Advanced risk management in the areas of market, counterparty risk, credit risk and ALM

1. Gamma Advisory Services
April 20131
Risk Training, Technology & Advise
Gamma Advisory Services
Risk Advisory, Training, & Technology Services
2.Advanced Risk Programs : April 2013

2. “The only skill that will be of lasting value in the 21st
century will be the skill of learning new skills. All other
skills will become obsolete with the passing of time”
Peter DruckerPeter DruckerPeter DruckerPeter Drucker
Gamma Advisory Services April 20132

3. A brief background presentationA brief background presentationA brief background presentationA brief background presentation
Gamma Advisory Services April 20133

4. ObjectivesObjectivesObjectivesObjectives
Gamma Advisory Services April 20134
Promote the use of best of current practices in risk
management
Taxonomy of methodologies
Link formal theory to all risk applications
Training spectrum of staff in across all functions
Private certification of staff
Cater to all levels: review, vocational & advanced as
well as for staff at entry, specialist, senior & board
levels

5. ServicesServicesServicesServices
Gamma Advisory Services April 20135
Skill transfer programs based on full review of
cutting edge industry practices & research
covering all major areas of risk
Training programs:
Review: conceptual
Vocational: teaching, practice and testing
Overview: policy, monitoring
Risk advice on policy and practices

6. UsersUsersUsersUsers
Gamma Advisory Services April 20136
New hires, functional specialists and top management
(based on program)
Cross functional users
Front, Middle, and Back Offices
Risk,Analytics
InformationTechnology (systems, programming, testing &
support)
Finance,
Risk audit, compliance
Legal

7. Delivery MechanismDelivery MechanismDelivery MechanismDelivery Mechanism
Gamma Advisory Services April 20137
Based on specific program
Seminar or Classroom
Reading or Review matter
Presentation
Computer aided demonstration
Spreadsheet exercises
Testing for vocational programs

8. The PrincipalThe PrincipalThe PrincipalThe Principal
Gamma Advisory Services April 20138
Pravin Shirnamé, Principal Advisor, GammaAdvisory Services:
Set up Gamma Advisory Services in 2010 aimed at evangelising better
risk management practices
Former head of the Market Risk function at HDFC Bank, India.
Part of core team that set up Risk function at HDFC Bank in 1994
Cross Industry experience of 25 years from banking, insurance,
investments, asset finance, among others
MBA’s from the University of North Carolina-USA (Finance) magna cum
laudé
MBA from University of Puné-India.
M.Sc degree from M.S.University of Baroda, India
FRM charter holder
Certifications from NASD, NC Dept of Insurance & others.

9. Range of programsRange of programsRange of programsRange of programs
Gamma Advisory Services April 20139
Treasury – FunctionalTraining
Treasury Review Program
Market & Counterparty Risk
Asset & Liability Management
Credit Risk
Risk Review & Advisory Services
Miscellaneous: Financial Modeling
Miscellaneous: Building Blocks

