fsi 2006 programme - bank for international …28 feb–02 mar amf: credit risk in basel ii (abu...

2006 ProgrammeFSI Financial

StabilityInstitute

November 2005

Dear Colleague

The Financial Stability Institute’s mission is to assist financial sector supervisors in strength-ening their financial systems. It is our hope and expectation that, by fulfilling this mission, we will contribute to the Bank for International Settlements’s aim of promoting financial stability. Our goal is an ambitious one in the light of a dynamic, increasingly global financial industry and the many challenges that confront supervisors today.

One of these supervisory challenges is Basel II implementation, which draws very near. As in 2005, the FSI in 2006 will continue to play a key role in supporting Basel II implementation through our programme of events as well as through FSI Connect, our web-based information and learning resource tool for supervisors. Today, more than 115 supervisory organisations around the world subscribe to FSI Connect, reaching more than 7,000 supervisors.

Against the backdrop of supervisory challenges, it is with great pleasure that I present to you the FSI’s 2006 Programme. It details our programme of approximately 50 events for financial sector supervisors. The programme also sets out the approximately 100 tutorials available through FSI Connect, covering a wide range of topics such as capital adequacy (including Basel II), credit, market and operational risk, as well as core supervisory issues.

I invite you to explore the possibilities we offer in 2006 through our events and FSI Connect.

Centralbahnplatz 2 · CH-4002 Basel · Switzerland · Tel: +41 61 280 8080 · Fax: +41 61 280 9100 · [email protected] 1/1

Yours sincerely

Josef Tošovský Chairman

5

FSI Financial Stability Institute

Contents

The Financial Stability Institute. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

Overview of 2006 Programme of Events for Financial Sector Supervisors . . . . . . . . 8

Overview of FSI Connect Online Tutorials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

Conferences and High-Level Meetings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

Seminars in Switzerland for Banking Supervisors . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

Regional Seminars for Banking Supervisors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

Seminars for Insurance Supervisors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

Seminars on Securities Regulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

Cross-Sectoral Seminars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

Other Seminars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

FSI Connect . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

Meet the People at the FSI. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

6


Identifying Issues

Helping to UnderstandThe Core Principles

Basel II: Revised International Capital Framework

Corporate GovernanceRisk Management

Accounting and AuditingOther Important Supervisory Topics

Facilitating Discussion and Sharing ExperiencesConferencesHigh-Level MeetingsSeminarsFSI Connect

Assisting Supervisors Globally

7


The Bank for International Settlements and the Basel Committee on Banking Supervision jointly cre-ated the Financial Stability Institute (FSI) in 1999 to assist supervisors around the world in improving and strengthening their financial systems.

Objectives of the FSI

• To disseminate sound supervisory standards and practices globally and to assist supervisors in implementing these standards and practices.

• To keep supervisors updated with the latest infor-mation on market products, practices and tech-niques.

• To provide a venue for policy discussion and shar-ing of supervisory practices and experiences.

• To promote cross-sectoral and cross-border supervisory contacts and cooperation.

In 2005 we held 51 events with more than 1,700 participants. These events benefited from the exper-tise of more than 270 speakers from both the pub-lic and private sectors. In 2006 we will continue to offer a wide range of products to assist the supervi-sory community.

The FSI’s Main Activities and Products

• Conferences, high level meetings and seminars in Switzerland and globally

• FSI Connect (a web-based information and learn-ing resource)

• FSI World (quarterly newsletter)• FSI Occasional Papers• FSI Award

General Information on FSI Events

Participation: Participation in FSI events is usually open to senior supervisors and technical experts. Any exceptions are noted under the event descrip-tion. Regional seminars are limited to senior super-visors from the member countries of the designated regional supervisors group.

Costs: The FSI does not charge any fees for partici-pation in our events. Participants are responsible

for their own travel and lodging expenses, and insurance.

Changes: Additional events may be added during the year; for the most up-to-date information consult the FSI website (go to www.bis.org and click on the Financial Stability Institute).

Registration: Approximately eight weeks prior to an event being held in Switzerland, the head of supervi-sion at each central bank or supervisory agency will receive a letter of invitation to nominate a member of staff to participate in the event. This will include a draft agenda and a registration form for the event. The registration form con-tains details regarding hotel accommodation and instructions for returning the form to the FSI.

Applications for registration are accepted only during the registration period (ie no “pre-regis-trations”) and are dealt with on a “first come, first served” basis.

Registration for regional seminars is handled

directly by either the secretariat of the regional supervisors group or the hosting central bank/supervisory agency.

Locations: Events in Switzerland are typically held in either Basel, Lucerne or Beatenberg (near Interlaken). Locations are noted in the descrip-tions. Regional seminars are held at locations around the world, determined in conjunction with the designated regional supervisors group.

The Financial Stability Institute

8


Overview – 2006 Programme for Financial Sector Supervisors

DATE EVENT (venue) Pg

Conferences and High-Level Meetingstbd High-Level Meetings on the Practical Application of Basel II (tbd) 12

27–28 Mar High-Level Meeting on the Practical Application of Basel II (Abu Dhabi) 12

25–26 Apr High-Level Meeting on the Practical Application of Basel II (Miami) 12

19–20 Sep 2nd Biennial Conference on Risk Management (Basel) 12

11–12 Oct Conference on Promoting Inclusive Financial Systems jointly with the World Bank (Basel) 13

Seminars in Switzerland for Banking Supervisors17–19 Jan Liquidity and Market Risk (Basel) 14

