Conferences
Credit Risk Management Asia 2010
> Registration25th - 27th January 2010 * Furama Riverfront Singapore
Summary
People in the finance industry know that risk is a reality of financial markets. All risks in financial markets are called financial risks. Among the different types of financial risks, the credit risk is of a great interest. Credit risk is the risk of any loss caused by credit-linked events such as changes in credit quality, variations in credit spread and the default event. All three events affect the ability of the counterparties in a financial contract to meet their obligations. There can be changes in the credit quality of the counterparty, that is, an increase or a decrease in its credit ratings. In this case, the counterparty may default and cannot meet his/her obligations stated in the contract. Or the credit spread over the risk-neutral interest rate can become large, and the counterparty faces a more risky situation. Among these, modeling the default risk, that is, modeling of random time of the default event is generally the one that has been mostly researched.This 2-day conference coupled with post conference workshops generally aims to assess the corresponding credit risks faced by financial institutions integrating it with associated operational, market and liquidity risks. Specifically, the programme will also explore how to identify these risks, and to establish proper modeling through correlation of these risks. Moreover, the programme will give a better understanding of the recent enhancements in the regulatory framework associated to these risks hearing the perspectives of regulators, bankers, investment and asset managers and relevant credit rating agencies. The program will provide avenues to optimise effective risks analysis through proper modeling from the case studies, interactive panel discussions and post workshop conference offered by the programme.
Learning Objectives
Key Highlights:- Understanding the macroeconomics of risk management specifically on credit risk
- Scrutinising the financial sector’s risk appetite
- Identifying regulatory issues and compliance with regards to credit risk
- Understanding the linkage between credit risk and liquidity risk
- Examining counterparty risk management
- Managing and pricing issues associated with credit risk
- Correlating credit and market risk in the modeling process
- Managing credit risk in the portfolio level
- Modeling of credit risk of credit derivatives
- Managing risk for asset allocation and investment
- Integration of stress testing the modeling process
- Analysing the current enhancements to Basel II
- Case study presentations from financial institutions
- Participating in the panel discussions to provide speaker-delegate interaction
Who Should Attend:
- Chief Credit Officers
- Chief Risk Officers
- Chief Investment Officers
- Directors of Risk Management
- Heads of Credit Correlation
- Heads of Credit Derivatives
- Heads of Credit Research
- Heads of Credit Risk
- Heads of Credit Risk Analysis
- Heads of Credit Risk Modeling
- Heads of Fixed Income
- Heads of CDOs
- Heads of Market Risk
- Heads of Liquidity
- Heads of Quantitative Analysis
- Heads of Quantitative Credit Strategy
- Heads of Risk
- Heads of Structuring
- Heads of Trading
- Managing Directors, Directors
- Basel II Project Manager
- Heads of Risk Management
- Heads of Risk Control
- Heads of Corporate Governance
- Heads of Compliance
- Market Analysts
- Pricing Analysts
- Economists
Speakers
Nicholas Kwan
Regional Head of Research, Asia
Standard Chartered Bank
Vivek Pathak
Chief Credit Officer
International Finance Corporation
Rolando Valenzuela
Head of Research and Former VP & Chief Risk Officer
Philippine Dealing and Exchange Corporation
Miodrag Janjusevic
Chief Risk Officer
Sail Advisors
Mehul Pandya
General Manager
Credit Analysis and Ratings Ltd
Ning Zhu
Basel II Project Director
Standard Chartered Bank
Andrew Gordon
Executive VP, Head of Broker-Dealer Services and Alternative Investments APAC
The Bank of New York Mellon
Director, Credit Derivatives Structuring Asia
BNP Paribas
Rajiv Rajendra
Managing Director
Aktrea Capital
Marc Ronez
Managing Director
Asian Risk Management Institute (AriMI)
Deborah Schuler
Senior Vice President, Financial Institutions Group
Moody’s Investors Service
Dr. Christopher Lee Marshall
Managing Director
SunGard Asia-Pacific
Conference Agenda
Day 1
8:30 Registration
8:50 Chairperson’s Opening Remarks
9:00 Outlook of Risk Management in an Era of Troubled Times: Is Recovery in Sight?
o Lessons for Risk Management in the Aftermath of Economic Turmoil
o Credit Crisis: Implications and Best Practices
o Development in the optimization of models and technology for risk management
o Surviving risk challenges ahead
o Key challenges to economic credit market
9:45 Outlook of Recovery and Risk in an Era of New World Order
o The new world order - what is different?
o Outlook of recovery – the different shapes and speed
o Risks ahead, and the key to manage them
o Opportunities behind, where and what
10:30 Morning Coffee and Networking Break
11:00 Adoption of Recent Enhancement in Basel II: How do Key Players Implement these Developments?
