Gamma Advisory Services - Special risk topics 2013/04
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Training, Reviews and Advice on model risk, model validation, stress testing, risk policies, risk review and more
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Gamma Advisory Services - Special risk topics 2013/04
- 1. Risk Training, Technology & Advise Gamma Advisory Services Risk Advisory, Training & Technology Services 3.Other Gamma Advisory Services Programs & Services : April 2013 1 April 2013
- 2. “The only skill that will be of lasting value in the 21st century will be the skill of learning new skills. All other skills will become obsolete with the passing of time” Peter Drucker 2 Gamma Advisory Services April 2013
- 3. A brief background 3 Gamma Advisory Services April 2013
- 4. Objectives Promote the use of best of current practices in risk management Taxonomy of methodologies Link formal theory to all risk applications Training spectrum of staff in across all functions Private certification of staff Cater to all levels: review, vocational & advanced as well as for staff at entry, specialist, senior & board levels 4 Gamma Advisory Services April 2013
- 5. Services Skill transfer programs based on full review of cutting edge industry practices & research covering all major areas of risk Training programs: Review: conceptual Vocational: teaching, practice and testing Overview: policy, monitoring Risk advice on policy and practices 5 Gamma Advisory Services April 2013
- 6. Users New hires, functional specialists and top management (based on program) Cross functional users Front, Middle, and Back Offices Risk, Analytics Information Technology (systems, programming, testing & support) Finance, Risk audit, compliance Legal 6 Gamma Advisory Services April 2013
- 7. Delivery Mechanism Based on specific program Seminar or Classroom Reading or Review matter Presentation Computer aided demonstration Spreadsheet exercises Testing for vocational programs 7 Gamma Advisory Services April 2013
- 8. The Principal Pravin Shirnamé, Principal Advisor, Gamma Advisory Services: Set up Gamma Advisory Services in 2010 aimed at evangelising better risk management practices Former head of the Market Risk function at HDFC Bank, India. Part of core team that set up Risk function at HDFC Bank in 1994 Cross Industry experience of 25 years from banking, insurance, investments, asset finance, among others MBA’s from the University of North Carolina-USA (Finance) magna cum laudé MBA from University of Puné-India. M.Sc degree from M.S.University of Baroda, India FRM charter holder Certifications from NASD, NC Dept of Insurance & others. 8 Gamma Advisory Services April 2013
- 9. Range of programs Treasury – Functional Training Treasury Review Program Market & Counterparty Risk Asset & Liability Management Credit Risk Risk Review & Advisory Services Miscellaneous: Financial Modeling Miscellaneous: Building Blocks 9 Gamma Advisory Services April 2013
- 10. Other Programs and Services Pravin Shirname Scheduled for Financial Year 2013-14 10 Gamma Advisory Services April 2013
- 11. Special Programs Risk Management Programs Stress testing using current market standards for Credit, Market, Counterparty Risk Economic capital assessment framework for market risk, counterparty risk Risk model validation : credit, market, counterparty, ALM 11 Gamma Advisory Services April 2013
- 12. Risk Policies.1 Generic bank risk management process Generic risk management policy Segmental policies: Credit risk Loan Stress testing Concentrations of risk Interest rate risk Market risk Transaction (operational) risk Country risk 12 Gamma Advisory Services April 2013
- 13. Risk Policies.2 Segmental policies: Compliance risk Liquidity risk Contingency Risk Risk occurrence Strategic risk Electronic banking risk Environmental risk Legal risk Custody services risk 13 Gamma Advisory Services April 2013
- 14. Risk Policies.3 Segmental policies Identity theft risk Operational risk Model risk Enterprise risk 14 Gamma Advisory Services April 2013
- 15. Risk Advisory Services Reviews Internal risk management reviews Policies Processes Systems Directors risk review Review of risks, reporting and monitoring Risk software review Review of risk framework, processes, models, monitoring 15 Gamma Advisory Services April 2013
- 16. Building Blocks Building blocks for risk modeling Review of arithmetic & calculus for finance : functions, calculus + Review of algebra for finance : matrix algebra, eigenvalues + Probability and statistics: concepts, univariate distribution, multivariate distributions, statistical inference Linear regression: linear, multivariate, autocorrelation & heteroscedasticity + Numerical methods in finance : interation, interpolation + Models for volatility & correlation Introduction to GARCH models Gamma Advisory Services 16 April 2013
- 17. Building Blocks.2 Simulation modeling Statistical and simulation concepts and applications in Trading Investment management Pricing and risk management Corporate valuation and risk Financial proforma modeling Business risk Project risk Insurance risk Gamma Advisory Services 17 April 2013
- 18. “He who loves practice without theory is like the sailor who boards ship without a rudder and compass and never knows where he may be cast” Leonardo da Vinci 18 Gamma Advisory Services April 2013
- 19. Thank You E-Mail: gammaadvisory@gmail.com Web: http://gammaadvisoryservices.weebly.com/ 19 Gamma Advisory Services April 2013