Upload
others
View
3
Download
0
Embed Size (px)
Citation preview
6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1 6 5 3 1 5 6 4 6 9
6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4
1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2
0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9
7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6
4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8
4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0
1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0
4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4
0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6
4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7
5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3
4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1
5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2
1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6
9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7
2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6
8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5
5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2
6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3
4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8
9 7 5 3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6
8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2
1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9
4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2
4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1
4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4
0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8
5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4
8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0
3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5
8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8
1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1
5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1
3 2 6 9 7 0 7 1 3 5 6 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8
1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1
5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1
3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4
7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4
6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4
2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 3 2 6 9 7 0 7 1 3 5 6 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5
3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4
6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5
6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4
6 7 9 4 4 0 1 5 4 5 8
6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1
5 3 1 5 6 4 6 9 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5
3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7
3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3
1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4
1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5
5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4
6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9
5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6
7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7
1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1
8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1
1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5
7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7
4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2
5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4
2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0
1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5
4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1
0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6
1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1
5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1 6
3 1 5 6 4 6 9 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5 2
9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6
6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2
4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5
2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4
1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1
1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6
4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9
0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4
5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6
4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0
6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1
4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4
3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0
2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1
8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4
2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5
8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4
9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1
8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5
2 0 1 2 4 5 9 6 5 4 2 7 3 0 1
Trai
ning
Cou
rses
202
0Knowledge Leads the Way …
MONECOFINANCIALTRAINING
2
CALENDAR OF THE MONECO FINANCIAL TRAINING SEMINARS
Seminar prices and bundle prices are quoted in EUR. The all-in prices are inclusive of the course documentation, lunches and refreshments, but exclusive of local VAT (21 %).
DATESPRICE FOR
ONLINE
BU
ND
LE
SEMINARPRICE
SEMINAR DURATION
Participants are encouraged to bring their own notebook with MS Excel to maximize the interaction, practical examples and benefi t from
the seminar.
• Responsible Investing: How to get it right? € 1,295 € 6482November 2 – 3, 2020
• Reform of Interest Rate Benchmarks: Transition to a World without IBORs € 1,295 € 6482October 14 – 15, 2020
• Corporate Credit Rating Systems: Design, Development, Calibration and Validation € 1,260 € 6302November 5 – 6, 2020
• Bank Capital Management – Capital Planning, Fund Transfer Pricing and RAROC € 1,755 € 8783November 3 – 5, 2020
• Bank Asset-Liability Management € 1,755 € 8783September 8 – 10, 2020
• Interest Rate Risk in the Banking Book € 1,295 € 6482September 21 – 22, 2020
• Counterparty Credit Risk € 1,295 € 6482November 26 – 27, 2020
• Stress Testing – Quantitative Techniques, Regulatory Framework and Practical Use in Risk Management
€ 1,295 € 6482
€€ 2
,13
02
,13
0
October 14 – 15, 2020
• Central Counterparty Clearing € 1,295 € 6482October 12 – 13, 2020
• Interest Rate Products – Mechanics, Pricing and Applications
• Interest Rate Risk Hedging Workshop
€ 1,295 € 648
€ 1,295 € 648
2
2
November 23 – 24, 2020
November 25 – 26, 2020 €€ 2,
130
2,13
0
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.
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.
● A standard video conferencing platform for online meetings and education is used.
● 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.
4
MONECO FINANCIAL TRAINING
Training Programme for Financial Professionals
Training Format
The training format is an effi cient mix of theory, practical examples, case studies,
group discussions and networking opportunities. Seminars are structured at various
levels spanning from introductory events for the fi nancial juniors to advanced
courses for persons with higher seniority, seeking to attain the expert and focused
knowledge. A reasonable care is taken so that our participants get instant working
skills for their time and money. The unique blend of top quality training delivered in
a truly inspiring way is offered at internationally competitive prices.
International Coverage and Networking
The MONECO Financial Training provides focused trainings for fi nancial experts
internationally. The participants come from a continually increasing number
of countries. This provides the clients with added value of unique networking
opportunities among colleagues from fi nancial institutions and groups operating
worldwide.
Training Programme
The MONECO Financial Training is an educational programme, consisting of seminars and training workshops
aimed at the real needs of fi nancial professionals. MONECO is a specialised fi nancial training provider, enjoying
a Europe-wide excellent position. Since 1995 we have run more than 507 successful training events and we
have been able to train more than 6,025 participants so far. Our ultimate goal is to effi ciently train the expert
fi nancial know-how, which is necessary for the increasingly challenging fi nancial industry. The programme
covers a wide range of topics: Financial Risk Management, Corporate Banking, Investment Management,
Corporate Finance, Treasury Products, Asset-liability Management, Financial Derivatives, Structured Products,
Compliance, Internal Audit and more. Our training courses have been offered with an extraordinary success for
over 25 years, originally under the name of Czech Financial Academy.
Tuition and Certifi cation
The seminar tuition is in English, as are all manuals, training software etc. In order to benefi t
from participation, at least a passive knowledge of English is required, including common
fi nancial phrases and terminology. At the conclusion of the seminars the graduates are
awarded a diploma in English certifying the high level of acquired knowledge in the covered
area of study.
5
Exclusive Training Venue
Our seminars are held in the international NH Prague City hotel, a
modern four-star hotel in Prague, Czech Republic. The hotel is located
in the city centre, in the trendy area of Andel, next to the historic heart
of Prague, a couple of minutes from an underground station and 20
minutes from the Prague airport. A new business centre, a shopping
mall and attractive leisure & relaxation facilities are also available nearby.
The hotel offers accommodation in comfortable and spacious Standard
and Superior Rooms, including suites. The Superior Rooms are in the
NH Collection executive building at the top of Smichov Hill, connected
to the Hotel at the foot of the hill by unique cable car shuttle. All rooms
have high-speed internet, air-conditioning, TV, direct-dial phone and
minibar. NH hotel has an underground garage and a business centre.
The City of PragueOur well-established seminar destination is located in the very heart
of Central Europe. Prague offers a wide variety of places of interest,
historic sites, museums, galleries, theatres, thus giving a unique chance
to enjoy the rich cultural life of this vibrant European city.
ATTRACTIVE TRAINING DESTINATION IN THE VERY HEART OF EUROPE
6
Expert Senior Trainers
The trainers at the MONECO Financial Training
courses are senior experts with an advanced level
of theoretical knowledge as well as long-term
professional experience in the fi eld. Our track record
confi rms that our trainers utilize top didactical skills
and focus on real life case studies. We work solely
with internationally well-known trainers who are often
members of recognized professional associations
and are frequently invited to speak at important
industry events.
Among some of our most requested trainers belong
the following experts:
Jean-Bernard CAEN: lecturer in the areas of risk-fi nance interactions, ALM, capital allocation, IFRS, risk appetite and the
economic assessment of risks; member of PRMIA France Executive Committee; policy advisor within the consulting fi rm PRNS
Clive CORCORAN: fi nance and investment management specialist; former CEO of an investment management company
based in the USA; now senior consultant providing investment advisory to private and institutional clients; author of a number
of books on international fi nance, asset allocation and risk management
Alastair DAY: high-quality analyst and modelling specialist in corporate fi nance, project fi nance and leasing; author of a number
of books and textbooks; Director of Systematic Finance Limited
Gary DUNN: consultant and trainer with more than 30 years of experience from both commercial and central banks; expert on
internal models, market risk measures, quantitative methods and capital requirements with expertise on Basel III, FRTB,
IRRBB, etc.
Ariane CHAPELLE: leading expert in the fi eld of operational risks and highly regarded guest speakers; Dr. Chapelle is Honorary
Reader at the University College London in Operational Risk, Fellow of the Institute of Operational Risk and member of the
editorial board of the Journal of Operational Risk
Krassimir KOSTADINOV: senior consultant in software project management, applied statistical and mathematical methods and
implementation of banking risk management and regulatory reporting systems
Ron SLOMOVITS: professional in the fi eld of credit ratings and related matters, specialising on states and government ratings
as well as bank ratings; the basis for that knowledge he gained at the international rating agency Standard & Poor’s, at the
department for Sovereigns/International Public Finance; owner of the consulting fi rm Rating Advisory
Andreas STEINER: respected trainer with many years of working experience in investment management with a focus on asset
allocation, portfolio management, behavioural fi nance and performance measurement
Mark TAYLOR: expert on FX and interest rate products with trading experience from Deutsche Bank and RBS in London,
HK and New York; Mark uses his skills from fi nancial markets to run engaging training courses with extensive practical sessions
INTERNATIONAL TRAINERS
Senior Trainers with Advanced Level of Theoretical Knowledge as well as Practical Backgrounds
Customised Training Courses
We offer customised training courses that provide the fi nancial know-how and solutions for
the specifi c needs of your staff and executives.
For more information, please contact us at [email protected]
7
VALUE-ADDED MAPPING
● Expert senior trainers with advanced academic degrees as well as practical backgrounds
● The must-have training programme for fi nancial professionals worldwide
● Extensive course materials and latest educational techniques
● Up-to-date didactical training techniques and practical skills
● Unique cross-border networking opportunities
TREA
SURY
INVE
STME
NT M
ANAG
EMEN
T
CORP
ORAT
E FIN
ANCE
ASSE
T-LIA
BILIT
Y MAN
AGEM
ENT
RISK
MAN
AGEM
ENT
SUPE
RVIS
ION,
AUD
IT, C
OMPL
IANC
E
Bank Asset-Liability Management
Interest Rate Risk in the Banking Book
Central Counterparty Clearing
Stress Testing – Quantitative Techniques, Regulatory Framework and PracticalUse in Risk Management
Reform of Interest Rate Benchmarks: Transition to a World Without IBORs
Responsible Investing: How to get it right?
