Risk Management and Basel II

Workshop Overview

 SimArch Asia Pte Ltd

Corporate Head Quarters

Interleuvenlaan 62
3001 Heverlee
BELGIUM
Phone +32 16 39 4732
Fax +32 16 39 4731
Email: info@simarch.com

Asia Office
Registration Number 200806046C
20 Cecil Street, #14-01 Equity Plaza, Singapore 049705
Fax +65 6438 2436, Email: akhtar@simarch.com
SimArch Asia Pte Ltd is a premium provider of consulting and learning solutions within
the Financial Services Sector. We assist banks with the implementation of Basel II as well
as with the enhancement of the skills and core competencies of their employees. We are
currently active in more than 40 countries world-wide and have operations in Africa
(SimArch Africa) and in Asia (SimArch Asia). Our head-office is in Belgium (SimArch NV)
from where our customers in Western Europe are being served.

SimArch provides consulting services to banks in achieving Basel II compliance. The

complexity of Basel II, as well as its interdependencies with other significant regulations,
makes its implementation an intricate corporate governance/risk management project
necessitating a systematic approach. We have three-phase Basel II Technical Assistance
Project to help clients reach Basel II compliance. This suite of modules can be used as a
comprehensive project, or as an individual component addressing selected topic. Basel II
Technical Assistance Project is comprised of three phases: Phase I-Quantitative Impact
Study (QIS); Phase II-Gap Study and Phase III: Implementation.

Since 1999 SimArch has been active in the Financial Services Sector assisting our clients
with the improvement of their business performance and competitive position. For the
past four years we have been working very closely with FMO in developing countries and
have delivered several projects and training programmes to FMO clients in Asia, Latin
America, Eastern Europe and the Balkans. Our major competencies are in the following
areas in banking:

 Asset & Liability Management (ALM)

 Basel II
 Risk Management
 Financial Risk Management
 Interest Rate Risk Management

Risk Management and Basel II Workshop

 RISK MANAGEMENT AND BASEL II WORKSHOP

INTRODUCTION
Risk Management and Basel II Workshop is designed to provide the participants with an
overview of modern risk management, including a breakdown of the new Capital Accord
and a comparison with the old one. This is then followed by an in-depth examination of
the techniques and management structures used to assess and to control risk, including
detailed discussions on the implementation of Value-at-Risk, which is becoming the de
facto standard for measuring risk across all the major classes: market, credit and
operational. The workshop combines lectures, class discussions, examples and
exercises.

KEY LEARNING OBJECTIVES

After the workshop participants will be able to

 Define risk, uncertainty and exposure in the context of the financial markets

 Analyse the concept of risk management and its relationship to Capital

Management
 Understand and apply the Value at Risk (VaR) methodology to measure market
risk.

 Understand the contents of New Capital Accord : Basel II

 To identify and measure Credit Risk and to estimate regulatory capital for Credit
Risk under Basel II

 To identify and measure Market Risk and to estimate regulatory capital for Market
Risk under Basel II

 To identify and measure Operational Risk and to estimate regulatory capital for
Operational Risk under Basel II

PARTICIPANT PROFILE
The Workshop provides a unique learning experience for the following target groups:

 Members of Basel II Implementation Unit

 Treasurers and Risk Managers
 Asset/Liability and Funding Managers
 Personnel that form part of the ALM support function in a bank
 Chief Financial Officers
 Budgeting and Capital Planning Executives
 Internal Auditors
 Central Bankers

Risk Management and Basel II Workshop

NUMBER OF PARTICIPANTS
In order to ensure a powerful learning experience the number of participants per
workshop is limited to 20 participants.

DATES AND VENUE OF THE WORKSHOP

March 18-20,2010 at Golden Lotus Room, 11th floor, Bong Sen Hotel Saigon,117 -123
Dong Khoi Street, Dist.1, HCMC, Viet Nam.

REGISTRATION FEE FOR THE WORKSHOP

The total registration fee for the Workshop is EUR 1,200.00 per participant and is payable
before the start of the workshop. The registration fee payable per participant is EUR
600.00 as the 50% of the fee is subsidized by FMO Netherlands. The registration fee
includes expert tuition, course documentation and workshop materials as well as
luncheon and refreshments.

Registrations for the Workshop take place via the SimArch website (details available from
akhtar@simarch.com).

