Agenda

TWO DAY INTRODUCTORY PROGRAMME

Day 1, Monday 25 May 2009

CORE PRINCIPLES OF BASEL II

• Differentiating from Basel I - Implications for banks
• Overview of Basel II Pillars
• Overview of Basel II Approaches (Pillar One)
• Risk Measurement – Regulatory Capital
  Credit Risk – Principles of Measurement
  Credit Process Framework
• Regulatory Expectations: Intent of Pillar Two

Day 2, Tuesday 26 May 2009

CORE PRINCIPLES OF Basel II (part 2)

• Operational Risk – Overview
• Operational Risk – Different measurement approaches and implementation challenges
• Market Discipline –  Pillar Three
• Risk Governance – Basel II guidelines
• Risk Management Strategies – Overview
• Review of significant implimentation issues - ERM
   

THREE DAY ADVANCED TRAINING COURSE

Day 1, Wednesday 27 May 2009

Session 1: Objectives of the Accord

• The purpose of a Basel operational risk charge
• Structure of Basel II (Pillars One, Two & Three)
• Pre-requisites for adequate risk management environment according to Basel (Corporate Governance, Internal Audit, Compliance, Customer Due Diligence)
• Risk definition and risk approach in the Basel II framework
• Basel I vs Basel II (including teething problems of Basel II)

Session 2: Definitions of Risk

• The market risk boundary
• The credit risk boundary
• The Sound Practices paper
  - Citi Workshop: Identify and prioritise your risk
   
• Citi's definition of Operational risk
• How Citi addresses the market risk and credit risk (and sometimes operational risk) boundary
• Factors differentiating regulatory capital and economic capital within Citi
• Supervisory approach and market discipline in the Cayman jurisdiction / Caribbean Region, now and in the near future
  
  - Case study: Supervisory approach
  Basel II “Financial Institutions Risk Assessment Tool (FIRM)”

 Session 3:  Outsourcing & Operational Risk

• The Basel rules on outsourcing
• The risks of outsourcing
  - A brief review of the issues relating to outsourcing
  - How to include outsourcing within an operational risk framework
• Control measures in outsourcing risk

 

Day 2, Thursday 28 May 2009

Session 4:  The Risk Register

• The validation of a risk register
• Assessing inherent risk
• The assessing of residual risk
• Formulating a risk register?
  - Workshop: Applying a risk register
  

Session 5: Data: Issues and Practical approaches 

Internal loss data

• Internal loss data in Citi's operational risk framework
• Pros and cons of using internal data for wholesale credit risk

External loss data & Scenario Assessment

• External loss data in Citi's operational risk framework
• Pros and cons of using external data for wholesale credit risk

Session 6:  Business Continuity planning

• BIS proposals on severe event planning
  - Case study: Cascading and escalating risk
  
• Formulating an extreme event business continuity plan

Day 3, Friday 29 May 2009

Session 7:  Business Process Modelling / Operational Risk benchmarking

• Understanding Business Process Modelling and its role in managing operational risk
• Identifying key controls
• Link to loss data
• Review of the available approaches using case studies
  

Session 8:  Control and Risk Self Assessment 

• What are the Basel rules?
• What is the objective of control and risk self assessment?
  - Demonstration of the typical technique applied
• Review of the level of accuracy of data produced
• Presentation of typical operational risk product
• Consideration of the problems with control and risk self assessment in practice

Session 9:  The Role of Senior Management and the Structure of the Department

• The Basel requirements of the role of Board
• Relationship between operational risk management / internal audit & compliance
• Purpose of the operational risk management function

Session 10:  Key considerations in establishing a firm-wide Stress testing framework - The Citi approach

• Purpose of Stress Testing
• Defining Loss and Stress
• Scope and Implementation