Bank Capital Management – Capital Planning, Fund Transfer Pricing and RAROC
Corporate Credit Rating Systems: Design, Development, Calibration and Validation
Interest Rate Products – Mechanics, Pricing and Applications
Interest Rate Risk Hedging Workshop
Counterparty Credit Risk
Length of the red stripe expresses the relative level of attractiveness of the seminar for respective bank departments and desks. It is to be interpreted
as an estimated average appropriateness which may deviate in individual cases, among others, due to the different level of juniority/seniority of the
particular participant.
8
BANK ASSET-LIABILITY MANAGEMENT
DATES: September 8 – 10, 2020 • PRICES: € 1,755 In-class, € 878 Online • LOCATION: Prague, NH Hotel Prague and Online
The purpose of this 3-day seminar is to introduce the principles and mechanisms of asset liability management in banks. During these three days, we address all the issues relevant to this essential matter, from balance sheet modelling and projection to managing structural risks. These are illustrated by a number of business cases and exercises that facilitate the assimilation of the concepts and techniques presented.
On day 1, we sketch the global functioning of the Bank, to position the “raison d’être” of the ALM in regards to the business objectives and their interactions. Once the ALM’s role is defi ned, we devise the resources and the organization required for a successful mission. This includes describing the ALM ecosystem, with its Steering Committee called the ALCO, the various teams and their responsibilities, from the valuation of fi nancial instruments to the management of balance sheet risks such as interest rate, liquidity and currency risks. Also, we learn how to transfer these risks to the ALM using appropriate mechanisms and funds transfer pricing.
Day 2 focuses on the techniques used for valuing assets and liabilities and measuring balance sheet risks. In order to value fi nancial instruments, we learn how to generate their expected future cash fl ows under various conditions. We discover how aggregating these cash fl ows and assessing possible future cash shortfalls form the basis for assessing balance sheet risks. We also look at applicable regulations (LCR, NSFR, IRRBB…) and put them in perspective with the economic reality. Issues related to options and credit risk (IFRS 9) are also addressed. A number of exercises and games facilitate assimilating these principles and techniques.
Day 3 addresses the management issues related to ALM and operational matters. You learn how to control and mitigate risks, and a number of key questions are addressed: What risks should be taken? Up to what level? How to hedge risks? How does ALM relate to risk management and to risk budgeting and risk appetite? What is expected from ALM professionals and how do they interact with other functions in the bank? Finally, we look at the current matters ost rates, the resolution fund and new technologies.
We fi nish the seminar with a series of exercises/games aimed at rehearsing all the major elements learned during these three days: The role and the positioning of the ALM, assets valuation principles, balance sheet risks identifi cation, measurement and management, applicable regulations, and fi nally current concerns.
• How to model and project the balance sheet of the bank?
• What are the key equilibrium and the major threats?
• How to classify and handle balance sheet risks?
• Are the regulatory and the economic views coherent?
• What is expected from ALM managers?
• When should management actions be triggered?
• What can we learn from passed crises?
• What are the current issues?
TUESDAY, SEPTEMBER 8
0900– 0915
Welcome and Introduction0915–1215
The ALM in the Bank A Global View of the Bank • The Role and the Organization of the
Bank
– Businesses and business support
– Finance and risk
• The Bank’s Balance Sheet
– Static view
– Dynamic view
• What Functions needs to be
centralized?
– Functions with effects of scale
– Functions with compensation effects
The ALM • Nature and Role
• Responsibilities and Components
• The ALCO
Risks Identifi cation and Cartography • From Nuclear Events to Financial Risks
– The RICAP process
• Risk Cartography
– What business models generate what
risks?
• Interest Rate, FX, Equity and Liquidity
Risks
1215–1315
Lunch1315–1630
Balance Sheet Risks Framework Funds Transfer Pricing • Commercial and Financial Margins
– Policies for setting the margins
– Articulation with the global interest
margin of the bank
• Reference Refi nancing
– Setting up the right commercial
incentives
– The benefi ts of reference refi nancing
The Regulatory Environment • The Regulatory Approach
– Basel 1, 2 and 3
• The New EU Banking Package
– CRD V/CRR II/BRRD II
Case Study: Dexia
WEDNESDAY, SEPTEMBER 9
0900– 0915
Recap0915–1215
Assets Valuation Valuation Principles • Economic View
• Regulatory View
• Accounting View
• Financial Instruments Categorization
• Generating Cash Flows
– Cash fl ows projection for various loan
types
– Embedded and other options
Regulatory Modelling • Exposure to Balance Sheet risks
– Interest rate and liquidity gaps
– Behavioral Modelling Principles
• Regulatory Calculations done by the ALM
– LCR, NSFR, IRRBB
1215–1315
Lunch1315–1630
Balance Sheet Risks Measurement Balance Sheet Risks • Measuring the Interest Rate Risk of the
Banking Book
– From gaps to interest rate curves
modelling
– Sensitivity and duration, embedded
options, prepayments
• Measuring Spread and Funding Risks
– Articulating liquidity, spread and funding
risks
– Accounting considerations
• Assessing Liquidity
– Liquidity gap and ratios, LCR and NSFR
– Liquidity reserves management
• Case study: Credit National
Other Risks and how they relate to the ALM • ALM and Credit Risk
– IFRS 9
• ALM and the Non-Financial Risks
– Operational, business and residual risks
• Aggregating Risks
End of Day: Review and Games
What are the principles and mechanisms of Asset Liability Management in banks?
Now also available as an online seminar
9
BANK ASSET-LIABILITY MANAGEMENT
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.
– Bottom-up: Budget and pricing
• Articulating Risk and Value
– Economic capital
– Measuring added-value
• The Convergence of Risk and ALM
Operating Models
– Different objectives, different cultures,
different silos
– IFRS 9 breaks the silos
Current Issues • Macro-prudential Policy
• Sovereign and Systemic Risks
• Low Interest Rate
• Latest Issues and the Future of ALM
Seminar Wrap Up and Final Game
• Managing Correlations Between
Products
• IT And Data Concerns
– Categories of IT tools used to
manage balance sheet risks
– Emerging technologies, machine
learning, intelligent reporting
1215–1315
Lunch1315–1630
Perspectives on ALM Economic Value Management • The Management Mechanisms of the
Bank
– Top to bottom: Capital allocation and
global limits
THURSDAY, SEPTEMBER 10
0900– 0915
Recap0915–1215
Balance Sheet Risks Management Controlling Risks, Hedging and Mitigation • Tools for Risk Control and Mitigation
– Limits, securitization and hedging
• Hedging
– Interest rate and other derivatives
– Value and cash fl ow hedges
– Micro and macro hedges
• Case Study: LTCM
Operational Concerns • New Production Modelling
10
INTEREST RATE RISK IN THE BANKING BOOK
DATES: September 21 – 22, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
MONDAY, SEPTEMBER 21th
0900– 0915
Welcome 0915–1215
Introduction • Defi nition of IRRBB
• Accounting and IRRBB
• Changes in the Basel III Framework
• Components of interest rates
− Risk free rate, duration spread, liquidity
spread, credit spreads, commercial
margins
− IRRBB and credit spread risk
• Measurement of IRRBB
− Earnings based measures– NII
− Economic value based measures –
PV01, EV, EVE and EVaR
− Interest rate scenarios
− Options
− Non maturing deposits –
behaviouralisation, core deposits
Refresher 1 • Time value of money
• Forward Rates
BCBS D368 – The standardised Framework
• Overall structure
• The components
• Treatment of NMDs and capital
• Behavioural options
• Contractual options
TUESDAY, SEPTEMBER 22th
0900–1215
Calculation of the standardised EVE risk measure and NII
• Case study using bank disclosures and
based on D368 reporting requirements
− Construct calculations and report using
provided Spreadsheet
− Discuss base assumptions and bank
performance under the prescribed
regulatory scenarios
− Split into groups and consider revised
submission
• Role-play, face the regulator – a Pillar 2
meeting
• Compounding and day count conventions
− Net Present Value of a future cash fl ow –
bond example
− PV01, duration and convexity
• Study Example
Draft Revised CRD and CRR • CRD – Articles 84, 98
• CRR – Articles 106, 448
1215–1315
Lunch1315–1700
BCBS D368 • IRRBB – Scope and timelines
• IRR Principles:
− Comparison with current EBA
requirements and bcbs 2004 (BCBS
108)
− Discussion of Principles
Refresher 2 • Constructing zero curves
• Discount factors
• Forward Curves
• Interest Rate Swap Curves
• Study Example
A comprehensive overview of the BCBS IRRBB standards published in April 2016, comparison with EBA standards and a refresher of the mathematical tools required
Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under Pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to refl ect changes in market and supervisory practices.
This course provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives, e.g. FRTB.Since stress testing has become an important tool for risk management and a key part of the regulatory framework the course also spends time discussing the application of stress testing techniques. A particular area of focus will be on approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework.Participants will engage in Spreadsheet-based exercises and also role-playing exercises where time constraints and class sizes permit. Role-playing exercises will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.The course has three main objectives:• To provide a comprehensive overview of the new standards presented in BCBS
papers, look at the implementation in Europe, particularly in connection with CRD, CRR and EBA guidelines and technical standards.
• Refresh and develop quantitative techniques: – Cash fl ow discounting, zero curve construction, yield curve models – Computation of risk metrics, particularly: EVE, NII. – A look at some modelling techniques: stochastic simulation, pricing options, modelling behavioural options, non performing
loans, basis risk, credit spreads, capital and liquidity buff er calibration, stress testing. – Assigning probabilities to stress scenarios in order to compute an economic capital number• Review and discuss risk management techniques and regulatory initiatives, for example: hedging, funds transfer pricing, risk free
interest rate benchmarks (replacements for the IBORs), Liquidity Risk Management, FRTB and interactions between the banking book and the trading book.
Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread sheet examples will be provided with all data and formulae that will allow all participants to engage in ‘what-if’ scenarios to gain a feel for how diff erent assumptions can aff ect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and a role-playing session will be used to give participants experience of a meeting with regulators to review their submissions.