THE CONCEPTUAL PART OF THE PROGRAMME

DAY 1

Capital Management

 What is Capital?
 Why Capital is needed?
 Forms of Capital: Book Capital, Regulatory Capital, Rating Capital and Economic
Capital
 Evolutions of Capital Requirements

Overview of Basel I

 Introduction
 Market Risk Incorporation in Basel I

Overview of Basel II

 Pillar I: Minimum Capital Requirements

o Credit Risk
o Market Risk
o Operational Risk
 Pillar II: Supervisory Review Process
 Pillar III: Market Discipline

Risk Management and Basel II Workshop

Overview of Credit Risk
 Drivers of Credit Risk
 Measurement of Credit Risk
 Credit Risk Diversification

DAY 2

Credit Risk: The Standardised Approach

 Individual claims
 Past Due Loans
 Higher-risk categories/Other Assets/Off-Balance Sheet Items

External Credit Assessments

Credit Risk Mitigation

 Overview of Credit Risk Mitigation Techniques
 Collateral
 On-balance sheet netting
 Guarantees and credit derivatives
 Maturity mismatches

Credit Risk Mitigation Approaches

 Simple Approach
 Comprehensive Approach

Credit Risk – The Internal Ratings-Based Approach

 Foundation IRB
 Advanced IRB

Case Study on Parallel Calculations for Credit Risk under Basel II

Market Risk

 The Standardised Measurement Method

o Interest Rate Risk
o Equity Position Risk
o Foreign Exchange Risk
o Commodities Risk

 The Internal Models Approach

Risk Management and Basel II Workshop

DAY 3

Value at Risk

 VaR Definition
 VaR Parameters: Confidence Level and Horizon
 Application of VaR to measure market risk

Case Study on Parallel Calculations for Market Risk under Basel II

Overview of Operational Risk

 The importance of Operational Risk

 Case Histories of Operational Risk

Operational Risk

 The Basic Indicator Approach

 The Standardised Approach
 Advanced Measurement Approach (AMA)

Case Study on Parallel Calculations for Operational Risk under Basel II

Pillar II: Supervisory Review Process

 Overview
 IRRBB
 ICAAP

Pillar III: Market Discipline

Basel II Implementation Phases

 Phase I-Quantitative Impact Study (QIS)

 Phase II-Gap Study and
 Phase III-Implementation

Risk Management and Basel II Workshop

WORKSHOP PRESENTER

Md. Akhtaruzzaman is currently working as the Senior Consultant of SimArch Asia Pte Ltd,
Singapore(a full subsidiary of SimArch NV, Belgium). He worked as the Managing Director
of SimArch Asia Pte Ltd, Singapore during 2007-2009. Among others he delivers workshops
on a number of topics, which cover Asset & Liability Management,Financial Risk
Management, Financial Statement Analysis and Basel II.
Md. Akhtaruzzaman is also a casual lecturer for postgraduate level courses and PhD student
at Newcastle Business School in the University of Newcastle, Australia. His PhD research
focuses on the bank exposure to Interest Rate Risk in the context of Australian Financial
Services Industry. He is a recipient of ‘Australian Postgraduate Award’ for pursuing PhD
Program at Newcastle Business School. He has been awarded ‘The Best Publication Award
2009’ from Faculty of Business and Law, the University of Newcastle, Australia for a research
article on Basel II in a ranked journal published from the United Kingdom.
In the last 12 months he worked as the resource person on Risk Management and Basel II
Workshop in the following banks: Nepal Rastra Bank(The Central Bank of Nepal),
Bangladesh Bank(The Central Bank of Bangladesh),Techcombank, Hanoi,Viet Nam, Eastern
Bank Limited, Dhaka Bank Limited, Southeast Bank Limited, National Credit and Commerce
Bank Limited and Mercantile Bank Limited, Dhaka, Bangladesh. He conducted a number of
Quantitative Impact Studies (QIS) for the Banks,which are due for implementation of Basel II.
During his career he conducted several training programmes and workshops in Singapore,
South Africa, Cambodia, Viet Nam, India, Nepal and Bangladesh.

Akhtar has a B.Com(Hons) from Banaras Hindu University, India and also obtained an MBA
in Finance from the Institute of Business Administration, University of Dhaka, Bangladesh. He
completed Masters in Bank Management from National University, Bangladesh.
Akhtar started his banking career in a commercial bank based in Dhaka. He has over 9 years
of banking experience in the field of risk management. At Mercantile Bank he headed the
Research and Planning Division since 1999. Being the member of Asset Liability
Management Committee (ALCO), he guided management on managing market risks, setting
up lending rates, calculating and forecasting capital adequacy and the cost of funding of the
bank. He was responsible for product planning, new product development and also prepared
the Annual Reports of the bank. He worked as the member secretary of ‘Basel II follow-up
and Implementation Committee’ of the bank and was a core member of the Committee
implementing Credit Risk Management for the bank.

Since 2003 Akhtar has been working as Visiting Faculty in a number of universities to
conduct courses as part of MBA programs. His comments on the Banking System of
Bangladesh were published in ‘The Asian Banker Journal’ (Special Edition, Issue 67, 2007)
issued from Singapore. He also published a number of research articles in refereed
international journals. He is a regular member of the CFA Institute, USA and CFA Singapore
Society, Singapore. He is a member of the American Finance Association, USA and the
Accounting and Finance Association of Australia and New Zealand. He is a member of
Professional Risk Managers’ International Association (PRMIA), USA.

Risk Management and Basel II Workshop