This course tells you how a risk manager involved with credit & operational risk, measures and monitors credit & operational risk for his division.
|Introduction to Credit risk||A discussion on the concept of credit risk management.|
Credit risk management process:Identifying the risk,Measuring the riskManaging and mitigating risk
|Measuring Credit Risk||Key parameters that determine potential losses from credit risk.Probability of Default: Computing the probability of default with the help of 'Credit Spread', 'Credit Rating' and 'Transition Matrices'.|
Exposure at Default: Classification of the exposure into 'Direct Exposure', 'Commitments', 'Variable Exposures'. Modeling credit losses, Concept of expected and un-expected losses, Joint probabilities of default.
|Credit Risk Computation - Live Illustration||A comprehensive example to illustrate the computation of credit risk for a market portfolio using Credit Metrics methodology by J.P.Morgan|
Credit risk computation challenges - Cumulative default probabilities, Transition matrices.
|Credit Risk Management||Managing credit risk through pricing and capital cushion.Concept of RAROCMitigation of credit risk - A discussion on how credit risk can be mitigated through various risk mitigating tools (such as - 'Netting Arrangements' , 'Collateral', 'Limits', 'Termination Rights', 'Guarantees', and 'Credit Derivatives').Evaluation and Approval of Credit Facilities: Steps involved (such as - 'Origination', 'Underwriting', 'Due Diligence', etc.)|
Role of technology in measuring and managing credit risk management.
|Credit Derivative Products||Types of Credit Derivative Products: Credit Default Swaps (CDS), Total Return Swaps, and their workflow.Structured products - Asset backed securities.|
RBI norms for securitization exposures and re-securitization exposures.
|Basel Guidelines - Global|
A discussion on key credit facilities (such as - loan, trade liabilities, derivative instruments etc.), and guidelines for determining credit exposure for them.
Approaches for capital adequacy: 'Standardised' approach, 'Foundation Internal Ratings' approach, and 'Advanced Internal Ratings' approach. Variation in applicability of Basel norms across geographies.
|RBI Guidelines for Basel Implementation|
Capital adequacy norms: Concept of 'Tier I' and 'Tier II' capital and their components. Revised norms for risk weighing assets (such as - Domestic/ foreign sovereign debt, corporate exposures, etc.)Guidelines on Credit Risk Mitigation
|Introduction to Operational Risk||Live Case: Societe Generale, a discussion on the importance of automated processes, internal controls culture and access control.|
Operational risk management: Internal risk event tracking
|Operational Risk Management||Risk Control Self Assessment (RCSA): Steps in RCSA process (such as - identification of various risks, determination on various frequencies, etc.).|
Operational risk computation: Steps involved in quantifying and aggregating risks, determining loss distribution, expected and unexpected loss.
|Operational Risk: Compliance and Technology||Basel guidelines for operational risk: Step by step illustration of the three approaches to determine regulatory capital for operational risk - Basic Indicator Approach, The Standardized Approach (TSA), Advanced Measurement Approach (AMA).|
Operational Risk - process and technology:Key components
He joined ICICI from campus, and subsequently worked with CTS in the BFSI practice, before moving to Oracle as a Director of Sales with their Financial Services Consulting Practice in North East US. He is a certified Financial Risk Manager from GARP.