How you will benefi t:
• An understanding of the revised standards
• Gain theoretical and practical understanding of IRRBB methodology
• Understand links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management.
• Understand risk transfer, fund transfer pricing
• Gain experience of facing regulatory challenge on proposed model
Now also available as an online seminar
11
INTEREST RATE RISK IN THE BANKING BOOK
Lecturer: Gary DunnStarted out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fi xed income portfolio managers and the FX desks.Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS and industry. From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.Now Gary works as a private consultant and trainer.
• A Monte Carlo Solution
• Bayesian Solutions
– Bayesian Networks– deriving an economic
capital number from scenarios
– Optimisation methods
– Conditional probabilities of scenarios
Related Topics • Risk Appetite Frameworks
• Introduction to FRTB
– Trading book/banking book boundary
defi nition under FRTB
– Risk transfers from banking book to
trading book
– Liquidity Horizons
Evaluation and Termination of the Course
Managing Interest Rate Risk • Hedging duration risk
− Bonds
− Futures
− Swaps
• Hedging convexity risk
− Options
Modelling Interest Rates • Simulation Models, Monte Carlo and
option pricing
− Behavioural Options – deposit
withdrawal, prepayment risk,
wrong way risk, default risk
• Sensitivity of NMD rates to changes
in market rates – passthrough
rates – a bank policy decision
• The econometric relationship between
NMD rates, loan portfolio rates and
market rates
1215–1315
Lunch1315–1700
Funds Transfer Pricing
Risk Free Reference Rates Benchmarks
• RFRs and the IBORS
• Term Structure of RFRs
• Issuance activity
Stress Testing • Regulatory requirements
12
CENTRAL COUNTERPARTY CLEARING
DATES: October 12 – 13, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
An overview of the evolution of OTC Central Clearing, regulatory initiatives, and the implications for the risk landscapeThis course is intended to provide an appreciation of central counterparty clearing particularly in relation to the clearing of OTC derivatives. Particular focus will be given to regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following the fi nancial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in response to the regulatory challenge, in particular: the margin requirements; auction processes; loss allocation methods and of course capital requirements.The course will also look at the evolution of central clearing and the impact on risk that CCPs may have in future crises, both positive and negative, particularly in relation to counterparty credit risk, XVAs and systemic risk.The course is intended particularly for risk managers, traders, regulators and anyone involved with clearing systems.
Key Benefi ts Include:• Strictly limited numbers on a fi rst come, fi rst accepted basis • Practical exercises to support the sessions • Receive an electronic copy of the trainer’s presentation prior to the courseQuote: How to manage exposure to CCPs is amongst the biggest unknowns in today’s fi nancial system
• CCP margin frameworks • The default management process• The loss allocation waterfall• Key issues including: direct clearing,
indirect client clearing, portability, segregation
• Other related counterparty risk mitigation tools and their limitations
• Systemic risk and extreme tail risk• Can a CCP fail? Some historical examples• Stress Testing a CCP and a recovery and
resolution plan• The risk transformations CCPs generate
and implications for XVA• Capital requirements for exposures to CCPs• The background and evolution of central
counterparty (CCP) clearing
MONDAY, OCTOBER 12
0900– 0910
Welcome
0910–1230
Introduction • What is Central Clearing
• How does a CCP Work?
• Direct clearing, client clearing and
indirect clearing
• Margining
• Default management process
• Loss mutualisation
• Regulatory response to the 2008
Financial Crisis
A closer look at Margining • Variation Margin
– Obtaining prices for OTC products
• Initial Margin
– SPAN
– VaR and Expected Shortfall
– Stressed Loss Add-Ons
– SIMM
• LCH, CME and EUREX
• CDS clearing at ICE
• Segregation of collateral
1230–1330
Lunch
1330–1700
A closer look at The Default Management Process • Declaring a default
• Macro Hedging
• The Auction Process
• Client Portability
A closer look at Default Funds • Sizing the default fund
• Allocating the default fund to clearing
members
• Default Fund versus margining
Loss Allocation • The CCP waterfall and the “defaulter
pays principle”
• Loss allocation methods
– Powers of Assessment
– Default Fund tranches
– Variation Margin Gains Haircutting
– Trade tear-up
– Forced Allocation
– IM haircutting, novation to other CCPs,
reversion to bilateral trades,
CCP wind-up
Client Clearing • The client clearing models – clearer or
client?
• Portability
• Segregation of collateral – Omnibus or
ISA accounts – LSOC and EMIR
TUESDAY, OCTOBER 13
0900–1230
Can a CCP fail? • Some historical examples – including
Nasdaq’s Nordic power market
• Extreme tail risk and systemic risk
• Stress Testing a CCP
• Recovery and Resolution of a CCP
• Risk Transformation, the effects a CCP
has on the risk landscape
• Findings from CPMI/FSB/IOSCO/BCBS/
ESMA/ISDA
LCH • Evolution
• Conundrums
• SwapAgent
Overview of Counterparty Risk • The nature of Counterparty risk
• Mitigation methods
• How does a CCP help?
– Netting
– Trade Compression
– Margining/default Funds
– Standards for clearing members
– Legal certainty
– Default Management Procedure
xVA • CVA: Credit Valuation Adjustments
• DVA: Debit Valuation Adjustments
• BCVA: Bilateral CVA
• FVA: Funding Valuation Adjustments
• MVA: Margin Valuation Adjustments
• KVA: Capital Valuation Adjustments
• ColVA
1230–1330
Lunch
1330–1700
Capital Requirements for exposures to a CCP • Earlier regulatory proposals
• BCBS 282
– Trade exposures
– Default fund contribution capital
requirements
• CCP Basis Risk
• Calculating EAD for regulatory capital
– CEM
– Standardised Approach for
Counterparty Credit Risk (SA-CCR)
– IMM
CCP Basis Risk
Evolution of Clearing • Early trading and clearing platforms
• Complete and incomplete clearing
• The ETD and OTC derivative markets
• The 2008 crisis
• Political and regulatory responses,
IOSCO and the G20Clearing Mandate,
Dodd Frank, EMIR, OTC regulation,
Basel III, IFRS13
Objective is for participants to gain an appreciation and understanding of the following topics:
Now also available as an online seminar
13
CENTRAL COUNTERPARTY CLEARING
Lecturer: Gary DunnStarted out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fi xed income portfolio managers and the FX desks.Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS and industry. From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.Now Gary works as a private consultant and trainer.
14
STRESS TESTING – QUANTITATIVE TECHNIQUES, REGULATORY FRAMEWORK AND PRACTICAL USE IN RISK MANAGEMENT
DATES: October 14 – 15, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
Stress testing has become an important tool for risk management and a key part of the regulatory framework. This course discusses various approaches to generating stress scenarios, simple ‘what-if’ scenarios and simulation techniques through to the use of full structural macroeconomic models of the global economy. It will look at examples of impact on the balance sheet and P&L projections under stress scenarios.
Many types of risk can be exposed by stress testing that may not be apparent using only models calibrated to recent historical data. These risks are explored by looking at potential impact on regulatory indicators under stress scenarios. Hence the impact on capital ratios is explored and also the LCR and NSFR indicators of liquidity and the impact of stress scenarios on IRRBB (interest rate risk in the banking book) and the leverage ratio.
The course will also consider regulatory guidelines to stress testing and looks at regulatory stress testing exercises, for example, EBA/ECB, Bank of England and DFAST/CCAR.
An innovative area of focus on the course will be on coherent approaches to risk aggregation in order to construct an economic capital number based on stressed scenarios.
Participants will engage in Spreadsheet-based exercises and also role-playing exercises (live courses only) where time constraints and class sizes permit. Role-playing exercises will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.
The course has four main objectives:• To provide a comprehensive overview of stress testing approaches• Develop quantitative techniques: • Scenario construction • A look at some modelling techniques: Econometric models, vector autoregressions,
Kalman Filters, stochastic simulation, pricing options, modelling behavioural options, non performing loans, basis risk, credit spreads.
• Mapping economic scenarios to risk factors affecting valuations and P&L • Computation of risk metrics under stress: regulatory capital ratios, leverage ratio, EVE, NII,
LCR and NSFR. • Risk aggregation and assigning probabilities to stress scenarios in order to compute an
economic capital number
How you will benefi t:
• An understanding of the value and challenges of stress testing
• Gain theoretical and practical understanding of stress testing methodology
• Develop a joint approach to ICAAP and ILAAP
• Gain experience of facing regulatory challenge (mainly live course)
WEDNESDAY, OCTOBER 14
0900– 0910
Welcome0910–1230
Module 1
Introduction • What is Stress Testing?
• Principles for sound stress testing
• How do we calibrate risk factor
scenarios?
• Reverse Stress Testing
• Applying risk factor scenarios to the
balance sheet and to P&L projections
• Introduction to the Basel Consolidated
Framework
• Regulatory Ratios
– Capital
– Leverage
– Liquidity – LCR and NSFR
• Internally developed objective functions
for solvency and liquidity
Case Studies • Lehman
• Northern Rock
1230–1330
Lunch1330–1700
Module 2
Setting Macroeconomic Scenarios • Structural macroeconomic Models
• A look at the NIESR and OEF models as
examples
• Vector Autoregression
• Endogeneity and Simultaneity – are
correlations meaningful?
