BANKING & FINANCE SERIES

Stress Testing Stress Testing & & Systemic Risk Management: Systemic Risk Management:
stress scenarios 20 - 21 May 2013 The Royale Chulan Kuala Lumpur, Malaysia 20 - 21 May 2013 The Royale Chulan Kuala Lumpur, Malaysia

Develop a robust stress testing framework across mild to severe Develop a robust stress testing framework across mild to severe stress scenarios

Your Expert Trainer

PHILIP CHAMBERLAIN
> > > > > Former Managing Director and Head of Credit Modeling, The Bank of New York Mellon Financial Risk Engineer, specializing in economic and regulatory capital implementation Functional Architect of The Bank of New Yorks enterprise Credit Risk Data Warehouse, 2004 - 2008 Functional expert on core team implementing Basel II at The Bank of New York, 2000 2010 Member of ISDA and IIF teams negotiating the terms of Basel II with the Basel Committee, 2000 - 2008

Key Takeaways:
Clear understanding of the main elements of Financial Analysis, Risk Measurement, Risk Modelling & Risk Management Clear understanding of Credit and Counterparty Risk elements Clear Understanding of Market Risk elements Clear understanding of Operational Risk elements Understanding the relation between stress and the instruments that compose nancial institutions Understanding the relationship between stress testing and bank management Learning how to implement or enhance develop a stress testing regime at a nancial institution Understanding the regulatory stress testing agenda Understanding the regulatory systemic risk agenda Understanding the relationship between risk-sensitive data capture and analysis and modelled risk exposure Grasping and exploiting the relationship between analytical modelling tools and expertise Understanding the history and context of systemic risk analysis Understand the track record of industry and regulatory attempts to handle nancial stress

The Monetary Authority of Singapore (MAS) administers Financial Training Scheme (FTS) grants to nancial sector organisations that sponsor eligible Singapore based participants to training programmes that meet qualifying criteria. For more details, please visit www.mas.gov.sg, or contact the MAS via fsdf@mas.gov.sg.

OLYGEN SDN BHD | www.olygen.com | jerry.cheng@za.olygen.com | | Tel: +603 2282 0369 | Fax: +603 2282 0379 |

Stress Testing & Systemic Risk Management:

20 - 21 May 2013

Develop a robust stress testing framework across mild to severe stress scenarios

The Royale Chulan Kuala Lumpur, Malaysia

Why You Should Attend

Stress testing has passed from a fairly obscure risk measurement technique ten years ago, to a prominent place in nancial news, in banking capital regulations and the worlds assessment of banks generally. In the last ve years, international regulators and governments have focused and re-focused on systemic risk in the world nancial system; the domino effect of a nancial crisis sweeping not one but many major banks into ruin through a sort of grim contagion. Every risk executive, every banking executive or banking regulator concerned with nancial risk needs to be conversant with these techniques, with what is needed, and with what is being required by regulatory authorities across the globe. This two-day program explores stress testing and systemic risk through the related spheres of risk measurement, risk management, and prudential nancial regulation. During this rise to prominence, a ood of words has issued, from regulators, from academics, from nancial risk managers, from commentators and analysts. This program puts stress testing and systemic risk in the practical perspective that supports actually implementing and developing these techniques as integrated elements in a nancial institutions risk management program. Because risk and regulatory capital are now so intertwined, a healthy program will address the spectrum of real-world economic needs to be addressed in risk management, and the equally urgent and complex regulatory qualication and compliance requirements that highlight these techniques. This program will enable you to make sense of, and efciently participate in this phase of nancial institutions risk analysis and management.