28 Feb–02 Mar International Accounting and Auditing for Banks (Basel) 14

16–18 May Problem Bank Resolution jointly with the Toronto Centre (Basel) 15

29 May–02 Jun Advanced Risk Management (Beatenberg) 16

12–16 Jun Fundamentals of Risk Management (Hergiswil) 15

22–29 Sep 23rd International Banking Supervision Seminar (Beatenberg) 16

24–26 Oct Practical Techniques for the Management and Measurement of Operational Risk (Basel) 17

21–23 Nov Using the Core Principles as a Road Map to Basel II Implementation (Basel) 17

28–30 Nov Pillar 2 and its Implementation (Basel) 18

Regional Seminars for Banking Supervisors06–08 Feb FSVC: Risk Management and Governance in a Basel II Context (Cairo) 19

21–23 Feb ASBA: Validating an Internal Ratings-Based Approach (Lima) 19

28 Feb–02 Mar AMF: Credit Risk in Basel II (Abu Dhabi) 20

07–09 Mar SEACEN: Pillar 2 and its Implementation (Bangkok) 20

08–10 Mar French-Speaking Banking Supervisors Group: Pillar 2 and its Implementation (Paris) 21

09–11 Apr GCC: Validating an Internal Ratings-Based Approach (Riyadh) 22

18–20 Apr CEBS: Securitisation (Basel)

17–18 May EMEAP: Validating an Internal Ratings-Based Approach (Tokyo) 22

23–25 May African Banking Supervisors: Basel II and its Implementation (Pretoria) 23

10–14 Jul JVI: Capital and Basel II (Vienna) 23

11–13 Jul ASBA: Operational Risk in Basel II (Mexico City) 24

24–26 Jul SEACEN: Basel II: Pillar 3 (Kota Kinabalu) 24

9


DATE EVENT (venue) Pg

04–06 Sep BSCEE: Basel II and its Implementation (Warsaw) 25

07–09 Nov BSWCA: Fundamentals of Risk Management with Special Focus on Risk-Based Supervision (Dakar) 25

14–16 Nov SEANZA: Credit Risk in Basel II (Manila) 26

28–30 Nov CBSG: Stress Testing (tbd, Caribbean) 26

05–07 Dec CEMLA: Validating an Internal Ratings-Based Approach (Mexico City) 27

Seminars for Insurance Supervisors27–29 Mar Regional Seminar on Reporting, Review and Redress (Manama) 28

24–28 Apr Advanced Risk Management Practices in the Insurance Industry (Hergiswil) 28

18–19 May Senior Round Table on Risk-Based Capital of Internationally Active Insurance Groups (Basel)

03–07 Jul JVI: Selected Insurance Core Principles (Vienna) 29

07–11 Aug 2nd International Insurance Supervision Seminar (Beatenberg) 29

05–07 Sep Reinsurance (Basel) 30

18–21 Sep Regional Seminar on Prudential Supervision and Market Conduct (Almaty) 30

09–13 Oct Risk Management Practices in the Insurance Industry (Beatenberg) 31

13–16 Nov Regional Seminar on Capital Adequacy and Risk Assessment (Johannesburg) 31

04–06 Dec Regional Seminar on Group-wide Supervision, Cross-border Challenges and Market Conduct (Mumbai) 32

Seminars on Securities Regulation

14–15 Nov The Application of Basel II to Trading Activities and the Treatment of Double Default Effects (Basel) 33

Cross-Sectoral Seminars17–19 Oct Asset-Liability Management for Insurance Companies and Banks (Basel) 34

Other Seminars

10–14 Jul Fundamentals of Reserve Management jointly with the BIS Banking Department (Lucerne) 35

07–11 Aug Advanced Risk Management for Reserve Managers jointly with the BIS Banking and Risk Control Departments (Lucerne) 35

28 Aug–01 Sep Advanced Risk Management for Reserve Managers jointly with the BIS Banking and Risk Control Departments (Beatenberg) 35

Note: For latest information including any updates to the programme, please refer to: www.bis.org/fsi/activities.htm

AMF: Arab Monetary FundASBA: Association of Supervisors of Banks of the AmericasBSCEE: Group of Banking Supervisors from Central and Eastern EuropeBSWCA: Committee of Bank Supervisors of West & Central AfricaCBSG: Caribbean Banking Supervisory GroupCEMLA: Centre for Latin American Monetary StudiesEMEAP: Executives’ Meeting of East Asia-Pacific Working Group on Banking Supervision

FSVC: Financial Services Volunteer CorpsGCC: Gulf Cooperation Council Committee of Banking SupervisorsIOSCO: International Organization of Securities CommissionsJVI: Joint Vienna InstituteSEACEN: South East Asian Central BanksSEANZA: Central Banks of South East Asia, New Zealand and Australia Forum of Banking SupervisorsTCARG: Transcaucasia and Central Asia Regional Group

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Overview of FSI Connect Online Tutor ialsFor more information, please refer to pages 36-37 or visit our website (www.fsiconnect.org).

Capital and Basel II

Fund

amen

tal

Bank CapitalBasel IBasel I – Case StudyBasel II – An OverviewBasel II – Scope of Application Basel II – Pillar 2 – Supervisory Review ProcessBasel II – Pillar 3 – Market Discipline – Part 1Basel II – Pillar 3 – Market Discipline – Part 2Basel II – Operational Risk – BIA & SA*Regulation of Market Risk – An Introduction*

Inte

rmed

iate

Basel II – An Introduction to Cross-Border Implementation

Basel II – Practical ConsiderationsCredit Risk Components*External Credit Risk Assessments*Basel II – SA – External Credit Risk AssessmentsBasel II – SA – Risk Weight FrameworkBasel II – Simplified Standardized ApproachBasel II – Overview of Credit Risk MitigationBasel II – IRB – An IntroductionBasel II – Interest Rate Risk in the Banking Book Basel II – Credit Risk Mitigation – Guarantees and