• Univariate time series models, simple
single regression equations
• Stochastic Simulation and Monte Carlo
• Mapping to risk factors, risk factor
simulation and option pricing
• The Stock Market and GDP
• Interest rates and the yield curve –
central bank policy
• BCBS 239
THURSDAY, OCTOBER 15
0900–1230 Module 3
Market Risk and Market Risk Weighted Assets • Market Risk Shocks and stressed RWAs,
a 2-part problem
• FRTB guide to stress testing market risk
• Basel framework on market risk
• VaR, Expected Shortfall and the role of
capital
• ‘What – if’ and risk factor simulation
• Volatility scaling, FHS and Kalman Filter
approaches
• Extreme Value Theory
• Spectral risk measures
• Stahl Inequality
• Distorted probabilities
Credit Risk and Credit Risk Weighted Assets • Basel framework on credit risk
• Stressed PDs and LGDs
• Credit Metric type models
• ‘What – if’ and Large Exposures
• Counterparty Credit Risk
Operational Risk and Operational Risk weighted Assets • Basel framework on operational risk
• Internal models for operational risk
– Poisson processes and impact
distributions
– Fat-tailed distributions
– Monte-Carlo and copulas
1230–1330
Lunch1330–1700
Module 4
Liquidity Risk • Stress testing liquidity and contingency
fund planning
– Liquidity Buffers and other sources
of liquidity
• Basel framework on liquidity risk
– LCR, NSFR the regulatory metrics
for liquidity risk
– Liquidity stress test exercise
Now also available as an online seminar
15
STRESS TESTING – QUANTITATIVE TECHNIQUES, REGULATORY FRAMEWORK AND PRACTICAL USE IN RISK MANAGEMENT
Lecturer: Gary DunnStarted out life as a statistician at the Bank of England in 1977 and after a 16-year career
there ended up as a senior manager within UK foreign currency reserve management
with responsibility for interest rate risk strategy and liquidity management. To aid
liquidity management Gary created an internal market for funding between fi xed
income portfolio managers and the FX desks.
Gary ventured into the private sector where he spent a further10 years as a proprietary
trader.
Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory
market risk models (CAD models including VaR and IRC). Whilst at FSA Gary
conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across
London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design
of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel
2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a
review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS
and industry.
From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators
covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the
banking book), as well as working on internal projects such as stress testing, IRC development, regulatory
interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD
role at Morgan Stanley where he was head of risk analytics for the EMEA region.
Now Gary works as a private consultant and trainer.
• Credit Spread Risk in the Banking Book
(CSRBB)
Other Risks • Collateral requirements
• Exposure to CCPs
ICAAP and ILAAP • Stress Testing requirements
A joined-up approach • Risk Aggregation
– Monte Carlo
– A Bayesian Approach
Regulatory Stress Testing Exercises • EBA
• CCAR
• Bank of England
Interest Rate Risk in the Banking Book • EVE and NII
• Non maturing deposits –
behaviouralisation, core deposits
• BCBS D368
– Stress Testing Standards for IRRBB
– The standardised Framework for
IRRBB
16
REFORM OF INTEREST RATE BENCHMARKS: TRANSITION TO A WORLD WITHOUT IBORs
DATES: October 14 – 15, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
The future of interest rate benchmarks is uncertain except for one thing: IBOR rates will be coming to an end in the next two years; and banks, companies and investors need to be ready. Rocked by a rate-rigging scandal and latterly by the absence of an underlying market, regulators have called time on IBOR rates and are pushing the world towards more robust alternatives.
This course examines the role IBOR rates have played in fi nance, growing from almost nothing 40 years ago to one of the most important numbers in world markets; a number that underpins 100s of trillions of USD of cash and derivative contracts.
On day one we look at the role of IBOR rates and what requirements their replacements need to satisfy, before examining the details of the regulatory-approved replacements – ‘the risk-free rates (RFRs)’. We then consider the transition process that must be undertaken by banks, companies and investors to meet the regulators deadlines to be ready for the end of IBOR. Day one fi nishes with a look at the new RFR-linked bonds – how the bonds work and how they have been received by the market.
Day two starts by looking at the role of IBOR in corporate lending, and how the transition to RFR-linked loans might work. We consider the tricky subject of a forward-looking RFR rate and how one might be determined. We then progress to the world of derivatives and the details, and pricing, of the new RFR-linked futures and swaps markets.
We fi nish the course by considering the process of migrating legacy IBOR deals to RFR-linked terms – the contractual considerations and how we agree a fair transition price. We examine the latest ISDA consultation results and discuss the likely calculation process for fallback rates for legacy interest rate derivatives, as well as the P/L consequences.
Who should attend?• Corporate bankers – relationship managers and treasury managers• Bank money market, bond and derivative traders and salespeople• Investors – institutional investors, fund managers, private traders• Company treasury managers and staff, accountants, risk managers
Course methodologyThe course consists of classroom-based training which combines formal teaching of concepts and technical content, with individual and group exercises to reinforce learning points.
Attend this 2-day training course and learn about:• What has gone wrong with IBOR
rates and why a replacement is needed?
• The chosen the replacements – the new ‘risk-free rates (RFRs)’
• The differences between IBOR rates and the new RFRs
• The transition process from IBOR to RFRs for banks, companies and investors
• How RFR-linked bonds work and the market for them?
• The change in the world of corporate lending towards RFR-linked fl oating rate loans
• The new RFR-linked derivative products and their pricing
• The process of migrating legacy IBOR deals on to RFR terms
• The latest ISDA consultation results on fallback rate calculation
WEDNESDAY, OCTOBER 14
0900– 0910
Welcome and Introduction0910–1230
IBOR and its replacement ‘Risk-Free Rates’ (RFRs) • IBOR
– What was the original purpose of IBOR?
– How is it set?
– What went wrong?
Rigging scandal
Transaction drought
• The necessity for replacement
– Would a synthetic IBOR work?
How might it be calculated?
– What problems should a replacement
rate fi x?
– The regulatory pressure for replacement
UK FCA position on LIBOR
European Benchmarks Regulation
(BMR)
US Alternative Reference Rates
Committee (ARRC)
– What regulatory tests does a new
reference rate need to pass?
– Can IBOR be replaced exactly?
Compromises necessary for
replacement rate to be widely used
What happens to the much-used
IBOR-OIS measure?
• The regulatory-favoured RFRs
– What are the chosen RFRs in each
major currency?
SOFR (USD), €STER (EUR), SONIA
(GBP), SARON (CHF), TONAR (JPY)
– Description of each RFR
Differences and similarities across
currencies
• In the post-IBOR world, what have we
gained (or lost)?
Issuing bonds linked to the new RFRs • The market place for RFR-linked fl oating
rate bonds
– What do investors want?
– What is the process of issuing bonds
linked to the new RFRs?
– Issuance to date by currency and issuer
type
– Investor reaction to RFR-linked fl oating
rate bonds
• Pricing of RFR-linked bonds
– In theory, how should the RFR spread
be priced?
– The IBOR/RFR basis
What is the basis?
How is observed/traded?
– How has the market priced and
absorbed the bonds issued?
• Bond term sheet details
– Fixing source
– Rate and settlement calculations
THURSDAY, OCTOBER 15
0900–1230
Corporate lending linked to the new RFRs • Why is IBOR so popular in corporate
loans?
• How would an RFR-linked corporate loan
work?
• The problem with the ‘forward-looking
term loan’ nature of IBOR
– How do we replace a 3-month rate with
and overnight rate?
This 2-day course offers an insight into the journey from IBOR rates to their new replacement benchmarks, from the perspective of banks, companies and investors.
1230–1330
Lunch1330–1700
The transition from IBOR to RFR • Banks
– What role does IBOR play within a bank?
Baseline funding rate
Input to funds transfer rate (FTP)
Key pricing benchmark for corporate
lending
Key variable in interest rate derivative
products
– The transition from IBOR
Identifying what the future under RFRs
will look like for all bank departments
The important transition decisions and
operational requirements
Communicating the effects of the
transition to clients
– What will drive liquidity in the RFR
bank-funding market?
• Borrowers
– What is the impact of RFRs on fl oating-
rate borrowers?
– What will drive the movement from
IBOR-linked to RFR-linked borrowing?
– Managing the transition for a corporate
borrower
Market understanding and system
changes
• Investors
– What are the requirements of fl oating-
rate investors?
– How will investors become comfortable
with the transition away from IBOR?
Market development, liquidity and
transparency, system requirements
• How are regulators driving the transition
from IBOR to RFRs?
Now also available as an online seminar
17
REFORM OF INTEREST RATE BENCHMARKS: TRANSITION TO A WORLD WITHOUT IBORs
Lecturer: Mark TaylorMark spent 10 years as an FX and interest rate derivatives trader in London, HK
and New York before moving into fi nancial training, where he has spent the last
9 years. His trading experience spans vanilla and exotic products having run
profi table businesses across the derivatives product spectrum.
Mark graduated from the University of Bristol with a fi rst-class degree in
Aeronautical Engineering. He had a brief stint as an aerodynamicist working on
military aircraft design for BAe Systems, before moving into fi nance, fi rst with
Deutsche Bank and then RBS.
After leaving fi nance Mark bought, ran and subsequently sold a retail business;
in the process developing a fi rst-hand understanding of company valuation,
accounting, as well as company fi nancing and risk management.
Mark uses his experience in fi nancial markets and the corporate world to run engaging training courses
across both the markets and corporate fi nance disciplines.
– What is the existing market for overnight
index swaps (OIS)?
– How would a swap market based upon
new RFRs work?
Swaps versus daily reset/compounding
Swaps versus term RFR rates
How would term RFR resets work?
Basis trading versus IBOR swaps
– Hedging using RFR-linked swaps
RFR-linked ‘new issue swaps’
Asset swaps (fi xed to RFR)
RFR-linked corporate loan hedging
1230–1330
Lunch1330–1700
Migrating legacy IBOR deals • The case for migrating legacy IBOR deals
to the new RFRs
– Complications in fl oating-rate bonds and
corporate loans
– Does current documentation contain fall-
back provisions to deal with the end of
IBOR?
What are the common fall-back
provisions?
• Transition to RFRs for fl oating-rate
bonds
– What do borrowers and investors
require from the transition and how can
these requirements be met?
– How do we price the replacement
bond coupon to make the transition
fair to both sides?
• Transition to RFRs for corporate loans
– What do companies and banks require
from the transition and how can these
requirements be met?
– Dealing with the choice of term RFR
and reset rate source
– How do we price the replacement loan
margin to make the transition fair to
both sides?
