Basel II and today’s market landscape make it essential for financial institutions to manage risk and capital in a systematic and transparent manner across the enterprise.
The Algo Capital and Credit Forum, being held in London and New York in November, will focus on the practical issues that institutions face in developing a credit risk and capital management system that meets the challenges and opportunities of Pillar 1, Pillar 2 and beyond.
To meet the Pillar 1 challenge of measuring regulatory capital, banks will need to develop robust credit methodologies and risk rating practices, processes for estimating critical measures of risk [such as probability of default (PD), loss given default (LGD) and exposure at default (EAD)], a system for organizing and managing essential credit information and data, and a system for calculating and reporting regulatory capital. Banks also face expectations under Pillar 2 to assess capital needs relative to internal measures of risks, taking into account the impact of correlation and concentration levels on portfolio risk as well as "stress testing" of potential market downturns.
Looking beyond Basel II, banks have a strategic opportunity to leverage their Basel II investments to improve critical business processes. These investments can provide banks with the tools needed to make more efficient credit decisions, optimize risk and return on the portfolio, develop risk-based pricing, and enable strategic capital planning. Despite the technical, operational and cultural challenges of preparing for Basel II, the long-term benefits of these efforts could be great for institutions that approach this challenge with a vision of the opportunities created through a well-designed and comprehensive risk measurement and management framework.
This forum will explore how institutions are striking the balance between taking the necessary incremental steps to progress towards compliance with Basel II in the short term, meeting the regulatory and market expectations of managing capital based on economic risk, and ultimately achieving the 'big picture' business benefits beyond Basel II.
Presentations will include real-life case studies that illustrate the business, technical and regulatory considerations involved in the implementation of a truly integrated credit risk management process. Specifically, presentations will address solutions for developing efficient, comprehensive and well controlled workflow and limit setting, integrating loss data and credit models for sound internal ratings processes, measuring real-time counterparty credit risk on derivatives, calculating regulatory capital systematically across the enterprise, and developing a framework for measuring and managing economic capital.
November 10, 8:30am - 7:30pm
Agenda & Registration
November 17, 8:00am - 7:30pm
Agenda & Registration
For more information about these complimentary full-day forums, visit www.algorithmics.com.Algorithmics
More on Basel Committee
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Charge was felt to be "too difficult to capture" without complex rules
While standardised rules are being revised, banks say they can't make a call on floors
Banks fear regulators will not have enough data to draw up sound rules by year-end
Sign up for Risk.net email alerts
Sponsored video: Elseware
Oxford professor David Vines argues that the carrot is as important as the stick
Sponsored webinar: IBM
Watch highlights of this year's London conference
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.