Credit DerivativesBasel II – Credit Risk Mitigation – Collateral and

NettingBasel II – Introduction to Supervisory Validation Regulation of Market Risk – Standardized

Approach*

Adv

ance

d

Basel II – Stress Testing Basel II – IRB – Overview of Minimum

RequirementsBasel II – IRB for Corporates, Banks & SovereignsBasel II – IRB for Retail Basel II – IRB for Specialized Lending Basel II – IRB for Equity Exposures Basel II – IRB for Purchased Receivables Basel II – IRB – Underlying Math and Theory Basel II – Securitization – Operational

Requirements Basel II – Securitization Framework Basel II – Securitization – Special Features Economic Capital & RAROC – An IntroductionEconomic Capital & RAROC – Approaches and

AllocationBasel II – Operational Risk – AMA*Banks’ Internal Rating Systems Regulation of Market Risk – Internal Models

Approach*

Credit Risk

Fund

amen

tal

Credit Risk in the Loan Portfolio – An IntroductionThe Credit Risk EnvironmentCredit Granting & AdministrationCredit AnalysisAccounts Receivable & Inventory FinancingCountry RiskClaims on Sovereigns & Government EntitiesClaims on Banks & Securities FirmsCommercial LoansAgricultural LoansRetail CreditReal Estate LoansTrade FinanceLoan GradingSupervisory Credit ClassificationLoan Loss Provisioning – An IntroductionManaging Problem Loans

Inte

rmed

iate

Credit Risk ComponentsExternal Credit Risk AssessmentsCredit Derivatives – An IntroductionCredit Derivatives – TypesCredit Derivatives – Uses & ApplicationsCredit Derivatives – Pricing MethodsSecuritization – FundamentalsSecuritization – Asset-Backed SecuritiesSecuritization – Mortgage-Backed SecuritiesLoan Loss Provisioning – MethodologyLoan Loss Provisioning – Types

Adv

ance

d Credit Risk Modeling – An IntroductionCredit Risk Modeling – CreditMetricsCredit Risk Modeling – CreditRisk+Credit Risk Modeling – KMV & Comparison of

Models

11


Market Risk

Fund

amen

tal

Equities – An IntroductionBonds – An IntroductionBond Price and Yield to MaturityCommodities – An IntroductionInterest Calculations & CompoundingPresent Value, Future Value & Discount FactorNPV, IRR & Reinvestment RiskDuration & ConvexityMath – Differentiation & IntegrationForwards – An IntroductionFutures – An IntroductionOptions – An IntroductionSwaps – An IntroductionVAR – An IntroductionRegulation of Market Risk – An Introduction

Inte

rmed

iate

VolatilityProbability & Expected Return Distributions & Confidence LevelsBond Strategies – Fundamentals Forwards – Pricing & Contract ValuationFutures – HedgingFutures – Examples of HedgesFutures – TradingFutures – ArbitrageOptions – Pricing ModelsOptions – The Binomial Option Pricing ModelOptions – Introduction to Option ValuationSwaps – Interest Rate Swap PricingSwaps – Interest Rate Swap ValuationSwaps – Currency Swap Pricing & ValuationRegulation of Market Risk – Standardized

Approach

Adv

ance

d

Options – Trading Strategies Options – Exotic OptionsVAR – Variance-Covariance ApproachVAR – Monte Carlo SimulationVAR – Historical Simulation & Other IssuesRegulation of Market Risk – Internal Models

Approach

denotes tutorials that will be available in 2006.* denotes tutorials that are also included in the Credit Risk, Market Risk and Operational Risk modules.

Operational Risk

Fund

amen

tal Operational Risk – An Introduction

Operational Risk Management – Sound PracticesOperational Risk – Case StudyBasel II – Operational Risk – BIA & SA

Adv

ance

d Basel II – Operational Risk – AMA

Other TopicsAnti-Money Laundering Bank Accounting – An Introduction Bank Licensing Banks and Bank RisksCore Principles for Effective Banking SupervisionCore Principles – Assessment Process Corporate Governance E-Banking Information Technology in Banking Internal Audit Problem Banks – An IntroductionProblem Banks – Identification – Risk Assessment

SystemsProblem Banks – Supervisory Response Problem Banks – Resolution Problem Banks – Case Study Stress Testing – An Introduction Supervision of Financial Groups

Upcoming TutorialsAsset Liability ManagementCapital AllocationContagion RiskFinancial MathematicsForeign Bank SupervisionIslamic BankingLiquidity RiskMacroeconomic IssuesManaging and Supervising Regulatory Capital

RatiosOff-site SupervisionOn-site SupervisionOutsourcingSupervisory Approaches

Con

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and

Hig

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High-Level Meetings on the Practical Application of Basel II or Other Important IssuesDates and venues of the meetings to be decided in close cooperation with the regions

The FSI will continue to conduct high-level meetings on Basel II or other important issues for heads of banking supervision and senior supervisors. Issues that might be discussed include: the impact of Basel II on financial systems, assessing bank practices and their state of readi-ness, home-host issues. The objectives of these meetings are to exchange experiences, share knowledge and promote a level playing field.

Note: By invitation only.

2nd Biennial Conference on Risk Management19–20 September 2006, Basel, Switzerland

Main topics covered:

Latest developments in market, credit, operational and liquidity risk Update on supervisory issues Characteristics of emerging markets Importance of corporate governance Integrated risk management

Note: Open to banking and insurance supervisors and securities regulators.

