Its objective is to review the main trends for operational risk management, covering topics such as self-assessment of risks and controls, key risk indicators, loss events, product risk, third-party service risk, among others.
A. Framework for Operational Risk Management • Risk Governance • Determination of the risk profile: i. Appetite and Tolerance ii. Capacity. • Prioritization for Operational Risk Management • Taxonomy for Risk Statement • Methodologies for risk identification B. Roles and Responsibilities • Board • General management • Risk Committee • Operational Risk Unit • Internal audit • Coordinators and Risk Managers • Collaborators C. Self-Assessment of Risks and Controls i. Risk Identification and Analysis ii. Risk Level Assessment iii. Identification and Analysis and Controls iv. Evaluation of Effectiveness and Efficacy of controls D. Administration of Risk Indicators i. Design and Implementation ii. Typology of KPI, KCI, KRI Indicators iii. Indicator Management E. Management of Operating Loss Events i. Harvest ii. Registry iii. Administration F. Other topics i. Evaluation of the Risk of New Products and Services ii. Evaluation of Changes in the Operating Environment, Business and Technological iii. Evaluation of Outsourced Services G. Legal Risk Management i. Identification, Analysis and Evaluation of Legal Risk ii. Legal Risk Mapping iii. Design of Action Plans iv. Indicators of Legal Risk Management v. Provisions for Legal Contingencies H. IT Risk - framework Cobit for Risk i. Identification of Technological Risk ii. Technological Risk Assessment iii Scenario Analysis iv. Technological Risk Mapping I. Advanced topics of Operational Risk Management 1 Capital requirement for Operational Risk i. Basic ii. Standard iii. Advanced Standard 2 Pricing of Operational Risk
Its objective is to provide theoretical and practical knowledge that allows specializing in topics for financial risk management, taking into account the best international practices, being directed to the Latin American market.
I.-MARKET RISK 1. KNOWING YOUR FINANCIAL ENTITY 1.1. External and Internal Information Sources 1.2. Business Dynamics (Credits) 1.3. Treasury Dynamics 1.4. Understanding the behavior of the products 2. FUNDAMENTALS OF MARKET RISK: REGULATIONS AND INTERNAL MANAGEMENT 2.1. Market Risk: Definitions and risk factors 2.2. Basel II and III 2.3. Internal Management: Information Sources 2.4. How do we manage market risks? 2.5. ALCO Committee - Risk Committee 2.6. VaR Methodology, Backtesting and Stress Testing. 3. RISK MANAGEMENT BASIS OF THE TRADING BOOK (PORTFOLIO OF NEGOTIATION) 3.1. What to include in the trading portfolio? 3.2. Information sources 3.3. Valuation of Debt Instruments 3.4. VaR (Value at Risk) and Stress Tests. 3.5. Workshop 1: Assessment and risk measurement of financial instruments. 4. BASIS FOR BANKING BOOK INTEREST RATE RISK: 4.1. Definitions 4.2. Understanding the indicators of Earnings in Risk and Equity Value in Risk 4.3. Workshop 2: Application for the new interest rate risk management II.-LIQUIDITY RISK 1. NEW REGULATORY ENVIROMENT 1. Basel Model 1.1 Qualitative Aspects 1.1.1 Internal environment 1.1.2 Contingency plan 1.2 Quantitative Aspects 1.2.1 Liquidity Indicators 1.2.2 Minimum requirements 1.3 Basel III: Understanding the Liquidity Coverage Ratio (RCL) and the NSFR. 1.3.1 Case 1 2. TOOLS FOR THE MANAGEMENT OF LIQUIDITY RISK UNDER THE NEW ENVIRONMENT. 2.1. Contractual cash flow 2.2. Incorporating customer behavior into cash flow 2.2.1 Incorporating delinquency in the loan recovery flow 2.2.2 Run-off and rolloving of term deposits 2.2.3 Duration of products of uncertain maturity 3. STRESS SCENARIOS. 3.1. History or Expert judgment 3.2. How to determine shocks in stress scenarios 3.2.1 Trading portfolio 3.2.2 Credit flow 3.2.3 Cancellations of deposits 3.3. Scenario analysis 4. CONTINGENCY PLAN 4.1. Review of available lines 4.2. Asset and liability strategies 4.3. Liquidity Contingency Plan 4.4. Market Contingency Plan
Its objective is to provide theoretical and practical information about credit risk and management for financial institutions.
I. CREDIT RISK MANAGEMENT 1. Introduction • Risk - Definitions • Types of Credit Risk 2. International regulatory framework: from Basel II to Basel III • Pillars of Regulation - Basel II • Capital requirement • Basel III: Key aspects 3. Regulatory aspects • Debtor classification • Provisions • Guarantee • Over indebtedness • Exchange Credit Risk • Capital Requirement for Credit Risk • Assets weighted by Credit Risk • Report of Capital Requirement for Credit Risk • Global loan capital ratio II. CREDIT RISK MANAGEMENT AND COLLECTIONS 1. Credit Risk Management • Types of Credit-Resolution • Debtor Classification • Administration of Guarantees 2. Credit Management Process • Admission and evaluation • Quantitative methods • Qualitative Methods • Tracking and alerts - Design of monitoring indicators - Credit Portfolio Management - Behavior alerts • Policies: Credit guidelines and regulatory aspects of management 3. Collections Management • Collection process • Effective Collection Management • Basic notions of technology and collection • Introduction to risk factors in Collection Administration
III. CREDIT SCORING DESIGN AND IMPLEMENTATION 1. Basic statistical tools for developing scores • Objective • Analysis of variances • Non-parametric analysis of variances • Test of equality of means • Principal component analysis • Linear least squares regression • Regression of non-linear models • Regression with logistic models 2. Scoring / rating models: Introduction and basic concepts • Introduction • Definition of credit score • The role of scores in credit risk management and the life cycle of a loan, the main types of scores. • Types of scores (Admission, Behavior, and Recoveries), the use of each one and conceptual differences between the different types of scores • Requirements to have a good score. • Participants in the life of a score and their role in each stage (government). • Obtaining, Storage and ordering of information. • Data treatment • Introduction to Modeling 3. Design and construction of scoring models • Identification of the user's need for the model. • Identification of the target variable, the target population, the available information, and information restrictions. • Project design, standard term structure. • Data quality controls, consistency and integrity tests. • Elaboration of the modeling base. • Sampling, types of sampling and objectives. • Segmentation, types of segmentation, criteria and methods. • Univariate analysis and detection of outliers. • Treatment of missings and outliers. • Bivariate analysis, discriminant capacity analysis, indicators. • Transformation of variables, Hatching of variables, and other methods. • Multivariate analysis, multicollinearity, grouping of variables, main components. • Model selection, choice of candidate variables • Methodological validation tests of the model. IV. Credit Scoring Administration 1. Calibration of score models • Definition of calibration. • Objectives and importance of calibration. • Types of calibration. • Selection of the calibration sample. Databases and History • Calibration methods. • Master scale, credit scorecard. • Methodological validation tests of the calibration. • Conceptual review of the other risk parameters LGD, EAD. 2. Integration to credit risk management • Definition of cut-off point. • Review of policies, guidelines and limits. • Definition of the credit offer. • Price management based on score models. 3. Model Tracking • Objectives and importance of model monitoring. • Development of a model monitoring database. • Indicators of Discrimination. • Calibration indicators. • Population Stability Indicators. • Reports