10. Advanced Programs in Risk ManagementAdvanced Programs in Risk ManagementAdvanced Programs in Risk ManagementAdvanced Programs in Risk Management ----
A PresentationA PresentationA PresentationA Presentation
Gamma Advisory Services April 2013
Pravin Shirname
Scheduled for 2013-14
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11. Advanced Programs in Risk ManagementAdvanced Programs in Risk ManagementAdvanced Programs in Risk ManagementAdvanced Programs in Risk Management
Gamma Advisory Services April 2013
Who should attend from banks, regulatory
agencies, software firms
risk analytics
risk management
risk audit
finance
system specialists
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12. Advanced Programs in Risk ManagementAdvanced Programs in Risk ManagementAdvanced Programs in Risk ManagementAdvanced Programs in Risk Management
Gamma Advisory Services April 2013
Program structure:
Text material or presentations, covering taxonomy of risk
models, with focus on model risk elements
Spreadsheet demonstrations of all models covered
Software based demonstration for simulation based
models
Test cases workout
Risk on risk models covered in special topics
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13. Market RiskMarket RiskMarket RiskMarket Risk
Gamma Advisory Services April 2013
Advanced Program in Market Risk
General Policy and Controls
Internal Organisation
Internal process of risk
Market data controls
Position controls
Model risk management
Backtesting policy
Stress testing policy
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14. Market RiskMarket RiskMarket RiskMarket Risk
Gamma Advisory Services April 2013
Advanced Program in Market Risk
ParametricValue at Risk
Aggregate Measures used
Mapping methods for cash flows
Product wise application
Applying methods for non-normal variables
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15. Market RiskMarket RiskMarket RiskMarket Risk
Gamma Advisory Services April 2013
Advanced Program in Market Risk
Historical Simulation
Alternative weighting methods
Alternative simulation methods
Scaling HistoricalVaR
Adjusting for non-normality
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16. Market RiskMarket RiskMarket RiskMarket Risk
Gamma Advisory Services April 2013
Advanced Program in Market Risk
Monte Carlo Simulation
Components of VaR process
Generating random numbers
Alternatives for MCS VaR
normal random variables, factor models, decomposition,
multi-steps, non-normal simulation, copula methods,
principal components based methods
Improving MCSVaR
Demonstrating simulation software
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17. Market RiskMarket RiskMarket RiskMarket Risk
Gamma Advisory Services April 2013
Advanced Program in Market Risk
Preview of Market Risk in the future
Assessing capital for market risk
Assessing economic risk
Risk management application
Other applications of market risk measures
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18. CounterpartyCounterpartyCounterpartyCounterparty RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Advanced Program in Counterparty Risk
Product Review
FX Product Review
Products from vanilla structures, forward structures, Barriers
options, Binary options, Faders, Accumulators, Average rate
options, Compound options, among a wide range of FX
products
Interest rate Product Review
Products from vanilla swaps, In arrear swaps, Quanto swaps,
Cancellable swaps, Swaptions, Caps and Floors, CMS, Range
accrual swaps, among a wide range of Interest rate products
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19. CounterpartyCounterpartyCounterpartyCounterparty RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Advanced Program in Counterparty Risk
Credit risk in treasury operations
Definitions and Exposures
Credit Processes andApprovals
Quantification of credit exposure
Quantification of credit exposures, CVA, DVA, FVA
Risk reduction methods
Capital Assessment in Basle I,II,III
BackTesting
StressTesting
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20. CounterpartyCounterpartyCounterpartyCounterparty RiskRiskRiskRisk
Gamma Advisory Services April 2013
Advanced Program in Counterparty Risk
Counterparty RiskTemplates
Product categories
Analytical and simulation tools for exposures
CVA and other adjustments
WrongWay Risk
Risk analysis and reporting
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21. Counterparty RiskCounterparty RiskCounterparty RiskCounterparty Risk
Gamma Advisory Services April 2013
Advanced Program in Counterparty Risk
Preview of Counterparty Risk in the future
Assessing capital for counterparty risk
Assessing economic risk
Risk management application
Other applications of counterparty risk measures
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22. Asset Liability ManagementAsset Liability ManagementAsset Liability ManagementAsset Liability Management
Gamma Advisory Services
April 2013
Interest rate risk measurement & management
Review of IRR : components, management process,
management structure
Defining and measuring IRR : rate volatility, cash flow
impacts, embedded options+
GapAnalysis : Processes, evaluating IRR+
Income simulation: Processes, evaluating IRR+
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23. Asset Liability ManagementAsset Liability ManagementAsset Liability ManagementAsset Liability Management
Gamma Advisory Services
April 2013
Interest rate risk measurement & management
Duration and Convexity based simulation : Processes,
evaluating IRR+
EconomicValue Simulation: concept, process,
evaluating IRR+
Measuring risk of indeterminate maturity and deposit
variants : alternate methods, estimating rate changes+
Measuring risk of loans & investments : IRR of
mortgage loans, assessing prepayment and other risks
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24. Asset Liability ManagementAsset Liability ManagementAsset Liability ManagementAsset Liability Management
Gamma Advisory Services
April 2013
Interest rate risk measurement & management
Modeling of rate change type of scenarios : types of rate
changes, models of rate changes, models of rates,
estimating parameters of models+
ImplementingAL models: key aspects of AL Models that
need to be evaluated, advanced modeling features+
Model risk management: assumptions, managing models,
testing+
Additional risk aspects: cross impacts, other risk
impacts+
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25. Asset Liability ManagementAsset Liability ManagementAsset Liability ManagementAsset Liability Management
Gamma Advisory Services
April 2013
Liquidity risk measurement & management
Definition of Liquidity Risk
Liquidity risk measurement: ratios, stock & flow measures,
liquidity risk gap analysis
Stress analysis: liquidity risk categories, stress levels
Stress testing: components, process of stress testing
Managing asset liquidity risk: types, estimation of liquidity
buffer, managing assets for liquidity
Managing liability liquidity risk: types, estimation of liquidity
risk, managing assets for liquidity
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26. Asset Liability ManagementAsset Liability ManagementAsset Liability ManagementAsset Liability Management
Liquidity risk measurement & management
Mitigating liability liquidity risk under stress: strategy,
tactics, testing
Liquidity risk pricing: components of risk, methods,
usage in FTP
Contingency for liquidity risk: components, framework
of contingency plans
Liquidity risk controls: risk limits, reporting, generic
liquidity risk policy
Gamma Advisory Services
April 201326