13


Con

fere

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and

Hig

h-Le

vel M

eetin

gsConference on Promoting Inclusive Financial SystemsJointly with the World Bank11–12 October 2006, Basel, Switzerland


The importance of financial depth and financial access for economic growth and stability Features of regulations and supervisory policies that can impede access and possible

solutions to such impediments Objectives and methods of regulation and supervision of deposit-takers versus non-

deposit-takers Supervisory approaches to overseeing microfinance activities Important lessons from past successes and failures

14


Sem

inar

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Sw

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for B

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uper

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rs Seminar on Liquidity and Market Risk17–19 January 2006, Basel, Switzerland

Maximum number of participants: 45


Techniques and strategies for managing liquidity risk Liquidity risk and asset-liability management Regulatory requirements for the management of liquidity risk Latest developments in market risk models and regulation Market risk management in volatile markets

Note: Two weeks prior to the event, participants will be given limited access to FSI Connect.

Seminar on International Accounting and Auditing for Banks28 February–2 March 2006, Basel, Switzerland



Overview of international accounting standards and the standard setting process International Accounting Standard (IAS) 39: with in-depth discussions on derecognition

and securitisation, derivatives and hedging activities, and loan accounting and provisioning

IFRS 3: business combinations and consolidated financial statements Internal control framework and the role of bank audits International auditing standards and the process of external audit IFRS 7 and Pillar 3 of Basel II: bank disclosures

Note: This seminar is intended for senior banking supervisors who are not necessarily account-ing experts but are required to use bank financial information to perform supervisory functions.

15


Sem

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rsSeminar on Problem Bank ResolutionJointly with the Toronto International Leadership Centre for Financial Sector Supervision16–18 May 2006, Basel, Switzerland



Contingency planning and policy coordination Identifying bank weaknesses and early warning systems Supervisory responses to problem banks Problem bank resolution strategies Role of deposit protection schemes and other safety nets Case studies on handling problem banks and managing a banking crisis


Seminar on Fundamentals of Risk Management12–16 June 2006, Hergiswil, Switzerland



Introduction to risk management concepts and risk-based supervision Credit risk modelling and management Liquidity and market risk modelling Operational risk Corporate governance

Note: Knowledge of basic financial mathematics would be beneficial. A laptop will be required for participants in order to participate in a computer exercise. Two weeks prior to the event, participants will be given limited access to FSI Connect.

16


Sem

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rs Seminar on Advanced Risk Management28 August–1 September 29 May–2 June 2006, Beatenberg, Switzerland



Market risk management in volatile markets Market risk modelling Credit risk ratings and management of exposures Credit risk modelling Operational risk modelling Practical implementation issues

Note: Participants will use Microsoft Excel spreadsheet exercises to understand and discuss various models. A laptop will be required for participants in order to participate in a computer exercise. Two weeks prior to the event, participants will be given limited access to FSI Connect.

23rd International Banking Supervision Seminar22–29 September 2006, Beatenberg, Switzerland



Core Principles for Effective Banking Supervision Corporate governance and licensing of banks Supervisory approaches and consolidated supervision Basel II: implementation challenges Market discipline and enhancing bank transparency Credit, market, liquidity and operational risk management Problem bank resolution

Note: By invitation only.

17


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rsSeminar on Practical Techniques for the Management and Measurement of Operational Risk24–26 October 2006, Basel, Switzerland



Strategies for managing operational risk in banking institutions Collecting, mapping and quantifying loss data Techniques for measuring operational risk Current developments in capital allocation for operational risk in Basel II Supervising banks’ operational risk management practices


Seminar on Using the Core Principles as a Road Map to Basel II Implementation 21–23 November 2006, Basel, Switzerland



Background and objectives of the Core Principles for Effective Banking Supervision Recent revisions to the Core Principles Assessment of compliance with the Core Principles Issues related to how and when to implement Basel II Assessment of national supervisory priorities

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Sem

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rs Seminar on Pillar 2 and its Implementation28–30 November 2006, Basel, Switzerland



Banks’ internal capital adequacy assessment processes (ICAAP) Supervisory review of banks’ ICAAP Supervisory infrastructure: interface between on-site and off-site surveillance, human

resource policies and role of IT Risk-based supervision framework and processes, with a special focus on risk classes:

credit, operational, market and liquidity risks Home-host issues: supervisory cooperation in conducting on-site examinations for interna-

tionally active banks


19


Reg

iona

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inar

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king

Sup

ervi

sorsSeminar on Risk Management and Governance in

a Basel II ContextJointly with the Financial Services Volunteer Corps6–8 February 2006, Cairo, Egypt



Basel II - risk and control environment Risk management control framework in banks Sound corporate governance principles Supervisory techniques to evaluate governance and risk management control frameworks

at banks Case studies


Regional Seminar on Validating an Internal Ratings-Based ApproachJointly with the Association of Supervisors of Banks of the Americas (ASBA)21–23 February 2006, Lima, Peru



Quantitative and qualitative requirements of IRB Validation of PD, EAD and LGD Back-testing and benchmarking Overall process (governance, exception handling, etc) Review process and documentation From the internal ratings-based approaches to credit risk models

Note: Participants will use Microsoft Excel spreadsheet exercises to understand and discuss various cases. A laptop will be required for participants in order to participate in a computer exercise. Two weeks prior to the event, participants will be given limited access to FSI Connect.

