Due to the near collapse of the financial system in 2008,
it is clear that worldwide banks ability to measure market and credit risk is
far from perfect. Globalization and regulation combined with increased sophistication
in financial technology have introduced more complexities into the activities
of banks and therefore their risk profiles. This had led to many worldwide
banks looking into finding ways of effectively measuring and managing
operational risk. The scope of risk management includes issues such as fraud,
system failures, terrorism and bank office failure.
This sophisticated 2-day course concentrates on the
various modeling techniques that can be used – the
Basic Indicator Approach, the Standardised Approach, the Alternative
Standardised Approach as well as a number of Advanced Measurement Approaches.
Case studies will be applied to assist the delegates understanding each
approach. Interaction from the participants will be strongly encouraged
throughout.
About the
Trainer:
David Lawrence
Executive Director &
Consultant
Lawrence Risk Consulting
David Lawrence the Executive Director of Lawrence Risk
Consulting and has taught many courses on topics ranging from financial
mathematics and option theory through to economic capital for measuring and
managing market risk, credit risk and operational risk and is a well-known
conference speaker.
Until 2005, he was a Vice President of Citibank in London,
where he was the European Head of Risk Methodologies and Analytics within the
Risk Architecture Department of Citibank. In that position, he was responsible
for the development of many new risk management processes, procedures and
systems that are now used throughout Citibank to measure and manage market
risk, credit risk and operational risk. Dr. Lawrence joined Citibank in 1976 as
Head of Systems Planning and Development in Sydney and subsequently held a
variety of positions including Business Manager for several consumer loan
portfolios, leverage leasing and tax effect leasing. After transferring to
London in 1986, he was heavily involved with all aspects of derivatives,
ranging from valuation and market risk to credit risk and operational risk.
He was the principal author of the bank's Risk Management
Manual, which defined the risk management controls that are now used by
Citibank. He represented Citibank in the Working Groups of the various trade
associations that interfaced with the Basel Committee on Banking Supervision.
Among other publications, he has written on credit risk in “Derivative Credit
Risk” (1995 and 1999) and “Risk Management for Financial Institutions” (1997),
which were published by Risk Publications. His book on
market risk, entitled “Measuring and Managing Derivative Market Risk” (1996)
was published by International Thomson Business Press.
He holds an M.A. in Natural Sciences (Physics) from
Cambridge University, a D.Phil. in Elementary Particle Nuclear Physics from
Oxford University, and an M.B.A. from the University of New South Wales.
