In any modern financial institution, it is essential that the risk undertaken by the institution is commensurate with the returns. The measurement of the risk undertaken is embodied in the concept of economic risk capital. In addition, a substantial part of the Basel II capital accord is devoted to minimum regulatory capital requirements.

"Calculating Economic and Regulatory Capital" is a two-day course that covers both the measurement and management of risk in its three major forms - market, credit and operational. It includes a detailed examination of the methods that can be used to calculate capital for the financial institution, both economic risk capital and regulatory capital under Basel II.

This timely course covers all the fundamentals of economic capital calculation, which is a pre-requisite for Pillar 2 of the Basel Accord. It addresses many of the associated problems drawn from decades of experience of the course director, who was heavily involved with most of the banking trade associations. This practical course will cover the key methods used by the major internationally active banks around the world, illustrated by case-studies and exercises.

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.