20


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Sup

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sors Regional Seminar on Credit Risk in Basel II

Jointly with the Arab Monetary Fund (AMF)28 February–2 March 2006, Abu Dhabi, United Arab Emirates


Sound principles for credit risk management Overview of credit risk measurement and credit risk modelling Overview of credit risk transfer and asset securitisation: product descriptions and structure Basel II: standardised approach to measuring regulatory capital requirements for credit

risk Basel II: IRB approaches to calculating regulatory capital requirements for credit risk Credit risk mitigation in Basel II


Regional Seminar on Pillar 2 and its ImplementationJointly with the South East Asian Central Banks (SEACEN)7–9 March 2006, Bangkok, Thailand


Banks’ internal capital adequacy assessment processes (ICAAP) Supervisory review of banks’ ICAAP Supervisory infrastructure: interface between on-site and off-site surveillance, human

resource policies and role of IT Risk-based supervision framework and processes, with a special focus on risk classes:

credit, operational, market and liquidity Home-host issues: supervisory cooperation in conducting on-site examinations for interna-

tionally active banks


21


Reg

iona

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Sup

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sorsSéminaire régional sur l’application du

Pilier 2 (Regional Seminar on Pillar 2 and its Implementation)Organisé conjointement avec le Groupe des superviseurs francophones (Jointly with the Group of French-Speaking Supervisors)8–10 mars 2006, Paris, France (8–10 March 2006, Paris, France)

Principaux sujets traités: (Main topics covered:)

Processus internes d’évaluation de l’adéquation des fonds propres des banques (Banks’ internal capital adequacy assessment processes (ICAAP))

Vérification prudentielle des processus internes d’évaluation de l’adéquation des fonds propres des banques (Supervisory review of banks’ ICAAP)

Infrastructures prudentielles: interaction entre contrôles sur pièces et sur place, politique en matière de ressources humaines et rôle des technologies de l’information (Supervisory infrastructure: interface between on-site and off-site surveillance, human resource policies and role of IT)

Structure et processus de la supervision fondée sur les risques, avec un accent particulier sur les diverses classes de risques: crédit, opérationnel, marché et liquidité (Risk-based supervision framework and processes, with a special focus on risk classes: credit, opera-tional, market and liquidity)

Coopération prudentielle entre pays d’accueil et pays d’origine : conduite des contrôles sur place pour les grandes banques internationales (Home-host issues: supervisory cooperation in conducting on-site examinations for internationally active banks)

Note: Ce séminaire se déroulera en français. Deux semaines avant l’événement, les partici-pants recevront un accès limité à FSI Connect. (This seminar will be conducted in French. Two weeks prior to the event, participants will be given limited access to FSI Connect)

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sors Regional Seminar on Validating an Internal

Ratings-Based ApproachJointly with the Gulf Cooperation Council Committee of Banking Supervisors (GCC)9–11 April 2006, Riyadh, Saudi Arabia




Regional Seminar on Validating an Internal Ratings-Based ApproachJointly with the Executives’ Meeting of East Asia-Pacific Working Group on Banking Supervision (EMEAP)17–18 May 2006, Tokyo, Japan





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Reg

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Sup

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sorsRegional Seminar on Basel II and its

ImplementationFor African Banking Supervisors23–25 May 2006, Pretoria, South Africa


Assessing existing frameworks and national supervisory priorities Practical implications: scope of application, Pillars 1, 2 and 3 Supervisory resources and training needs Implementing Basel II: working with the industry - practical steps

Note: This seminar is limited to supervisors from Southern and Eastern Africa. Two weeks prior to the event, participants will be given limited access to FSI Connect.

Regional Seminar on Capital and Basel IIJointly with the Joint Vienna Institute (JVI)10–14 July 2006, Vienna, Austria


Definition and purpose of capital Overview of Basel I Overview of Basel II Issues to consider when selecting a capital regime

Note: This seminar is limited to supervisors from Central Asia and Transcaucasia. Two weeks prior to the event, participants will be given limited access to FSI Connect.

24


Reg

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Sup

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sors Regional Seminar on Operational Risk in Basel II

Jointly with the Association of Supervisors of Banks of the Americas (ASBA)11–13 July 2006, Mexico City, Mexico


Strategies for managing operational risk in banking institutions Collecting, mapping and quantifying loss data Techniques for measuring operational risk Current developments in capital allocation for operational risk in Basel II Supervising banks’ operational risk management practices


Regional Seminar on Basel II: Pillar 3Jointly with the South East Asian Central Banks (SEACEN)24–26 July 2006, Kota Kinabalu, Malaysia


Disclosure requirements and guiding principles Materiality, frequency, proprietary nature and confidentiality of disclosure Scope of application Risk exposure and assessments


25


Reg

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Sup

ervi

sorsRegional Seminar on Basel II and its

ImplementationJointly with the Group of Banking Supervisors from Central and Eastern Europe (BSCEE)4–6 September 2006, Warsaw, Poland


Assessing existing frameworks and national supervisory priorities Practical implications: scope of application, Pillars 1, 2 and 3 Supervisory resources and training needs Implementing Basel II: working with the industry - practical steps


Regional Seminar on Fundamentals of Risk Management with Special Focus on Risk-Based SupervisionJointly with the Committee of Bank Supervisors of West & Central Africa (BSWCA)7–9 November 2006, Dakar, Senegal


Introduction to risk management concepts and risk-based supervision Credit risk modelling and management Liquidity and market risk modelling Operational risk Corporate governance

Note: Simultaneous interpreting from English into French will be provided. Two weeks prior to the event, participants will be given limited access to FSI Connect.

