Florence School of Banking & Finance and School of Transnational Governance Joint Course
Credit and Market Risk Management: A Value-based Approach
As the banking world is shifting from an overriding concern for growth to a preoccupation with long-term value creation and risk control, the adequacy of management and governance of credit and market risks become a necessity for all bankers accountable for the results of a profit center, working in risk management, bank strategy, ALM or financial control, for bank auditors and for bank supervisors in charge of assessing the adequacy of risk management systems.
Instead of focusing solely on statistical modeling, the discussion of credit and market risk is anchored in a value-based management framework. The holistic view on risk control and governance provides a transparent integrated approach to discuss risk avoidance or risk-taking, economic capital allocation for credit and market risk, measurement of performance, credit risk pricing, expected loss provisioning, credit risk diversification, securitization and marketplace funding, and evaluation of market risk with VAR or expected shortfall metrics. This integrated approach facilitates an assessment of the adequacy of credit and market risk governance in banking.
The discussion allows to appreciate the evolution of the Basel regulations with Final Basel 3 (Basel 4) and the 2016 fundamental review of the trading book.
- Provisioning on Non-Performing Loans
- Probability of Default (PD) calibration and validation
- Loss Given Default (LGD) – What do we know about LGDs?
- Discount rate in LGDs.
- Regulatory updates regarding LGDs.
How the course will work
Total course length: between 15 and 18 hours.
A certificate of attendance will be provided to all participants after the course.
Meet the instructor
Jean Dermine is Professor of Banking and Finance at INSEAD and director of the INSEAD Strategic Management in Banking and Risk Management in Banking senior executive programs.
Author of numerous articles on Value Creation and Risk Control (ALM) and the Theory of Banking, Jean Dermine has published five books, including Bank Valuation and Value-based Management (deposit and loan pricing, performance evaluation and risk management), McGraw-Hill, NY, 2nd edition, 2015 (with translation in Chinese and Portuguese-Brazil).
He is co-author of ALCO Challenge, a computer-based training simulation used in Europe, Africa, the Americas, Asia, and Australasia. His work has been profiled in the international press, such as The Economist, Financial Times, New York Times or Wall Street Journal.
As a consultant or director of training programmes, he worked with international banks, auditing and consulting firms, Microsoft, national central banks, European Central Bank, Bank for International Settlements, HM Treasury, the OECD, the World Bank, the European Commission, and the Mentor Forum for the US Supreme Court and the European Court of Justice.
Jean Dermine is the founder of the INSEAD Centre for International Financial Services. His current research deals with long-term value creation and risk control, Fintech, asset & liability management (ALM), bank valuation, Final Basel III (Basle 4), advanced fund transfer pricing, credit risk and loan-loss provisioning, and pitfalls inherent in RAROC-type methodologies.
Jean Dermine has been Visiting Professor at the Wharton School of the University of Pennsylvania, at the Universities of Lausanne, Louvain and Luxembourg, and at CESAG in Dakar. He was a Salomon Center Visiting Fellow at New York University and a Danielsson Foundation Guest Professor of Bank Management at the Göteborg and Stockholm Schools of Economics.
Degree in Economics, understanding of statistics and econometrics.
Participant are required to bring their own laptops equipped with Microsoft Excel.
1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions*
2250€ – Private Sector
1000€ – Research assistants or Associate Professors
850€ – Students (with certificate of studies)
The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.
* In case of registration of 3 participants from the same public body, the course fee is waived for one of them. To benefit from the deal:
- the names of the 3 participants have to be communicated to email@example.com before registering
- the names of other registered people from the same institution cannot be communicated. It is upon your responsibility to get in touch with your HR division
- a single debit note will be issued for the 3 participants followed by one payment
- In case a course is cancelled, registered participants will receive the full refund.
- In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
- Registered participants who cancel their participation will receive a voucher to attend another FBF course.
For more details, please contact firstname.lastname@example.org
This course is jointly organised by the FBF and the School of Transnational Governance.
On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.
Registered participants can access the course material using the password provided by the FBF secretariat.