Seminar „Advanced risk management techniques: application in practice and Basel III regulatory framework“, Belgrade

November 4, 2014

Location: Hotel Zira, Beograd,
Date: 21. November 2014.

  • 8:30 – 9:00 Participants registration
  • 9:00 – 9:15 Opening speech
  • 9:15 – 10:30 Internal rating systems for firms and individuals
    Modelling of PDs and LGDs
    Techniques for validation of internal rating systems
    Quick credit worthiness assesment
  • 10:30 – 11:00 Break
  • 11:00 – 12:30 Application of Internal rating systems
    Risk-based pricing
    The use of Expected Loss concept for calculations of impairment under IAS 39 rules
    Estimation of Credit VaR and economic capital
  • 12:30 – 13:00 Break
  • 13:00 – 14:00 Treatment of financial derivatives
    Estimation of the fair and of the book value
    Calculating the capital requirements for the counter-party risk of financial derivatives – National Bank of Serbia and Basel III regulatory framework
  • 14:00 – 16:00 Lunch and discussion

PDF of agenda in Serbian