26


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sors Regional Seminar on Credit Risk in Basel II

Jointly with the Central Banks of South East Asia, New Zealand and Australia Forum of Banking Supervisors (SEANZA)14–16 November 2006, Manila, Philippines


Sound principles for credit risk management Overview of credit risk measurement and credit risk modelling Overview of credit risk transfer and asset securitisation: product descriptions and structure Basel II: standardised approach to measuring regulatory capital requirements for credit

risk Basel II: IRB approaches to calculating regulatory capital requirements for credit risk Credit risk mitigation in Basel II


Regional Seminar on Stress TestingJointly with the Caribbean Banking Supervisory Group (CBSG) and open to the Offshore Group of Banking Supervisors28–30 November 2006, tbd, Caribbean


Overview of interest rate risk Interest rate risk under Basel II Regulatory aspects Measurement of interest rate risk Sound principles for the management of interest rate risk


27


Reg

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Sup

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sorsRegional Seminar on Validating an Internal

Ratings-Based ApproachJointly with the Centre for Latin American Monetary Studies (CEMLA)5–7 December 2006, Mexico City, Mexico





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rs Regional Seminar on Reporting, Review and RedressJointly with the International Association of Insurance Supervisors (IAIS)For Supervisors from the Middle East and North Africa27–29 March 2006, Manama, Bahrain


Risk assessment and management Reporting to supervisors and off-site monitoring On-site supervision Interventions, enforcements and sanctions Winding-up and exit from the market

Seminar on Advanced Risk Management Practices in the Insurance Industry24–28 April 2006, Hergiswil, Switzerland



Value-at-risk methodologies Insurance and market risk modelling Aggregating risks with copulas Modelling of risks related to extreme events Assessment of credit and operational risk Risk-based supervision

Note: Participants will use Microsoft Excel spreadsheet exercises to understand and discuss various models. A laptop will be required for participants in order to participate in a computer exercise.

29


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rsRegional Seminar on Selected Insurance Core PrinciplesJointly with the Joint Vienna Institute (JVI)For Supervisors from Central and Eastern Europe3–7 July 2006, Vienna, Austria


Supervisory objectives and processes Capital adequacy and solvency Licensing and suitability of persons Risk assessment and management Off-site monitoring and on-site supervision Preventive and corrective measures, and sanctions

2nd International Insurance Supervision Seminar7–11 August 2006, Beatenberg, Switzerland



Licensing and supervision on an ongoing basis Fit and proper requirements and corporate governance Capital adequacy and risk-based supervision Risk management Reinsurance and risk mitigation Dealing with troubled insurance companies Enforcements, sanctions and winding-up

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Sem

inar

s fo

r Ins

uran

ce S

uper

viso

rs Seminar on Reinsurance5–7 September 2006, Basel, Switzerland



Supervision of reinsurance cover and reinsurance companies Forms and types of reinsurance contracts in relation to solvency Legal issues governing the operations of reinsurance companies Integrated risk management and internal models Finite reinsurance and other alternative risk transfers Disclosure and transparency

Regional Seminar on Prudential Supervision and Market ConductJointly with the International Association of Insurance Supervisors (IAIS)For Supervisors from Central Asia and Transcaucasia18–21 September 2006, Almaty, Kazakhstan


Capital adequacy and solvency Risk based-supervision Corporate governance and internal control Change in control and supervisory due diligence Market conduct and consumer protection

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Sem

inar

s fo

r Ins

uran

ce S

uper

viso

rsSeminar on Risk Management Practices in the Insurance Industry9–13 October 2006, Beatenberg, Switzerland



Introduction to value-at-risk Insurance and market risk modelling Insurance risk integration methodologies Risk-adjusted capital frameworks Internal framework for capital adequacy Modelling of risks related to extreme events

Note: Participants will use Microsoft Excel spreadsheet exercises to understand and discuss various models. A laptop will be required for participants in order to participate in a computer exercise.

Regional Seminar on Capital Adequacy and Risk AssessmentJointly with the International Association of Insurance Supervisors (IAIS)For Supervisors from Africa13–16 November 2006, Johannesburg, South Africa


Quantitative and qualitative assessment of risk Risk management policies and risk control systems Corporate governance and internal control Off-site monitoring and on-site

supervision

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Sem

inar

s fo

r Ins

uran

ce S

uper

viso

rs Regional Seminar on Group-Wide Supervision, Cross-Border Challenges and Market ConductJointly with the International Association of Insurance Supervisors (IAIS)For Supervisors from Asia4–6 December 2006, Mumbai, India


Group-wide and cross-border supervision Corporate governance Intermediaries and market conduct Insurance and insurer fraud Anti-money laundering

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Sem

inar

s on

Sec

uriti

es R

egul

atio

nSeminar on the Application of Basel II to Trading Activities and the Treatment of Double Default EffectsJointly with the International Organization of Securities Commissions (IOSCO)14–15 November 2006, Basel, Switzerland



Results of the survey of banks' and investment banks' trading books Update on the new work on counterparty credit risk and trading book-related issues Treatment of double default effects Improvements to the trading book regime

Cro

ss-S

ecto

ral S

emin

ars

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Seminar on Asset-Liability Management for Insurance Companies and Banks17–19 October 2006, Basel, Switzerland



Objectives and role of asset-liability management (ALM) Accounting practices and their relevance to ALM Balance sheet analysis Strategic and tactical asset allocation and liability management Regulatory and supervisory approaches to ALM

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Oth

er S

emin

arsSeminar on the Fundamentals of Reserve

ManagementJointly with the BIS Banking Department10–14 July 2006, Lucerne, Switzerland



Techniques for portfolio performance measurement Customising benchmarks Portfolio management strategies Selecting an external funds manager

Note: This seminar is intended for central bank portfolio managers.

Seminar on Advanced Risk Management for Reserve ManagersJointly with the BIS Banking and Risk Control Departments7–11 August 2006, Lucerne, Switzerland



Managing risks in various asset classes Portfolio optimisation techniques Evolving techniques in risk management BIS risk management control framework

Note: This seminar is intended for central bank portfolio managers with a sound knowledge of risk management.

36

FSI FinancialStabilityInstitute

FSI ConnectFSI Connect is a web-based information resource and learning tool for bank supervisors worldwide. FSI Connect, which is available by subscription, offers a comprehensive set of online tutorials directly related to banking and bank supervision, refl ecting the most up-to-date information. More than 115 insti-tutions worldwide subscribe to FSI Connect and over 7,000 supervisors are making regular use of it.