• Derivatives transition
– The latest on the ISDA consultations
– The likely look of a fallback rate
Backward- versus forward-looking
Historically calculated or market
implied
Details: Mean versus median,
lookback periods, weighting the
average
Implications of using the fallback
language on legacy deal P/L
– Why does the corporate loan market
need a ‘term’ rate, e.g. 3-month
ESTER?
– How do we develop a ‘forward-
looking term rate’ for RFRs?
• Probable corporate loan characteristics
post-IBOR
– Fixing sources for term RFRs
– Rate and settlement calculations
– Pricing versus IBOR-linked equivalent
• Pricing corporate loans
– Replacing the credit and liquidity
information from IBOR
– Using RFRs to determine FTP rates
Derivatives referencing the new RFRs • Why is IBOR used in derivatives
contracts?
• Replacing IBOR in FRA, Futures and
IRS trades
– Existing market for overnight index
futures
Fed Funds, EONIA, SONIA
Contract descriptions
– New RFR futures contracts
SOFR, ESTER, SARON
Contract descriptions
18
RESPONSIBLE INVESTING: HOW TO GET IT RIGHT?DATES: November 2 – 3, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
Understanding the drivers, trends, tools and approaches to implement responsible investment in
your organisation and investment strategy
Investments play a fundamental role in the economy. They are crucial in determining
whether society – from governments to individual consumers – succeeds in
following a sustainable path. The need for such a path has rapidly grown over
the last decades, visible in for example the Paris Agreement on climate change,
the Sustainable Development Goals (SDGs) and the UN Guiding Principles on
Business and Human Rights. The interest of and expectations society in the role of
fi nance has grown rapidly. The Action Plan on Sustainable Finance of the European
Union is one such development. Industry standards and initiatives have also grown
rapidly as have fi nancial organisations that have signed up to those, such as the
Principles for Responsible Investment.
The Environmental, Social, and Governance (ESG) and SDG risks and opportunities
have also grown rapidly and almost every investment organisation is now at least
thinking about responsible investment. The demand and need to invest responsibly
is increasingly clear, from both a fi nancial and societal perspective. The way how to
do it is still unclear to many. Some call this Socially Responsible Investment (SRI)
or ESG investing, SDG investing, impact investing, or sustainable investing. These
terms are sometimes used interchangeably. The course will use the more broadly
accepted term “responsible investment” which covers all of above. The market for
responsible investment has grown rapidly to 31 trillion USD in 2018, a 34% increase
in 2 years (www.gsi-alliance.org). By the end of 2019, globally over 2300 investment
organisations have signed up for the Principles for Responsible Investment
(www.unpri.org), representing 80 USD of assets under management. It’s no longer
a niche but is increasingly core to every investment organisation and investment
professional.
This course provides a comprehensive overview of the drivers, trends, tools
and approaches to implement responsible investment in your organisation and
investment strategy. It will explore and discuss developments in client demand,
current and future regulations and regulatory developments with a focus on
Europe, developments in supply of ESG/SDG/RI/sustainable labelled products,
and practical tools and approaches for portfolio managers, risk managers and
trustees/advisors to implement responsible investment.
The main objective of the course is to enable its participants to develop or
support a comprehensive approach in responsible investing, how to adapt the
organisation to integrally implement this and how to implement this in the various
asset classes, internal and external management, and in fi duciary advice. It will go into detail of various tools and instruments
to implement responsible investment such as ESG integration (embedding fi nancially material ESG issues, such as climate
risks, in investment decisions, asset allocation or portfolio construction), exclusions (e.g. tobacco products), divestments
(e.g. carbon footprint reductions), thematic investing, impact investments or SDG investing (e.g. in renewable energy or green
bonds), stewardship (such as engagement, voting and shareholder litigation aiming to infl uence portfolio companies or market
standards). It will also discuss a wide array of ESG and SDG issues, such as climate change, water, human right, labour
conditions, health, corporate governance etc.
Participants will engage in case studies to gain an understanding of such developments and practical ways to
implement responsible investment in their organisations and investment strategies/portfolios.
Key points / questions answered:
• An understanding of the
drivers for responsible
investment
• Understanding relevant
thematic priorities and
regulatory developments
• How to develop a policy
and strategy on responsible
investment
• How to implement responsible
investment in various asset
classes, internal management
• How to implement responsible
investment in selecting,
appointing and monitoring
external managers
• How to implement responsible
investment in risk management
• Understand required
organisational change and how
to implement this in your own
organisation
• An outlook on future
developments in responsible
investment
Now also available as an online seminar
19
Lekturer: Dr. Marcel JeuckenDr. Marcel Jeucken is Founder and Managing Director at SustFin B.V.. SustFin
provides independent advice on fi nance and sustainability issues. From policy
and product development to execution, communications and trainings, SustFin
focusses on helping fi nancial organisations to embrace and embed sustainability
in all of their operations. Marcel Jeucken has 25 years’ experience in fi nance
and sustainability, amongst others at Rabobank, Triodos Bank, World Bank,
Sustainalytics and PGGM. Marcel helped to grow and establish Sustainalytics
from 2003–2006 and was Managing Director Responsible Investment at PGGM
Investments from 2006–2017. At PGGM Investments Marcel Jeucken was
amongst others a member of the Management Team, Investment Committee and
Investment Policy Committee. Marcel was a delegate of the PRI Advisory Council
from 2007–2014, Chair of the Stichting RI (Foundation for the PRI) till 2015, board member and Treasurer
of the Institutional Investors Group on Climate Change (IIGCC) from 2007–2018, board member and Vice
Chair of Eumedion, and member of Sustainable Pensions Investments Lab (SPIL). Marcel holds a Ph.D.
in economics on sustainability issues and the fi nancial sector. He has written numerous papers and is
author or editor of several books, including ‘Sustainable Finance and Banking’ (2001) and ‘Sustainability
in Finance’ (2004).
RESPONSIBLE INVESTING: HOW TO GET IT RIGHT?
MONDAY, NOVEMBER 2
0900– 0910
Welcome 0910–1230
Introduction • Historical overview of development
of responsible investment
• The value of responsible investment:
the fi nancial perspective
• The values of responsible investment:
the normative perspective
Case study: beliefs sets
Sustainability: issues and trends • Environmental issues: risks and
opportunities for investors
• Social issues: risks and opportunities
for investors
• Governance issues: risks and
opportunities for investors
• Responsible business conduct:
outcomes of investments on society
and the environment
• The Sustainable Development Goals:
focus on outcomes to global societal
and planetary goals
Case study: climate change scenario analysis and stress testing
1230–1330
Lunch1330–1700
Developing a responsible investment policy and approach
• Developing a responsible investment
policy: do’s and don’ts
• Organising and maintaining
organisational change
• The governance of responsible
investment
• The role of risk management
Case study: effective organisational set-up
TUESDAY, NOVEMBER 3
0900–1230
Implementing responsible investment • ESG data and tools
• From data to due diligence to
implementation
Case study: EU Action Plan on Sustainable Finance
• Active listed equity and corporate
credits: RI in valuation models
• Passive and semi-passive strategies:
customisation of indices
• External management: selection,
appointment and monitoring
• Private market investments: specifi c
characteristics and RI tools and
approaches
Case study: Due diligence of human rights issues in a concrete investment opportunity
1230–1330
Lunch
1330–1700
Implementing responsible investment (cont.) • Government and sovereign bonds: RI
tools and approaches
• Responsible investment in fi duciary
advice
• Impact investing: what is it and how
to implement it across various asset
classes (e.g. green bonds, renewable
infrastructure, green real estate, listed
equity)
Case study: Develop an impact investing strategy/product
Monitoring, measuring and reporting • Effective monitoring of external
managers
• Effective monitoring of internal teams
• Understanding the need for measuring
outcomes
• Tools to measure real-world outcomes
Case study: SDG reporting
Termination and Evaluation of the
Seminar
20
BANK CAPITAL MANAGEMENT – CAPITAL PLANNING, FUND TRANSFER PRICING AND RAROC
DATES: November 3 – 5, 2020 • PRICES: € 1,755 In-class, € 878 Online • LOCATION: Prague, NH Hotel Prague and Online
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 Practice • 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?
Now also available as an online seminar
21
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
22
CORPORATE CREDIT RATING SYSTEMS
DATES: November 5 – 6, 2020 • PRICES: € 1,260 In-class, € 630 Online • LOCATION: Prague, NH Hotel Prague and Online
We start with an overview and discussion of the three main types of credit rating systems: the Early
Warning systems, the Long-term Corporate (issuer) Ratings and ‚Master Scale‘-based Rating systems.
Particular focus is put on the uses and misuses of each of the three system types, including their
applicability to meet regulatory requirements, such as Basel III or IFRS 9, and their appropriateness to
address business-related objectives, such as risk-adjusted pricing or operational risk management.
We then take a closer look at the ‚Master Scale‘-based Rating systems. ‚Master scales‘ allocate a non-
overlapping range of probabilities of default (PD) that are stable over time to each rating class. The rating
methods for such systems need to produce accurate projections of the 1-year PD based on actually
observed defaults. Starting from ‚simpler‘ questions, such as what constitutes a default of a corporate
customer, how to handle groups of legally or economically related entities from a data management
perspective or how to build and maintain an appropriate historic record of defaults, we gradually dig into
the core quantitative modelling methodology. Covered topics include statistical analysis of Corporate
Balance Sheet KPIs, design and development of Integrated Rating Models based on quantitative factors
and qualitative assessments, and model validation techniques. Throughout this part of the course we give
practical advice and examples related to common challenges such as low default portfolios, missing /
incomplete data and input data outliers.
After this, we turn to the Early Warning systems, which help the bank to identify reliably upcoming defaults
or substantial credit risk increases of specifi c corporate customers on an ongoing basis. Customer
account behaviour variables and expert opinion play a critically important role in the risk differentiation
mechanics within such system, making the risk assessment a fully dynamic process. Building upon that,
we present a more comprehensive framework to assess the impact of observable factors, such as market
prices or macroeconomic indices, on the corporate customer‘s credit risk in a forward-looking manner.