o Determining the critical steps for Basel II implementation
o Examining what are international companies, regulators and financial institutions doing of Basel II compliance
o Complying with credit risk capital requirements of Basel II: Key Implementation issues developing a credit risk management framework
o Managing risk concentrations through effective valuation of financial instruments
o How to effectively develop a credit risk management framework for Basel II compliance
11:45 Coping with Uncertainty by Strengthening Bank’s Governance and Risk Management
o Identifying corporate flaws during the credit crisis and its implication to management restructuring
o Assessing the quality of a firm’s risk management
o Strong checks and balances to a financial firm’s management as an important rating consideration
o Applying essential changes in the context of business model and risk profiling
12:30 Networking Luncheon
1:30 Championing the Right Structure and Systemic Approach by Identifying Early Signs of Credit Default
o Lessons learnt from recent scenario of credit deterioration
o Understanding the implications of financial and market indicators
o Triggers which can bring tremendous change in the credit approach of a financial organization
o Examining the role of debt structure in supplying clear signals and safeguards for creditors in distress situation
2:15 The Role of Counterparty Risk in the Credit Crisis
o Credit exposure and counterparty risk exposure
o The role of the OTC derivatives market in the context of counterparty risk
o Counterparty risk in credit default swaps and tranches
o Challenges and new direction for counterparty credit risk
3:00 Afternoon Tea and Networking Break
3:30 Hedging Counterparty Credit Risk in Credit Default Swap (CDS): On Its Way to a Remarkable Growth?
o Overview of the CDS market and linked products
o Credit spread based on asset swap pricing
o Computing for default probabilities from CDS markets
o CDS counterparty risk
4:15 Modern Credit Derivatives: Why the “Crunch” Occurred and What Are The Developments In Mitigating The Crisis?
o How credit derivatives can help financial market mitigate the effects and recover from the aftermath of the crisis
o Utilization of credit derivatives to profit from the turmoil in the credit markets and to mitigate ongoing risks
o How credit derivative markets and regulations are changing
o Likelihood of similar crisis and how to prepare strategically
5:00 Chairperson’s Closing Remarks
5:15 End of Day 1
Day 2
8:50 Chairperson’s Opening Remarks
9:00 The Price is Right: Pricing of Portfolio Credit Risk in the Light of the Credit Crisis
o What is the risk in a given portfolio?
o Effect of regional and industry sector level to portfolio’s risk profile
o Impact of expected losses and credit to risk-based pricing at the portfolio level
o Pricing credit default swap
9:45 Managing Operational Risk within Credit Risk: Do We Need to Do Some Redesigning?
o Credit and operational risk as a source of bank losses
o Functional correlation of operational factors and probability of credit risk defaults
o Implementing best solutions for measuring, reporting and managing credit and operational risk
o Leverage operational credit risk management to include credit risk scoring and risk adjusted pricing
o Implications of Basel II for strategy, policies and structure
10:30 Morning Coffee and Networking Break
11:00 Linking Credit and Market Risk through Successful Modeling Techniques
o Correlation of market factors and likelihood of default
o Measuring credit and market risks
o Capital allocation for credit and market risk
o Integrating credit and market risk in VaR (Value at Risk)
11:45 Understanding the Interrelationship between Credit and Liquidity Risk through Strategic Modeling Approach
o Correlation between liquidity and credit risk in the model
o Falling liquidity and widening credit spreads: opportunity for investors
o Assessing the liquidity risk in the interest rate cycle
o Regulatory interplay associated with credit and liquidity risk and its impact to the whole risk management process
12:30 Networking Luncheon
1:30 Modeling Credit Risk to Calculate Regulatory Capital Requirements
o Credit portfolio modeling
o Active portfolio management: identification, and mitigation
o Efforts to improve the implication of risk limits and capital allocation for portfolio credit risk
o Emergence of collateralized debt obligations representing customized interests in portfolios
2:15 Integration of Stress Testing to Credit Associated Risk towards a Winning Model
o Bank’s specific risk appetite
o Why do stress testing at all?
o Defining stress-testing and scenario analysis
o Interpreting stress testing results
o Regulatory requirements
3:00 Afternoon Tea and Networking Break
3:30 Cross Asset Link: Managing Credit Risk in With Equity Options
o Asset classification by their levels of riskiness
o Alternative assets: hedge funds, infrastructure, private equity
o Client relationship and confidence restoration
o Differentiating risk management needs between an asset manager and a bank
o Carefully analysing and selecting credit funds
4:15 Understanding the Rating Process for Banks in Asia – How will the Rating Process be affected by the Recent Economic Downturn?
o What are the main difficulties rating agencies encounter during the economic turmoil and how they survive the situation
o What factors are considered for upgrading or downgrading an institution
o Managing expectations of bank and credit risk rating system by establishing robust risk rating process control
o How rating agencies help to develop Asian capital market
o How the rating process is affected by Basel II in terms of credit risk assessment?
5:00 Chairperson’s Closing Remarks
5:15 End of Day 2