Extensive coverage FSI Connect currently offers more than 95 tutorials (totalling approximately 110 hours of content) cover-ing capital adequacy (including Basel I and II) as well as important risk management topics, such as credit risk, market risk and operational risk. In addition, FSI Connect includes tutorials on topics such as fi nancial instruments, banking practices and banking supervi-sion. The tutorials have a duration ranging from 30 minutes to 2 hours and cover fundamental, interme-diate and advanced levels.

Dynamic content In developing FSI Connect tutorials, the FSI seeks to provide the most up-to-date information that super-visors need to perform their jobs. Newly developed tutorials are added on a continuous basis and the content of existing tutorials is reviewed periodically to ensure it remains accurate and current.

Interactive methodology FSI Connect employs a four-phase integrated learn-ing methodology called OCCE – Orientate, Commu-nicate, Connect and Evaluate. The tutorials use a mix of text, graphics and interactive elements (such

as quizzes, exercises, and simulations) to motivate the learners and to promote a high level of knowl-edge retention. FSI Connect also makes ample use of case studies and real life examples. This practi-cal guidance is an effective tool in bridging the gap between theory and practice and helps learners apply their knowledge.

Integrated learning FSI Connect can and should be integrated with other forms of learning such as seminars, workshops or conferences attended by supervisors. Since FSI Connect is available anywhere, it can also support on-the-job training initiatives. The FSI is increasingly integrating FSI Connect tutorials with its seminars by offering participants access to specifi c tutorials prior to the event. This allows participants the opportu-nity to prepare for the seminar and helps ensure all participants have a suffi cient understanding of the basic concepts.

An important reference and resource tool

FSI Connect provides important support helping supervisors in their day-to-day work. Many supervi-sors use FSI Connect as a valuable reference tool. By accessing FSI Connect’s glossary or by brows-ing the extensive list of available FSI Connect tutori-als and using the index tool included in each tutorial, users can quickly and easily access information on a wide range of topics and terms. Since FSI Connect is accessible through the internet, the relevant infor-mation is never far away!

37


For further information, please contact us at the following e-mail address:

[email protected].

Please visit our website: www.fsiconnect.org.

Flexible learning

FSI Connect can be used by supervisors at all lev-els. Those new to the job who need to quickly gain a broad knowledge of supervisory topics might study several tutorials using our recommended learning progression. FSI Connect is also suffi ciently fl exible that more experienced supervisors who would like to refresh or expand their knowledge of specifi c top-ics can review the relevant tutorials without having to review the recommended prerequisites.

Cost effectivenessMany supervisory authorities and central banks are currently evaluating their staff development require-ments to achieve full implementation of Basel II. FSI Connect tutorials offer a ready-made solution that many organisations around the world have already easily integrated into their existing training pro-gramme.

FSI Connect fees are quite moderate and repre-sent just a fraction of the cost of similar products. FSI Connect is accessible any time and everywhere

and can therefore reduce costs related to attending seminars and conferences.

FSI Connect requires very little in terms of adminis-tration from subscribing institutions. Yet at the same time it offers strong administrative capabilities that allow line managers or staff training professionals to monitor and track staff usage and progress.

TranslationA signifi cant portion of FSI Connect’s content (Capital and Basel II) will be translated into French and Spanish. The fi rst translated tutorials should become available in the fi rst half of 2006.

FSI Connect subscriptionFSI Connect is available by subscription to all cen-tral banks and supervisory authorities. A discount is available depending on the number of subscriptions an agency purchases and whether it purchases a one-year or two-year subscription.

38


Elizabeth Roberts, DirectorFormer positions include: Manager, Examination Policy and Procedures Section in the Division of Banking Supervision and Regulation at the Federal Reserve Board; Member of the Basel Committee Secretariat, in which capacity she was a primary author of the “Core Principles for Effective Banking Supervi-sion” and the “Core Principles Methodology”; Manager, International Policy Section in the Federal Reserve’s Division of Banking Supervision and Regula-tion, in which capacity she participated in the development of the Federal Reserve’s programme for supervising the US operations of foreign banks. Represents the FSI in the Basel Committee’s Core Principles Liaison Group.

Meet the People at the FSI

Roland Raskopf, Senior Financial Sector SpecialistFormer positions include: Bundesbank Director, Head of Market Risk Models Examination and Validation and Senior Field Examiner in the Banking Supervi-sion Department at Deutsche Bundesbank; Treasury Offi cer, Risk Manage-ment at EBRD, London; Economist, Deutsche Bundesbank (Preparation of G10 Governors meetings). Former member of the Basel Committee’s Models Task Force (involved in the development of the Market Risk Amendment and in the study on internal credit rating systems). Represents the FSI in the Basel Committee’s Accord Implementation Group and IRB Validation Sub-group.

Juan Carlos Crisanto, Senior Financial Sector SpecialistFormer positions include: Head of the Regulation Department at the Peruvian Financial Authority, where he headed a multidisciplinary team of professionals designing and implementing norms for the banking, insurance and pension fund industries. Member of the Board, Peruvian Investment Commission. Lecturer on banking-related topics at Católica and Pacífi co Universities. Researcher on banking regulation and central banking with the Centre of European Law, UK. Represents the FSI in the Basel Committee’s Risk Man-agement & Modelling Group and the AIG’s Operational Risk Sub-group.