Finally, we look at the Long-term Corporate (issuer) Ratings which express risk in relative rank order
(i.e. they are ordinal measures of credit risk) and are not predictive of a specifi c frequency of default. The
rating model development in this case needs to start from a specifi c industrial sector and only thereafter
to combine the multiple specifi c models unto a unifi ed rating scale. We briefl y present an example of
a Long-term Corporate Rating model within the healthcare sector and illustrate the process of mapping
the model‘s results to a generic rating scale, such as S&P or Moody‘s.
Throughout the entire course, we revisit the topic of IFRS 9 multiple times, highlighting the best practices
in applying the different types rating systems to comply with this new regulation. Covered topics include
the development of IFRS 9 staging criteria, the estimation of lifetime PD and the calculation of impairment
provisions.
Key points / questions answered:
• Which rating models are
appropriate for regulations
such as Basel III or IFRS 9?
• How to gather, structure and
maintain the data needed for
credit ratings of corporate
entities?
• How to handle data availability
and data quality challenges in
practice?
• Which statistical tools and
rating model development
practices are robust and
proven?
• Which innovative methods
might help the bank to
obtain forward-looking risk
assessments?
• How to create a rating system
that is useful for risk-adjusted
pricing in long-term corporate
customer-bank relationships?
The purpose of this seminar is to introduce you to the key methodologies to design, develop, calibrate and validate credit rating systems for corporate customers.
THURSDAY, NOVEMBER 5
0900– 0915
Welcome and Introduction0915–1200
Overview of the Credit Rating Systems • Corporate Customers: defi nition and
main characteristics
• The three main types of Credit Rating
Systems
• Relationship with regulatory
requirements
– Basel III: Internal Rating-Based
Approach
– ICAAP: calculation of Economic Capital
– IFRS 9: Expected Loss model
• Business process objectives
– Using ratings for risk-adjusted pricing
– Using ratings for operational
decision-taking
• Exercises and Q&A: how to approach the
IFRS 9 regulation
1200–1300
Lunch1300–1630
The Master Scale Ratings (continued) • What is a Master Scale?
• Defi ning the corporate entities to be
rated
– Groups of related customers
– Corporate structures and customer
account management over time
– Default defi nitions
• The Balance Sheet KPIs
– From Long List to Short List KPIs
– Handling of incomplete data
– Handling of outliers
– Quantitative Model development
– Model validation
• Integrated Rating Models
– Quantifi cation of qualitative
assessments
– Bringing in account behaviour
variables: pros & cons
– Low default portfolios
– Small sample sizes
• Exercises and Q&A: Master-Scale ratings
and their applications in IFRS 9
FRIDAY, NOVEMBER 6
0900– 0915
Recap0915–1200
Early Warning Systems • How to assess imminent credit risk?
– Corporate customer behaviour
variables
– Early risk identifi cation as an
organisational challenge
– Integrating expert opinions and
quantitative rating models
– Expected Loss vs Probability of
Default metrics
• How to obtain forward-looking credit
risk scores?
– Generic framework for incorporation
of additional observable variables
– Case Study: improving an Early
Warning system using market prices
– Case Study: implementing the IFRS 9
Expected Loss model
1200–1300
Lunch1300–1630
Long-term Corporate Ratings • Understanding ordinal risk
measurement
– Case study: Mapping internal ratings
to a Rating Agency scale
• Exercises and Q&A: Long-term
corporate ratings and their applications
in IFRS 9
Evaluation and Termination of the Seminar
Now also available as an online seminar
23
Lektor: Dr. Krassimir KostadinovDr. Krassimir Kostadinov is founder of UniversalOwner, a boutique advisory services
fi rms focussing on quantitative risk management and banking software design,
development and implementation. Previously, he has held a position at an international
banking software house head-quartered in Luxembourg, where he was Head of the
Data Access and Valuation department.
Krassimir has multi-year experience in training, consulting and project management,
including implementations of risk management / reporting systems and internal
business processes for compliance to banking regulations such as Basel III and
IFRS 9. His approach to training involves explaining in detail and providing economic
intuition on the mathematical concepts that appear in the regulatory requirements,
as well as discussing data fl ows, system design and/or software tools appropriate
for practical implementation. He has done projects and held courses at multiple fi nancial institutions in 20+
countries on 3 continents. His most recent project was on the establishment of an innovative, data-driven and
independent credit rating agency.
Krassimir earned a Ph.D. in Mathematics from the Munich University of Technology, Germany. In his research,
he developed new statistical and computational methods for multidimensional fi nancial data aggregation and
applied them to measure risk from extremal events on the credit and fi xed income markets.
Target audience:The design, development and implementation of appropriate rating systems for corporate customers
require a broad mix of data-technical, quantitative modelling and fi nance/business skills. The course is
designed for the risk management team members who want to learn more about the current best practices
in the area. It is appropriate for professionals on junior, mid-senior and senior level working (or planning to
work) on projects such as corporate rating model development and (re-)calibration, model back-testing
and validation, IFRS 9 Expected Loss implementation, Basel III IRB Approach implementation or Business
Process Optimisation with focus on credit risk management for corporate customers. This includes
both the professionals from the banking group‘s headquarter, responsible for the set up and validation
of the global modelling framework, as well as the ones from the local/regional banks, responsible for
comprehensive local model calibration and related add-on projects.
For the participants with business background, all quantitative modelling techniques are presented
mainly through examples and without digging into theoretical details, therefore no advanced technical /
mathematical prerequisites are needed. The participants with mathematical / statistical background are
expected to have at least basic understanding of the classical types of fi nancial instruments used in
a bank as well as of the corporate fi nancial reports such as Balance Sheet and P&L.
CORPORATE CREDIT RATING SYSTEMS
24
INTEREST RATE PRODUCTS – MECHANICS, PRICING AND APPLICATIONS
DATES: November 23 – 24, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
This 2-day course offers a detailed analysis of the interest rate market, the products that
trade within it, and how they are used by traders, investors and companies.
On day one, we start with the basics of interest rates – how are they quoted, how are the levels
set and what drives movements in rates? We then look at the marketplace for debt products
focussing on the details of the money and bond markets. The course will help participants
understand how companies, banks and investors use these markets as well as covering the
technical details around pricing and risk management.
On day two we move our focus to interest rate derivative products. This section begins with
a look at the linear derivative products: FRAs, futures and swaps. We cover the intuitive
understanding of these products and the client applications, through to detail on the pricing
and risk management. Once we have laid the derivative foundations, we move onto option
products, including a look at exotic derivatives. Main option applications will be covered, and
participations will be introduced to option pricing and option risk. The course fi nishes with a
look at interest rate structured products, examining some of the investor favourites and asking
what makes them so appealing.
Who should attend?
Bank traders, salespeople, structurers
Bank market risk managers, middle offi ce and operations professionals
Investors – institutional investors, fund managers, private traders
Company treasury managers and staff, accountants, risk managers
Course methodology
The course consists of classroom-based training which combines formal teaching of concepts
and technical content, with individual and group exercises to reinforce learning points.
• The nature of interest, interest rate calculations and discounting methods
• The scope and structure of the bond market
• Bond pricing and risk management
• Interest rate derivative products – concepts and technical details
• Creating synthetic assets using interest rate swaps
• The risk of interest rate derivatives – measuring and managing
• The interest rate volatility surface and pricing approaches for interest rate options
• Interest rate exotics and structured products, and how they are used by traders and investors
MONDAY, NOVEMBER 23
0900–0910
Welcome and Introduction0910–1230
Interest Rates • What is interest?
– What is interest compensation for?
– How to determine interest rates from
risk-free to high-risk
• Benchmark rates
– The use of central bank ‘risk-free’
rates
– IBOR benchmarks and future
reference rates
– How do central banks control the
interest rate environment?
• Interest rate maths
– Calculating interest cash fl ows
– What conventions does each currency
use?
– Dealing with simple and compound
interest
• Using interest rates to present value
future cash fl ows
– Which rate do we choose and why
does it matter?
Exercises: Interest rate calculations
Discounting and the choice of
discount rate
Debt Markets • The role of debt
– Why and how do companies and
governments borrow money?
– Debt versus equity – the corporate
fi nancing choice
– Issuing debt instruments – the role of
the Debt Capital Markets division in a
bank
– Who participates in the debt markets
and what is their motivation?
• Borrowing short-term debt – the Money
Markets
– Understanding the conventions and
pricing of money market instruments
1230–1330 Lunch1330–1700
Debt Markets (cont.) • Borrowing long-term debt – Bonds
– How do bonds differ from money
market products?
– Introduction to coupon, price and yield
– the way we measure bonds
– The relationship between price and
yield
– How to we measure the risk of a bond
investment?
• Financing using bonds – the Repo
market
– Using Repos to fund a bond
investment
– Borrowing bonds using Repos
• Creating a yield curve
– How do we defi ne a yield curve?
– What governs its shape and what
are the consequences of difference
shapes?
Exercises: Bond pricing
Repo calculations and forward bond
pricing
Interest Rate Derivatives • From cash markets to derivatives – what
changes?
• The concept of a forward interest rate
– Why do we need forward rates? Who
uses them?
– How might we develop a pricing
approach for forward rates?
• Derivative products relating to forward
rates
– Description of FRAs and Futures
– Look at the details of both and contrast
differences
– Understanding the convexity difference
between FRAs and Futures
TUESDAY, NOVEMBER 24
0900–1230
Interest Rate Derivatives (cont.) • Interest Rate Swaps – switching fi xed
interest for fl oating
– Who uses interest rate swaps and why?
