• Definitive overview of significant regulatory framework
• A clear understanding of the complete process of modelling and validating CRM, Stressed VaR, IRC
• Reviewing recent developments to Basel III trading book rules
• Using stressed EEPE to account for general wrong way risk
  
• Understanding how wrong way risk interacts with systemic risk
• Identifying key challenges and limitations of CVA VaR
• An understanding of the role of liquidity risk in stress testing under Basel III

Course Highlights

• Understand the key issues for risk management under the forthcoming Basel III regulations
• Review the progress of the Basel 2.5 regulatory framework
• Address the qualitative and quantitative challenges of calibrating wrong way risk
• Consider CVA VaR and its compatibility with other risk metrics
• Address the enhanced stress testing requirements under Basel III
• Consider the role of liquidity in stress testing

Course Tutors

LONDON
Ioannis Akkizidis, Senior Financial Risk Analyst, FRS GLOBAL
Marius Bochniak, Senior Risk Analyst, LLOYDS BANKING GROUP
Peter Dobranszky, Head of Risk Model Validation, BNP PARIBAS
Steven Hall, Director - Financial Risk Management, KPMG
Adolfo Montoro, Vice President, Head of Market Risk Economic Capital Methodology, DEUTSCHE BANK
Valerie Pilcer, Director, PILCER & ASSOCIES
Peter Quell, Head of Portfolio Modelling for Market and Credit Risk, DZ BANK
Cristiano Zazzara, Executive Director, Head of Credit Business, RISKMETRICS - MSCI INC

NEW YORK
Marius Bochniak, Senior Risk Analyst, LLOYDS BANKING GROUP
Michael Carhil, Director of Enterprise Risk Analysis Division, OFFICE OF THE COMPTROLLER OF THE CURRENCY (OCC)
Gordon Liu and Sebastian Zugman, Head of Americas Market Risk Methodology and Modelling, HSBC
Marco Pereira, Risk Management Vice President, CITIGROUP
Jonathan Schachter, Consultant, MORGAN STANLEY
Harvey Stein, Head of Counterparty Risk, BLOOMBERG
Sol Steinberg, Vice President, LCH.CLEARNET
Christiano Zazzara, Executive Director, Head of Credit Business, RISKMETRICS - MSCI INC