09:00 Registration and coffee

09:30 IDENTIFYING YOUR CONCENTRATION RISK EXPOSURES

• Economic Capital
• Portfolio management/Risk Based Capital
• Sector risks
• Political risks
• Scenario analysis

Tutor

Lori M. Evangel, Credit Risk Officer and Senior Vice President, METLIFE INC.

11:00 Morning break

11:30 CONCENTRATION RISK AND ALLOCATION OF ECONOMIC CAPITAL IN CREDIT PORTFOLIOS

• Understanding concentration risk in credit portfolios: name, sector and geographical concentrations
• Concentration risk and diversification in Basel II
• Modeling diversification and multi-factor credit portfolio models
• Credit capital allocation and diversification
• Stress testing of credit portfolio models
• Measuring concentration risk in structured credit portfolios

Tutor

Dan Rosen, President, R2 FINANCIAL TECHNOLOGIES AND FIELDS INSTITUTE

13:00 Lunch

14:00 MARKET CONCENTRATION RISK

• Why common risk measurement framworks do not necessarily highlight concentration risks
• Ways of identifying concentration risks
• Assess and report concentration risks
• Managing concentration risks (e.g. establish limit systems, set incentive for traders)

Tutor

Stefan Weichert, Head of Market Risk, HYPOVEREINSBANK/UNICREDIT GROUP

15:30 Afternoon break

16:00 CALCULATING AND MEASURING THE RISK

• Importance of absolute and relative measures and risk
• Challenges in specific securities and special case scenarios
• Quantification challenges between different asset classes
• Determining correlations between the various components of the portfolio
• Ensuring risk engines are robust enough to deal with the portfolio size

Tutor

Joseph Dziwura, Senior Managing Director, TIAA-CREF

17:30 End of day one

Day 2

09:00 Registration and coffee

09:30 HEDGING CONCENTRATION RISKS

• How can you do this?
• The challenge of relationship banking
• Single name vs. multi name
• Granularity adjustments

Tutor

Ian Baker, Vice President, Risk Management and Derivatives, PYRAMIS GLOBAL ADVISORS

11:00 Morning break

11:30 CONCENTRATION RISK IN THE CONTEXT OF COUNTERPARTY CREDIT RISK

• Concentration as a risk multiplier in derivatives trading
• Recent market examples of concentration driven losses
• The interplay of concentration, illiquidity and hidden correlation
• How to measure and limit concentration risk in practical ways
• Stress test of counterparty derivatives portfolios
• The issue of cross counterparties concentration risk

Tutor

Ruben Costa-Santos, Deputy Head of Hedge Fund Exposure Management, DEUTSCHE BANK

13:00 Lunch

14:00 RISK ANALYSIS OF PORTFOLIO TRANSACTIONS

• Checking the credit quality and difference of the loss distribution for concentrated and non-concentrated portfolios
• How do you quantify this and show it visually?
• What is the impact of concentration risk?
• Name Concentrations vs. Factor Concentrations
• Risk Factor Concentrations and Contributions
• How are losses dispersed and how do they affect distribution?

Tutor

David Saunders, Assistant Professor, UNIVERSITY OF WATERLOO

15:30 Afternoon break

16:00 STRESS TESTING CONCENTRATION RISK IN STRUCTURED FINANCE

• Identifying concentrations – overt and hidden
• Defining stress scenarios appropriately
• Outcomes on collateral instruments and pool
• Assessing risk to capital structure

Tutor

Perry Mehta, Director, Consulting Services, MOODY'S ANALYTICS

17:30 End of course