– Creating synthetic assets using interest
rate swaps
– Bank asset and liability hedging using
tenor basis swaps
• Measuring the risk of interest rate
derivatives
– Managing a derivatives portfolio
– Defi ning and quantifying your risk
– The delta ladder – the risk position for a
derivatives trader
Exercises: FRA settlement calculations
Interest rate swap applications
Attend this 2-day training course and learn about:
Now also available as an online seminar
25
INTEREST RATE PRODUCTS – MECHANICS, PRICING AND APPLICATIONS
1230–1330
Lunch1330–1700
Interest Rate Options (cont.) • Introduction to more complex option
types
– Bermudan options – the right to switch
the decision date
– Spread options – taking a position on
yield curve shape
– Digital options – binary outcomes
– CMS swaps – not really options, but
option-like
Exercises: Option pricing
Simple option risk management
Interest Rate Exotics and Structured Products • The world of interest rate structured
products?
– Who invests in structured products and
why?
– What are the driving forces behind
the popularity of certain interest rate
investment ideas?
• Simple interest rate structured products
– Capped FRNs, Callable Bonds, Reverse
FRNs
– How do the above work and what is the
investment idea?
• More complex products
– Range accruals, CMS-linked notes,
Autocallables, TARNs
– How do these products work and why are
they so popular?
Exercises: Analysis of common structured
products
Callable range accruals
Termination and Evaluation of the Seminar
Interest Rate Options • What are the types of options that exist
in the interest rate world?
– Caps, fl oors and swaptions – how do
they each work?
– Understanding the exercise decision
– Who uses interest rate options and
why?
• Developing a pricing approach for
interest rate options
– Using the standard Black-Scholes
approach – what adjustments do we
need to make?
– Understanding the interest rate
volatility surface and why it matters
• Hedging interest rate options
– What risk measures do interest rate
option traders use?
– How do you risk manage an option
portfolio?
Lecturer: Mark TaylorMark spent 10 years as an FX and interest rate derivatives trader in London, HK
and New York before moving into fi nancial training, where he has spent the last
9 years. His trading experience spans vanilla and exotic products having run
profi table businesses across the derivatives product spectrum.
Mark graduated from the University of Bristol with a fi rst-class degree in
Aeronautical Engineering. He had a brief stint as an aerodynamicist working on
military aircraft design for BAe Systems, before moving into fi nance, fi rst with
Deutsche Bank and then RBS.
After leaving fi nance Mark bought, ran and subsequently sold a retail business;
in the process developing a fi rst-hand understanding of company valuation,
accounting, as well as company fi nancing and risk management.
Mark uses his experience in fi nancial markets and the corporate world to run engaging training courses
across both the markets and corporate fi nance disciplines.
26
INTEREST RATE RISK HEDGING WORKSHOP
DATES: November 25 –26, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
This 2-day workshop offers a detailed analysis of the process of interest rate hedging, from
the measurement of risk through to detail on the products used to hedge.
On day one, we start with the basics of interest rate risk. How does it arise? How do we measure it? The workshop will look at how to quantify interest rate risk and the different measures popular with companies. During this section we will talk about how companies make the hedging decision and how they create a risk management policy. We also discuss dealing with banks – what’s in it for them and how do they manage the risk?
On day two we move our focus to the hedging products themselves with a detailed analysis of the different products available and what each one offers as a hedge. Participants will learn the products in an intuitive way but also be taught the important pricing and risk calculations for each one. The products will be assessed in aggregate and we will discuss the role of each one in a diversifi ed hedging portfolio. Once the products have been understood, the next section deals with how the valuation of the trade evolves over time, looking at the importance of yield curve shape in the valuation and future break costs. Next we look at the future of IBOR reference rates and the nature of their replacements.
The workshop fi nishes with a session analysing some real company hedging decisions and policies, bringing together all the knowledge gained over the two days to critique the approach taken by these companies to the job of interest rate risk management.
Who should attend?
Bank traders, salespeople, structurersBank market risk managers, middle offi ce and operations professionalsInvestors – institutional investors, fund managers, private tradersCompany treasury managers and staff, accountants, risk managers
Workshop methodology
The workshop consists of classroom-based training which combines formal teaching of concepts and technical content, with individual and group exercises to reinforce learning points.
• The nature and source of interest rate risk within companies and banks
• The hedging decision process including a look at how real companies decide how to hedge
• How to measure interest rate risk and quantify it using risk metrics and gap analysis
• Creating a risk management policy
• The spectrum of interest rate hedging products available to companies and their pros and cons
• The hedge lifecycle and the evolution of hedge valuation and break costs
• The futures of IBOR reference rates
WEDNESDAY, NOVEMBER 25
0900–0910
Welcome and Introduction0910–1230
Interest Rate Risk and the Hedging Decision
• How does interest rate risk arise within
a company?
– How are companies fi nanced?
– Equity versus debt
– Why do commercial banks lend on a
variable rate basis?
– Why do companies usually want to
pay a fi xed rate?
• The market for fi xed-rate loans
– Why are fi xed-rate loans so rare?
– Is there still interest rate risk if you
have a fi xed rate loan?
• The corporate hedging decision – inside
the mind of the corporate treasurer
– How is risk identifi ed and quantifi ed?
– What are the pros and cons of
hedging?
– How much risk do we hedge?
– How does a typical company make
the hedging decision?
– Comparing to peers, does it matter
what they do?
• Dealing with banks
– What do banks get out of it?
– What happens to the risk once the
company has hedged?
– Understanding how banks profi tably
seek and manage risk on hedging
deals
Exercises: Corporate fi nancing decisions
Hedging discussion
1230–1330
Lunch
1330–1700
Interest Rate Measuring and Managing
• How do we measure interest rate risk?
– Description of quantitative measures
of interest rate risk
– Duration and DV01
– Duration gap analysis
• How can we forecast cash fl ows and
expected debt requirements?
– Cash fl ow statement forecasting
– Stress-testing our cash fl ow forecasts
• Macro hedging
– Creating a risk management policy
• Managing the structural impact of low/
high interest rates
Exercises: Interest rate exposure calculation
Building a simple cash fl ow
statement forecast
Interest Rate Risk Hedging
• What are the hedging products
available?
– Pros and cons of different hedging
choices
– Plotting the future scenarios
– Linear products versus option
products, how do we strike the right
balance?
– When is it a hedge and when is it not?
– Balancing the fl oating-rate and fi xed-rate
mix
• Using FRAs and swaps to hedge
– Understanding the pricing and the
settlement of the hedging product
– Aligning dates and amounts
THURSDAY, NOVEMBER 26
0900–1230
Interest Rate Risk Hedging (cont.)
• Using an option-based hedge
– Paying a premium or constructing
a zero-cost combination?
– Using exotic options – how do we
balance fl exibility and complexity?
• Flexible hedges
– How can we construct a hedge for a
variable debt amount?
– Using variable notional swaps – how are
they constructed and priced?
• Bringing the products together
– Examination of the full spectrum of
interest rate hedges available
• Other hedging issues
– Appropriateness and suitability rules
Analysis of previous bank mis-selling
cases
– Hedging accounting under IFRS9 – why
does it matter?
Reporting of hedge P/L
Exercises: Liability hedging using derivatives
Using full and partial hedges
Attend this 2-day training workshop and learn about:
Now also available as an online seminar
27
INTEREST RATE RISK HEDGING WORKSHOP
1230–1330
Lunch
1330–1700
The Future of IBOR Reference Rates
• What is the future of IBOR reference
rates?
– If they are being replaced, what are the
replacement rates?
– The new Risk-Free Rates (RFRs)
• How do the new RFR rates work?
– How is interest calculated?
– How do we create a term rate to
replace IBOR?
• How will the replacement of IBOR effect
corporate hedging?
– Timing issues between loan and
derivative hedging rates
– Legal and accounting risks
Exercises: Interest rate calculations using RFRs
Dealing with legacy IBOR contracts
Analysis of Real Company Hedging
Decisions
In this session, we analyse some real
company interest rate hedging decisions
and hedging policies. Participants will be
given some company annual reports and
asked to fi nd evidence of interest rate
risk calculations and risk management
policies. Participants will be invited to
draw conclusions on the logic behind the
hedging policy and the hedging products
chosen.
Termination and Evaluation
of the Workshop
Hedge Lifecycle
• How to deal with changing
circumstances?
– Using rolling hedges
– Pre-hedging known future exposures
• Evolution of hedge P/L
– What effect does the shape of the
yield curve have?
– Dealing with curve roll down and
negative carry
• Breaking the hedge – what happens
when the hedge is no longer needed?
– How do banks compute break costs?
Exercise: effect of yield curve shape on
carry and break costs
Lecturer: Mark TaylorMark spent 10 years as an FX and interest rate derivatives trader in London, HK
and New York before moving into fi nancial training, where he has spent the last
9 years. His trading experience spans vanilla and exotic products having run
profi table businesses across the derivatives product spectrum.
Mark graduated from the University of Bristol with a fi rst-class degree in
Aeronautical Engineering. He had a brief stint as an aerodynamicist working on
military aircraft design for BAe Systems, before moving into fi nance, fi rst with
Deutsche Bank and then RBS.
After leaving fi nance Mark bought, ran and subsequently sold a retail business;
in the process developing a fi rst-hand understanding of company valuation,
accounting, as well as company fi nancing and risk management.
Mark uses his experience in fi nancial markets and the corporate world to run engaging training courses
across both the markets and corporate fi nance disciplines.
28
COUNTERPARTY CREDIT RISK
DATES: November 26 – 27, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online
An overview of the evolution of OTC Central Clearing, regulatory initiatives, and the implications for the risk landscapeThis course is intended to provide an appreciation of central counterparty clearing particularly in relation to the clearing of OTC derivatives. Particular focus will be given to regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following the fi nancial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in response to the regulatory challenge, in particular: the margin requirements; auction processes; loss allocation methods and of course capital requirements.The course will also look at the evolution of central clearing and the impact on risk that CCPs may have in future crises, both positive and negative, particularly in relation to counterparty credit risk, XVAs and systemic risk.The course is intended particularly for risk managers, traders, regulators and anyone involved with clearing systems.