Jason George, Senior Financial Sector Specialist (Asian Offi ce)Former positions include: IMF Advisor to the Bank of Thailand, during which time he assisted in the strengthening of its bank supervision function; USAID Advisor to the Croatian National Bank, focusing on strengthening supervi-sion in general with an emphasis on the development of an off-site function; Review Examiner and Capital Markets Specialist, Federal Deposit Insurance Corporation, overseeing all supervisory activities for a portfolio of fi nancial institutions in the western United States. In addition, participated in the resolu-tion of several of the largest bank failures in US history. Represents the FSI in the Basel Committee’s Accounting Task Force.

Josef Tošovský, ChairmanFormer positions include: Governor of the Czech National Bank; Prime Minister of the Czech Republic; Deputy Director of the London branch offi ce of Zivnostenská banka; Advisor to the President of the State Bank of Czecho-slovakia; Associate professor, University of Economics, Prague; Honorary doctorate, Mendelova Universita Brno, 2002. Awards include: Central Banker of the Year (1993); European Manager of the Year (1994), European Banker of the Year (1996), and the EastWest Institute Award for Leadership in Transition (2001). Represents the FSI in the Basel Committee on Banking Supervision.

39


Gunilla Borer, Senior Financial Sector SpecialistFormer positions include: Legal counsel responsible for international relations at the Swedish Financial Supervisory Authority; delegate at various interna-tional organisations and active in the development of insurance standards within the European Union and the IAIS; provider of technical assistance and lecturer in emerging markets and transition economies; expert to the Swedish Ministry of Finance in matters of legislative preparations; Director and legal consultant in fi nancial services matters at Ernst & Young. Represents the FSI in the IAIS Emerging Markets Committee, Education Subcommittee and Core Curriculum Task Force.

Stefan Hohl, Senior Financial Sector SpecialistFormer positions include: Senior Economist (Supervision) in the BIS Asian Offi ce, Head of Market Risk Models Examination and Validation, Head of Risk Research, and Senior Field Examiner in the Banking Supervision Department at Deutsche Bundesbank; portfolio manager for an investment fi rm; founding member of start-up company. Represents the FSI in the Basel Committee’s Accord Implementation IRB Validation Sub-group.

Moses Pelaelo, Senior Financial Sector SpecialistFormer positions include: Director of Banking Supervision, Financial Institu-tions and Administrative Services Departments, Bank of Botswana; Principal Bank Examiner, Banking Supervision Department, Bank of Botswana; Lecturer and Staff Development Fellow, University of Botswana; Assistant Lecturer, Botswana Institute of Administration and Commerce. Represents the FSI in the Basel Committee’s Core Principles Liaison Group - Working Group on Capital.

William Coen, Senior Financial Sector SpecialistFormer positions include: Member of the Basel Committee Secretariat, in which capacity he was actively involved in revisions to the Basel Capital Accord and responsible for liaising with banking supervisors in non-G10 coun-tries; Federal Reserve Board - Division of Banking Supervision and Regula-tion: Policy Development, Large and Regional Bank Supervision, Applications Section; Associate National Bank Examiner, Offi ce of the Comptroller of the Currency; Assistant Vice President, CrossLand Savings Bank. Represents the FSI in the Basel Committee’s Corporate Governance Group.

Jean-Philippe Svoronos, Senior Financial Sector SpecialistFormer positions include: Member of the Basel Committee Secretariat, in which capacity he was actively involved in revisions to the Basel Capital Accord and the Committee’s work on e-banking; Director of Research and Supervision, Nice branch, Bank of France; Financial Analyst/Project Manager, Finance and Corporate Planning Division, Société Générale; Head of Foreign Banks Supervisory Group and Deputy Head of Large French Banks Supervi-sory Group, Commission Bancaire. Represents the FSI in the Basel Commit-tee’s Capital Task Force.

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Ranjana Sahajwala, Senior Financial Sector SpecialistFormer positions include: Member, Project Implementation Group, Risk-based Supervision, Reserve Bank of India; Visiting Fellow, Basel Committee Secretariat, in which capacity she surveyed early warning systems of bank fragility in G10 countries; Deputy General Manager, Banking Policy, and Assistant General Manager, International Banking Division, Reserve Bank of India, during which time she worked on prudential regulation issues, foreign bank licensing, cross-border supervision, anti-money laundering and WTO negotiations in fi nancial services. Represents the FSI in the Basel Committee’s Accounting Task Force (subgroup on IAS 39).

Denis Sicotte, Senior Financial Sector SpecialistFormer positions include: Director, Capital Division, Offi ce of the Superintend-ent of Financial Institutions (Canada); OSFI representative on the Joint Forum and on the Basel Committee Capital Group with responsibility for the Scope of application part of the Basel II framework, member of the Basel Committee Secretariat, and expanded secretariat drafting the Basel II framework. During a long career in OSFI, he participated in the many and various areas of banking and insurance company supervision. Represents the FSI in the Basel Commit-tee’s Accounting and Capital Group.

Gregory Sutton, Senior Economist Former positions include: Investment Analyst in the Banking Department of the Bank for International Settlements (BIS); Economist in the Monetary and Economic Department of the BIS, in which capacity he focused on fi nancial market issues and conducted research on asset pricing models; Instructor at Yale University, in which capacity he taught an advanced undergraduate course on topics in macroeconomics.

41


Esther KünziTechnical Administrator

Bettina MüllerAdministrative Secretary

Carmen GonzalezAdministrative Secretary

Alexandra ColeAdministrative Secretary

FSI Support Staff

Julie MilneTechnical Administrator

Contact Details:

Financial Stability InstituteBank for International SettlementsCentralbahnplatz 24002 BaselSwitzerland

Tel: +41 61 280 9989Fax: +41 61 280 9100Email: [email protected]

fsi 2006 programme - bank for international …28 feb–02 mar amf: credit risk in basel ii (abu...

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