27. Asset Liability ManagementAsset Liability ManagementAsset Liability ManagementAsset Liability Management
Gamma Advisory Services
April 2013
ALM IRR policies, management, limits & systems
ALM IRR policy, structure, setting limits, risk appetite+
ALM management, implementation+
Back-testing
Managing IRR without derivatives+
Managing IRR with derivatives+
Liquidity risk policy
Managing liquidity risk and contingencies
ALM system requirements +
Review of current regulatory scope forALM
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28. CreditCreditCreditCredit RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Credit Analysis
Credit analysis process & concepts
The five C’s of credit
Overview of financial statement
Financial analysis & performance assessment
Variants
Credit analysis for individuals
Credit analysis of financial institutions (different types)
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29. Wholesale CreditWholesale CreditWholesale CreditWholesale Credit RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Wholesale Credit Risk Management
Credit approval process : from segmentation to rating,
documentation, monitoring, remedial action etc
Credit risk management process: from risk capacity,
capital allocation, managing and reporting
Credit risk organisation structure
Credit risk audit
Credit risk rating modeling approaches
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30. Wholesale CreditWholesale CreditWholesale CreditWholesale Credit RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Wholesale Credit Risk Management
Credit risk valuation and loan pricing
Portfolio credit risk models
Risk adjusted performance
Regulatory capital
Future requirements
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31. Retail CreditRetail CreditRetail CreditRetail Credit RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Credit Scoring and Response Modeling
Objectives of using scoring
Overview of credit scoring and risk
Review of building blocks for statistics & mathematics for
scoring
Development process and methods for credit scoring
Validation & performance analysis
Implementation, monitoring & review
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32. Retail CreditRetail CreditRetail CreditRetail Credit RiskRiskRiskRisk
Gamma Advisory Services
April 2013
Credit Risk Management
Overview of products, markets, roles, organisation & legal
framework
Marketing : product design & strategy
Credit risk management : governance, strategy, systems,
fraud, capital & provision+
Operational management of credit: from application, account
management , collections +
Portfolio analysis
Management & Organisation
Regulation, Compliance perspectives
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33. “He who loves practice without theory is like the sailor who
boards ship without a rudder and compass and never
knows where he may be cast”
Leonardo da Vinci
Gamma Advisory Services April 201333

34. Thank YouThank YouThank YouThank You
Gamma Advisory Services April 2013
E-Mail:
gammaadvisory@gmail.com
Web:
http://gammaadvisoryservices.weebly.com/
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35. Pravin Shirname
The End
Gamma Advisory Services April 201335