Key Benefi ts Include:• Strictly limited numbers on a fi rst come, fi rst accepted basis • Practical exercises to support the sessions • Receive an electronic copy of the trainer’s presentation prior to the courseQuote: How to manage exposure to CCPs is amongst the biggest unknowns in today’s fi nancial system
• CCP margin frameworks • The default management process• The loss allocation waterfall• Key issues including: direct clearing,
indirect client clearing, portability, segregation
• Other related counterparty risk mitigation tools and their limitations
• Systemic risk and extreme tail risk• Can a CCP fail? Some historical examples• Stress Testing a CCP and a recovery and
resolution plan• The risk transformations CCPs generate
and implications for XVA• Capital requirements for exposures to CCPs• The background and evolution of central
counterparty (CCP) clearing
THURSDAY, NOVEMBER 26
0900– 0910
Welcome
0910–1230
Introduction • What is Central Clearing
• How does a CCP Work?
• Direct clearing, client clearing and
indirect clearing
• Margining
• Default management process
• Loss mutualisation
• Regulatory response to the 2008
Financial Crisis
A closer look at Margining • Variation Margin
– Obtaining prices for OTC products
• Initial Margin
– SPAN
– VaR and Expected Shortfall
– Stressed Loss Add-Ons
– SIMM
• LCH, CME and EUREX
• CDS clearing at ICE
• Segregation of collateral
1230–1330
Lunch
1330–1700
A closer look at The Default Management Process • Declaring a default
• Macro Hedging
• The Auction Process
• Client Portability
A closer look at Default Funds • Sizing the default fund
• Allocating the default fund to clearing
members
• Default Fund versus margining
Loss Allocation • The CCP waterfall and the “defaulter
pays principle”
• Loss allocation methods
– Powers of Assessment
– Default Fund tranches
– Variation Margin Gains Haircutting
– Trade tear-up
– Forced Allocation
– IM haircutting, novation to other CCPs,
reversion to bilateral trades,
CCP wind-up
Client Clearing • The client clearing models – clearer or
client?
• Portability
• Segregation of collateral – Omnibus or
ISA accounts – LSOC and EMIR
FRIDAY, NOVEMBER 27
0900–1230
Can a CCP fail? • Some historical examples – including
Nasdaq’s Nordic power market
• Extreme tail risk and systemic risk
• Stress Testing a CCP
• Recovery and Resolution of a CCP
• Risk Transformation, the effects a CCP
has on the risk landscape
• Findings from CPMI/FSB/IOSCO/BCBS/
ESMA/ISDA
LCH • Evolution
• Conundrums
• SwapAgent
Overview of Counterparty Risk • The nature of Counterparty risk
• Mitigation methods
• How does a CCP help?
– Netting
– Trade Compression
– Margining/default Funds
– Standards for clearing members
– Legal certainty
– Default Management Procedure
xVA • CVA: Credit Valuation Adjustments
• DVA: Debit Valuation Adjustments
• BCVA: Bilateral CVA
• FVA: Funding Valuation Adjustments
• MVA: Margin Valuation Adjustments
• KVA: Capital Valuation Adjustments
• ColVA
1230–1330
Lunch
1330–1700
Capital Requirements for exposures to a CCP • Earlier regulatory proposals
• BCBS 282
– Trade exposures
– Default fund contribution capital
requirements
• CCP Basis Risk
• Calculating EAD for regulatory capital
– CEM
– Standardised Approach for
Counterparty Credit Risk (SA-CCR)
– IMM
CCP Basis Risk
Evolution of Clearing • Early trading and clearing platforms
• Complete and incomplete clearing
• The ETD and OTC derivative markets
• The 2008 crisis
• Political and regulatory responses,
IOSCO and the G20Clearing Mandate,
Dodd Frank, EMIR, OTC regulation,
Basel III, IFRS13
Objective is for participants to gain an appreciation and understanding of the following topics:
Now also available as an online seminar
29
COUNTERPARTY CREDIT RISK
Lecturer: Gary DunnStarted out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fi xed income portfolio managers and the FX desks.Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS and industry. From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.Now Gary works as a private consultant and trainer.
30
TERMS AND CONDITIONS OF THE MONECO FINANCIAL TRAINING
WAYS TO REGISTER
Fax: Web: E-mail: Post mail:+420 541 219 735 https://www.moneco.com [email protected] MONECO Ltd.
Gorkeho 1, CZ-60200 Brno
Czech Republic, Europe
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.
MONECO Financial Training is registered trade mark of MONECO, Ltd.
Microsoft®, Excel®, Visual Basic® and VBA® are registered trade marks of MICROSOFT Corporation.
SEMINAR VENUE AND ACCOMODATION
The bulk of the MONECO seminars are traditionally held at the international four-star NH Prague City hotel in Prague, Czech
Republic. Accommodation is not included in the seminar price, but upon request we are happy to offer you hotel reservation at
special discounted prices for our valued clients. It does not apply to online participation in seminars that take place on the Internet.
TUITION LANGUAGE
Seminar tuition, all manuals, training software etc. are in English language. 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 food is not provided in case of online participation. 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 Finacial 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, and prices for online participation, 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, according
ZÁVAZNÁ PØIHLÁŠKA REGISTRATION FORM
Please, complete the registration form in capital letters and fax it to +420 541 219 735
Date: Signature:
PARTICIPANTS
Mr / Mrs / Ms
First Name:
Position:
Last Name: E-mail:
Phone:
Mr / Mrs / Ms
Mr / Mrs / Ms
First Name:
Position:
Last Name: E-mail:
Phone:
First Name:
Position:
Last Name: E-mail:
Phone:
COMPANY
Name:
Approving Manager:
Person responsible for training:
Address:
Tax Registration No.: VAT Identifi cation No.:
• Counterparty Credit Risk November 26 – 27, 2020
• Interest Rate Risk Hedging Workshop November 25 – 26, 2020
• Interest Rate Risk in the Banking Book September 21 – 22, 2020
• Central Counterparty Clearing October 12 – 13, 2020
• Responsible Investing: How to get it right? November 2 – 3, 2020
• Bank Asset-Liability Management September 8 – 10, 2020
November 23 – 24, 2020• Interest Rate Products – Mechanics, Pricing and
Applications
November 5 – 6, 2020• Corporate Credit Rating Systems: Design,
Development, Calibration and Validation
October 14 – 15, 2020• Reform of Interest Rate Benchmarks: Transition
to a World without IBORs
November 3 – 5, 2020• Bank Capital Management – Capital Planning, Fund
Transfer Pricing and RAROC
October 14 – 15, 2020• Stress Testing – Quantitative Techniques, Regulatory
Framework and Practical Use in Risk Management
6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1 6 5 3 1 5 6 4 6 9
6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4
1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2
0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9
7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6
4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8
4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0
1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0
4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4
0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6
4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7
5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3
4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1
5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2
1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6
9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7
2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6
8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5
5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2
6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3
4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8
9 7 5 3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6
8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2
1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9
4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2
4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1
4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4
0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8
5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4
8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0
3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5
8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8
1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1
5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1
3 2 6 9 7 0 7 1 3 5 6 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8
1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1
5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1
3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4
7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4
6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4
2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 3 2 6 9 7 0 7 1 3 5 6 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5
3 2 5 1 6 8 9 7 7 8 5 2 3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4
6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5
6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4
6 7 9 4 4 0 1 5 4 5 8
6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1
5 3 1 5 6 4 6 9 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5
3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7
3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3
1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4
1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5
5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4
6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9
5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6
7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7
1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1
8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1
1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5
7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7
4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2
5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4
2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0
1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5
4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1
0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6
1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1
6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1
5 3 1 5 6 4 6 9 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5
3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7
3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3
1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4
1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5
5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4
6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9
5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6
7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7
1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1
8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1
1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2
5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9
1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0
4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3
6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1
5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6
9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6
9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6
6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5
5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1
6 5 4 2 8 8 7 8 4 5 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 2 5 9 6 4 3 2 1 4 5 3 2 5 1 6 8 9 7 1 6
5 3 1 5 6 4 6 9 6 3 2 5 4 6 7 8 5 2 3 6 4 8 7 5 1 5 3 2 5 1 6 8 9 7 5 3 2 5 1 6 8 9 7 7 8 5 2
3 9 7 1 6 5 3 1 3 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7
6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6
3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4
2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4
1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6
4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0
1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7 8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8
7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7
2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4
2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9
1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 7 5 6 0 2 1 5 4 7 4 4 0 3 6
9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2 7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4
4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9 7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2
4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6 8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4
6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5 5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1 4 5 2 9 7
8 5 6 3 2 1 4 7 5 6 0 2 1 5 4 7 4 4 0 3 6 9 8 2 0 1 4 5 8 7 0 1 3 2 6 9 7 0 7 1 3 5 6 5 9 8 2
7 0 4 2 4 5 1 2 4 0 1 5 9 4 1 3 4 6 7 9 4 4 0 1 5 4 5 8 7 2 4 1 4 1 5 7 4 1 5 4 7 3 4 6 4 9 9
7 2 4 1 1 5 4 5 1 2 4 0 1 0 0 4 2 7 5 4 2 4 5 1 1 5 4 5 4 2 1 5 5 5 1 8 1 6 8 4 1 6 8 1 6 1 6
8 4 6 4 1 8 4 1 6 1 9 5 1 6 3 1 6 8 4 6 4 6 8 7 6 3 6 4 9 1 4 8 2 1 0 5 1 1 0 1 6 8 1 6 1 5 5
5 2 0 1 2 4 5 9 6 5 4 2 7 3 0 1
MONECOFINANCIALTRAININGMONECOFINANCIALTRAINING
MONECO, Ltd.Gorkeho 1, CZ-60200 BRNO, Czech RepublicPhone: +420 541 241 552 (English) +420 541 241 553 (German)Fax: +420 541 219 735E-mail: [email protected]
https://www.moneco.com