| Led by |
Mr. Jordan Hu, President & CEO, RiskVal Financial Solutions (New York)
|
| When： |
9:00-13:00, Friday, April 18, 2003 |
Where： |
Howard International House, VIP Conference Room (14F, No. 30, Sec. 3, Hsin Sheng South Road, Taipei, Taiwan) |
| Who should attend： |
Risk Managers, Financial and Risk Professionals, Portfolio Managers, Financial Planners, Regulators, Leading Professionals -Lawyers, CPAs, IT Professionals, etc. |
|
Overview of Market Risk Management (30 min)
| Objective: |
To have an overview of market risk management and the challenges of managing market risks |
◆Challenges in managing market risks
◆Definition of market risk
◆1/1/1998 G-10 countries had to maintain regulatory capital to cover market risk
◆VaR
Basel II Capital Accord - Market Risk Charge (45 min)
| Objective: |
To understand Basel II requirements for market risk management and the approaches for capital allocation |
◆Capital allocation approaches suggested by Basel II
■BInternal Model Approach
■BStandardized Approach
◆Issues and challenges in selecting these approaches
Demonstration of VaR Framework (45 min)
| Objective: |
To understand the best practice framework to VaR calculation |
◆Issues associate with VaR calculation
◆Advance Monte Carlo plus Principal Component Analysis method
■BTheory behind this approach and its benefit
Trading Related Market Risk (1 hr)
| Objective: |
To understand what affect your trading related market risk |
◆Traditional risk measures and advanced risk measures
◆Yield curve
◆P&L approximation through risk measures
Q & A (30 min)
|