Target Audience
All those practitioners that have essential knowledge on nancial protability and risk management, involved in designing and implementing nancial analysis and risk management systems and frameworks, including: ALM, Counterparty, Credit exposure and risk management, Liquidity and Value Analysis / Risk, Income simulation, as well as Basel II / III and ICAAP framework. Investment Institutions, Financial Services Providers, Brokerage Firms, Hedge Funds, Consultancies and Solution Providers should also attend this training workshop. More analytically the following professionals should attend this event: ALM managers Market Risk Counterparty and Credit risk managers Credit Exposure Managers Collateral managers Quantitative analysts Financial Risk managers Financial Risk Analysts Financial engineers Chief risk ofcers Chief Financial Ofcer (CFO) Chief Information Ofcer (CIO) Treasurers Credit Risk Controllers Credit Limit Controllers and Managers Financial Auditors Regulators Bank examiners Board Advisors and Directors

OLYGEN SDN BHD | www.olygen.com | jerry.cheng@za.olygen.com | | Tel: +603 2282 0369 | Fax: +603 2282 0379 |

Stress Testing & Systemic Risk Management:

20 - 21 May 2013

Develop a robust stress testing framework across mild to severe stress scenarios

The Royale Chulan Kuala Lumpur, Malaysia

About Your Expert Trainer: Philip Chamberlain

Philip Chamberlain has over thirty years of experience on credit risk modelling, credit risk data, and Basel II. He is an expert in risk data warehousing, supporting both Basel II and credit management needs. He has interacted directly with Basel Supervisors Committee and U.S. regulators, as well as Institute of International Finance and International Swaps and Derivatives Association industry groups. He regularly speaks on Basel II, stress testing, economic capital, credit risk data, credit risk modelling and validation, and derivative credit modelling. He is known for his practical, imaginative intelligence applied to risk, management, and governance, with particular expertise in nancial risk engineering, including complex nancial and risk analyses. He started his career with Drexel Burnham & Co Incorporated as an associate in Corporate Finance Department. He joined Irving Trust Company in 1973 where his experience included syndications, nancial engineering and corporate nancial counselling. He performed Irvings analysis of new Basel Accord (Basel I) and developed syndicated-transactions protability model. He left as a Vice President. He joined the Capital Markets Division of The Bank of New York in 1989 where he structured complex term bank credits, negotiated subordinated-debt, middle-market private placements in highly levered transactions and also created the Banks forecasting model for borrower projections. From 1992-2000, he was the credit risk modeller where he overcame regulatory concerns and met the Banks counterparty risk needs by researching, designing and installing rst modelled counterparty credit exposure systems, both real-time and end-of-day, for FX, interest rate and equity derivatives. The systems are still used at The Bank of New York Mellon. He was the Vice President of Portfolio Management Division from 2000-2004 where he was the functional lead charged with implementing both Basel II and economic capital. In the 2 years, he helped improved decision making by successfully and practically integrating economic capital and risk-adjusted protability in the Banks annual operating plan, enterprisewide. He enabled economic capital perspective on live transactions by creating analytic RORAC calculator to mirror portfolio economic capital. From 2004-2006, he was the functional manager of the Basel Project Management Division where he teamed with division manager and technical manager. By designing and building Credit Risk Data Warehouse (CRDW) to capture a homogeneous daily record of credit risk across the enterprise, made Basel II implementation possible and laid foundation for new generation of risk management and reporting. He supported Basel II implementation by designing new, more transparent risk rating work ow system and supervising many modelling and validation-centric papers. He was the Managing Director of Credit Policy Sector in the Portfolio Management Division from 2006-2008. He was the manager of CRDW and was responsible for development, funding and operations of its over 50 functional and technical personnel. He also kept the Basel II implementation on track by: Transitioning CRDW from cramped e-hosted environment to ample in-house processing environment, installing continuous backup of daily warehouse to permit a production version and a history version for downstream use to function in parallel. Improving stability and timeliness of CRDW by reforming and shortening the batch cycle. Reducing Basel I and pro forma Basel II capital requirements sharply by transitioning Simple VaR exposure simulation to take its data from CRDW

Most recently, he was the Managing Director at The Bank of New York Mellon of the Enterprise Risk Architecture Division. He was the senior expert on Basel II implementation and continued to manage multi-terabyte enterprise CRDW. He helped BNY Mellon meet inexible April 2010 deadline for parallel run of the U.S. Basel II capital regime by coordinating and trouble-shooting over 55 projects over 2 years He received an MBA from New York University after graduating from Yale University.

