulation between Capital and Risk

• Capital as a means to take risks and

generate profi ts

• Risk appetite objective and indicators

• Risk tolerance logic

• Risk, return and capital, the magic

triangle

• Assessing added value

– Economic Profi t

– RAROC and Economic Value Added

1200–1300

Lunch1300–1630

Capital Planning and Risk Management

• Fundamental components of capital

planning

– Internal control and governance

– Capital policy and risk capture

– Forward-looking view

– Management framework for preserving

capital

• Benefi ts of capital management

– Risk strategies, diversifi cation, market

share, pricing

Foundations of Risk Management • A brief history of Risk Management

• The RICAP process

– Risk hunting and identifi cation

– Risk taxonomy

• Game on all issues covered during day 1

WEDNESDAY, NOVEMBER 4

0900– 0915

Brief recap0915–1200 Economic Capital Concepts

• Foundations of Economic Capital

– The seven guidelines

• Implementation steps

– Articulation with Basel Pillar 2

– Articulation with Finance/IFRS 9

Economic Capital Assessment • Steps to measuring Economic Capital

– Risk Capital as standalone risk

measure

– Economic Capital as Marginal risks

measure

• Measuring Credit Risk Capital

– Basel 2/3 formula analysis

– Credit Var and concentration

• Measuring market risks

– Balance sheet and trading risks

– Interest rate, FX, equity, spread and

other market risks

• Measuring operating and other risks

• Aggregating risks

– Managing inter risks correlations

1200–1300

Lunch1300–1630

Economic Capital in Prac tice • Expected results and interpretation

– Business models and risk profi les

• Articulating Economic and Regulatory

Capital

– Perimeters and severity level

– Risk coverage and methodologies

• Organization of the Economic Capital

team

– Required functions, committees and IT

support

• Benchmarks and review of banks

disclosures

Case study: Dexia • The rise and the fall: facts and fi gures

• Analysis and lessons

How to link risk, return and capital to maximize the bank’s value creation?

BANK CAPITAL MANAGEMENT – CAPITAL PLANNING, FUND TRANSFER PRICING AND RAROC

Lecturer: Jean-Bernard CaenAs a Policy Advisor within the consulting fi rm PRNS ‘parnass’ since 2014,

Jean-Bernard has been working on assignments for Financial Institutions in the

areas of risk-fi nance interactions, ALM, capital allocation, risk appetite and the

economic assessment of risks.

Before that, as Head of Economic Capital and Strategy for Dexia group for 12

years, he was in charge of Basel2 Pillar2 and Risk-Finance cooperation. He was

instrumental in working out and implementing Economic Capital as the internal

measure of risk. It was subsequently used in all risk vs. return processes across

the group, such as Risk Appetite, Risk Budgeting, RAROC and Capital Planning.

In 1990, Jean-Bernard founded the Management Consulting fi rm Finance &

Technology Management (FTM), which he ran for 12 years as the CEO. As such, he

directed numerous assignments for European Financial Institutions in the areas of

Shareholder Value, Risk Management, Capital Allocation and ALM.

He is a member of PRMIA France Executive Committee, of AFGAP Management Board, and he teaches

at the French National School of Economics and Statistics; he is also a senior lecturer and he published

numerous articles.

He is a French Civil Engineer and he graduated from MIT.

1200–1300

Lunch1300–1630

RAROC, Macro-prudential Regulation • RAROC

– Different types of Risk Adjusted

measurement

– Analysis of RAROC components

– Live exercise

• Discussion of macro-prudential

regulation issues

– Can bank still measure their risk properly?

– What impact of the banking regulation on

the economy?

– Moral hazard and the future of regulation

Final gameTermination of the Seminar and Evaluation

THURSDAY, NOVEMBER 5

0900– 0945

Economic Capital Exercise Review and Discussion0945–1200

Funds Transfer Pricing • Organization of the ALM, the nuclear

reactor of the bank

• Commercial and Financial margins

• Steering of the Commercial margin

• Steering of the Financial margin

• Pricing internal funding using Reference

refi nancing

Terms and Conditions of the MONECO Financial Training

COMPANY

Name:

Approving Manager:

Person responsible for training:

Address:

Tax Registration No.: VAT Identifi cation No.:

Date:

Signature:

PARTICIPANTS

1. Title: Name: Phone: Mr/Mrs/Ms

E-mail: Position:

2. Title: Name: Phone: Mr/Mrs/Ms

E-mail: Position:

3. Title: Name: Phone: Mr/Mrs/Ms

E-mail: Position:

MONECO Ltd. www.moneco.com Phone: +420 541 241 552Gorkeho 1, 60200 Brno, Czech Republic, Europe moneco@moneco.com Fax: +420 541 219 735

MONECO Financial Training

MONECO Financial Training offers a comprehensive programme of English-language seminars, trainings and practical workshops lectured by qualifi ed tutors. Our objective

is to provide the industry professionals with advanced fi nancial know-how and up-to-date analytical methods and skills.

Seminar Venue and Accommodation

The bulk of the MONECO seminars are traditionally held at the international four-star NH Prague Hotel in Prague, Czech Republic. Since we are expanding our training

activities, we run some selected seminars also in other European destinations. Accommodation is not included in the seminar price, but upon request we are happy to offer

you hotel reservations in every of our training destinations at special discounted prices for our valued clients.

Tuition Language

Seminar tuition is in English language, as are all manuals, training software etc. Therefore, in order to benefi t from participation, at least a passive knowledge of English,

including common fi nancial phrases and related terminology, is required.

Registration

Clients who decided to participate, should submit us in advance a registration for a particular seminar (letter, fax, internet etc.). Subject to availability, the participant will then

receive a confi rmation of participation. The number of participants is always strictly limited in order to secure an effective and focused learning environment.

Seminar Prices

The quoted seminar prices are per person and include all the training manuals, lunches and refreshments, certifi cation diploma in English and selected software

solutions used at the seminar. The price does not include hotel accommodation. Quoted prices are exclusive of local VAT (21 %) “Bundle” prices represent the total fee for

participation in mutually related seminars (i.e. “Bundles 3+2, 2+3, 2+2, 3+1, 1+3, 1+2+2 and 2+2+1”). “Bundle” prices are provided in the Calendar of the MONECO Financial

Training seminars.

Discounts

Bulk discounts are offered when submitting an application for the participation of more than one person. A 10 % discount is offered when at least two participants from one

company register for a seminar or one participant registers at once for two or more seminars. The discounts do not apply for “bundle” prices, as these already represent

discounted prices.

Invoicing and Payment

An invoice for the seminar price will be sent to the participants no later than 10 working days prior to the beginning of the seminar. Full payment of the invoice must be made

before the start of the seminar as a precondition of participation.

Terms of Cancellation

If for whatever reasons a registered participant is unable to attend, a substitute delegate may be appointed to participate instead. For cancellations received 20 days or more

before the beginning of the seminar, a 10 % cancellation fee of the full price will be invoiced i.e. 90 % of the price is refunded. For cancellations received less than 20 days

prior to the beginning of the seminar, the full price is payable i.e. no refund will be provided. All cancellations must be in writing. The organizers of the MONECO Financial

Training courses reserve the right to cancel the individual participation or cancel the entire seminar or part of it for whatever unspecifi ed reasons, including possible force

majeure. In this case, the price paid will be refunded in full or in part, accordingly.

REGISTRATION FORM Registration Deadline:October 20, 2020

• Bank Capital Management – Capital Planning, Fund Transfer Pricing and RAROC

November 3 – 5, 2020 € 1,755