OLYGEN SDN BHD | www.olygen.com | jerry.cheng@za.olygen.com | | Tel: +603 2282 0369 | Fax: +603 2282 0379 |

Stress Testing & Systemic Risk Management:

20 - 21 May 2013

Develop a robust stress testing framework across mild to severe stress scenarios

The Royale Chulan Kuala Lumpur, Malaysia

Program Outline: Day One

1. Foundations for stress testing: Overview of nancial stress testing, risk modelling and risk management Risk factors that may be stressed for credit risk modelling: PD, LGD, EAD, M, correlations, collateral, credit enhancement, netting arrangements, etc. Risk factors that may be stressed for market risk: Asset cash and futures prices and trading volume, interest rates and volatilities, FX rates and volatility, equities, commodities, asset-backed securities and credit derivative pricing and volatility Risk factors that may be stressed for operational risk: geography, employee turnover, information infrastructure, force majeure events Risk factors that may stressed for liquidity risk: bidask spreads, structured vs. non-structured spreads, credit lines, collateral eligibility Macroeconomic risk factors Review exercise on risk factors 6. Stress testing across the probability spectrum Stress testings spectrum from mild to severe stress Higher probability: Earnings stability and surprises Extremes short of capital events

7. Basic issues of data availability and relevance External data and basis risk Internal data: updating a strong, existing risk implementation Common internal data gaps

8. Financial stress testing under regulatory supervision Overview of the regulatory framework Impact of the nancial crisis on regulatory changes Meeting the challenge of changes in regulatory stress testing Evaluating internal models to assess Pillar I capital requirements Provision of feedback on stress scenario adequacy Developing stress tests to ensure capital adequacy Understanding regulators expectations

2. Financial stress testing, risk modelling and risk management Pre-Basel II, pre-Basel I, stress testing The computing power transformation Rise of statistical risk modelling Rise and fall of extreme condence intervals After the fall, stress testing rises again

Case study 9. Use of stress testing and integration of risk governance Stress testing is a tool in hands of risk experts, risk managers, line managers and executive management Getting buy-in from the top Maximize the business value of stress tests: credibility of scenarios, use of expertise, communicate analysis within the institution Why risk and nance should become more closely aligned Embedding stress testing framework into governance structure

3. Risk modelling and validation Basel II and statistical validation Condence interval suspect, but rank order lives By 2002, a regulatory search for validation by other means

4. Exploring the marshy ground of Validation vs. Risk Modelling Bank capital vs. other causes of failure Chronic disconnect between economic evaluation and accounting books and measures Representation of risk in measurement and risk modelling Stylized Basel II risk calculations driving statutory capital, Chronic tension between appearance and reality, Bias toward easy-to-measure vs. hard-to-quantify

10. Selecting suitable stress scenarios Assessing internal and external requirements for stress scenarios Designing appropriate scenarios in relation to an institutions exposures Assessing the impact of scenarios in different, overlapping risk areas Developing rm-wide scenarios capturing all material risks

5. Stress testing and expertise Originally, managerial stress testing as exercise in expertise Great divide between tools for hire and expertise Expertise grown, not made

Case study 11. The challenge of developing and implementing stress tests within an institution Central coordination vs. distributed expertise Cross-entity and cross-functional relationships Communication challenges Precision, iteration, and revalidation with clientele

OLYGEN SDN BHD | www.olygen.com | jerry.cheng@za.olygen.com | | Tel: +603 2282 0369 | Fax: +603 2282 0379 |

Stress Testing & Systemic Risk Management:

20 - 21 May 2013

Develop a robust stress testing framework across mild to severe stress scenarios

The Royale Chulan Kuala Lumpur, Malaysia

Program Outline: Day Two

12. Stressed-out scenarios: Reverse stress testing and diminishing returns Origin and appeal of reverse stress testing Calibration of reverse stress testing, regulatory vs. economic Information content of reverse stress testing Diminishing returns in reverse stress testing 18. The Human Dimension of Systemic Risk Intrinsic usefulness and vulnerability of nancial institutions Structural issues in systemic risk Perception and drivers of perception vis--vis systemic risk

Case study 19. Regulatory Perspective on Systemic Risk

Exercise 13. Evaluating and following on stress test results Imposing structure on evaluation of results, and articulating implications Coordinate specic follow-up on key action points View from the Basel Supervisors Committee View from U.S. and U.K. regulators The intersection of politics and prudential regulation

14. Developing a robust stress testing framework by evaluating your stress test methodology External tools and references for validation Internal evaluation integral to stress testing process

20. Systemic Risk and Stress Testing Systemic Risk in enterprise stress testing Data issues in systemic risk scenarios

21. Managing Systemic Risk Evaluating exposure to systemic risk Key institutional resources to limit systemic risk Exercise Key national and international resources to limit systemic risk Limitations of risk management with respect to systemic risk

15. Relating liquidity risk to other risks in Stress Testing 16. Forwarding the Institutional Agenda for Stress Testing 17. Introduction to Systemic Risk Systemic vs. idiosyncratic risk in nancial institutions Alternative ways to frame this risk Historical perspective

Small Class-Size:
Due to the interactive format of the programme, the class size will be kept small to ensure facilitators attention and effective class discussion.

Timetable
0830 0900 0900 1030 1030 1045 1045 1230 1230 1330 1330 1500 Registration First Morning Half Morning Break Second Morning Half Lunch First Afternoon Half Afternoon Break Second Afternoon Half

Customisation:
The programme will be further customised to t your priorities through the pre-course questionnaire (PCQ).

Internal Training:
This programme is available as an internal training. Email us to nd out more at: inhouse@olygen.com

1500 1515 1515 1700

REGISTRATION
OLYGEN SDN BHD | TEL: +603 2282 0369
Stress Testing and Systemic Risk Management (O1314MY) Credit Risk Under Basel II/III: Parameters, Mitigation, CVA and Counterparty Risk (O1315MY)
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Contact: Jerry Cheng FAX: +603 2282 0379

20 - 21 May 2013 22 - 23 May 2013 SGD 3,995/pax SGD 3,995/pax

BANKING AND FINANCE SERIES | The Royale Chulan Kuala Lumpur, Malaysia

*Fees include course documentation, luncheon and refreshments. Delegates are responsible for their own accommodation.

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TERMS & CONDITIONS

Payment Terms: Payment is required within 7 days of invoice date. Olygen reserves the right to refuse admission IF payment is not received before the event date. Transfer: Transfer is allowed upon written notication. Cancellation: Registration carries a 50% cancellation liability, notwithstanding, full fee is payable when cancellation is less than two (2) weeks before the event. Cancellation has to be done in writing. If Olygen decides to cancel or postpone this event, it is not responsible for covering airfare, hotel, or other travel costs incurred by clients. The fee will not be refunded, but credited to a future event. No Show: No show does not constitute transfer or cancellation and the full fee is payable. Changes: Olygen reserves the right to change event dates, venue, speakers, or omit event features, or merge the event with another event, as it deems necessary without penalty, refunds or alternative offers. Tax: Registration fees exclude tax. For clients outside Malaysia, the sum payable is as the listed fees, exclusive of tax. To this sum shall be added any other local tax or withholding tax from clients country of origin, if any. Marketing: Olygen may use your companys logo or business name or otherwise refer to your company in our website, any marketing, promotional or advertising material as a client of our services. Governing law: This Agreement shall be governed and construed in accordance with the law of Malaysia and the parties submit to the exclusive jurisdiction of the Malaysian Courts in Malaysia. Indemnity: Should for any reason outside the control of Olygen, the event be cancelled due to an act of terrorism, extreme weather conditions or industrial action, Olygen shall endeavour to reschedule but the client hereby indemnies and holds Olygen harmless from and against any and all costs, damages and expenses, including attorneys fees, which are incurred by the client.