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Date: Thursday, May 03, 2012
Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT
Duration: 60 minutes
Presenters: Joost Driessen, Professor of Financial Derivatives, Tilburg University What impact does liquidity have on the corporate bond markets? The research presented in this Webcast uses an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. The results suggest that liquidity effects go a long way toward helping to explain the credit spread puzzle, and that exposure to corporate bond liquidity shocks carries an economically negligible risk premium.
Date: Tuesday, Apr 24, 2012
Duration: 60 minutes
Presenters: Itzhak Ben-David, Assistant Professor of Finance, Fisher College of Business, Ohio State University Poorly capitalized banks had substantial declines in loan growth during the recent financial crisis. Yet the research presented in this Webcast shows that low-capital banks actually paid lower deposit rates during 2009 and 2010, and that low capital did not affect the sensitivity of deposit growth to deposit rate changes during the peak crisis period. These findings suggests that deposit markets did not discipline risky banks during the crisis, and that deposit market discipline is weak for de-leveraging banks, especially in environments of investor panic and strengthened deposit insurance.
Date: Tuesday, Mar 27, 2012
Duration: 60 minutes
Presenters: Ron Miller, VP, NERA; Anna Pinedo, Partner, Morrison & Foerster; Peter Went, VP, Banking Risk Management Programs, GARP From the incremental risk capital charge to liquidity coverage ratios, from countercyclical capital to credit valuation adjustments, Basel III will have a major impact on the risk management function at financial institutions worldwide. As the Basel III framework is implemented around the globe, risk practitioners are striving to wrap their heads around the changes that the new rules will bring. And as these rules are implemented at different speeds and often contemporaneously with national rules, the emerging financial framework is increasingly complex and affects proprietary trading, credit ratings, and securitization. In this Webcast, our panel of experts will answer some of the more pressing, interesting and confusing questions that risk managers are raising about the accord. A significant portion of the program will be devoted to answering questions from the audience, so please bring your Basel III queries.
Date: Thursday, Mar 15, 2012
Duration: 60 minutes
Presenters: Betty Simkins, Professor of Finance, Spears School of Business, Oklahoma State University What are the risks in energy finance and economics? In today’s climate, there may be more than can be enumerated. This Webcast will delve into many of the major issues, exploring the equity and energy markets for messages about risk, and looking at current views on pricing – in other words, “Quo Vadis crude oil and natural gas prices?” In addition, Betty Simkins, Professor of Finance at Oklahoma State University’s Spears School of Business, will discuss the economics of shale gas drilling at current prices, and trends in mergers, acquisitions and divestitures. What emerging risks should you be watching in 2012 and beyond? We’ll supply some answers.
Date: Thursday, Feb 16, 2012
Time: 11:00 am EST | 4:00 pm GMT | 12:00 am (Feb. 15) HKT
Duration: 60 minutes
Presenters: Morgan Downey, Head of Commodities, Bloomberg; Glen Swindle, Managing Director, Credit Suisse; Michael Sell, VP, ERP Program Manager, GARP A number of market dynamics are at work that all have the potential to drastically change the balance of global hydrocarbon markets. Geopolitical uncertainty in key oil producing regions, emergence of unconventional fuel production, development of alternative energy technologies and evolving environmental regulations are just a few of the factors driving physical supply and demand trends. Join us for an informative discussion about the imbalances developing across global hydrocarbon markets and their potential impact on investment and risk management decisions across the energy value chain.
Date: Tuesday, Feb 07, 2012
Time: 11:00 am EST | 4:00 pm GMT | 12:00 am (Feb. 8) HKT
Duration: 60 minutes
Presenters: Anna Pinedo, Partner, Morrison & Foerster; Peter Went, Senior Researcher, GARP Research Center The ink is barely dry on the final Basel III proposals, yet a number of implementation challenges are coming to light. In the U.S., where financial institutions and risk practitioners are already struggling with the Dodd-Frank Act, incorporating Basel III raises a complex series of questions. For risk management professionals at internationally active firms, it is essential to understand how these regulatory regimes are related. This Webcast will explore the potential implications of Basel III and the effects that its higher capital standards will have on U.S. markets, including the need for institutions to more effectively deploy capital and the increasing importance of practice-driven risk management.
Date: Tuesday, Jan 17, 2012
Time: 11:00 am EST | 4:00 pm GMT | 12:00 am (Jan. 18) HKT
Duration: 60 minutes
Presenters: Chris Donohue, Managing Director, Research and Educational Programs, GARP; Glenn Labhart, Partner, Labhart Risk Advisors; Michael Sell, Vice President, ERP Program Manager, GARP The global energy complex is a thriving and dynamic market. Newly-developed exploration and refining technologies, shifting physical supply drivers and evolving environmental regulations combine to impact the economics of traditional hydrocarbon resources; electric power generation, distribution and trading; and renewable energy investment. Moreover, the emergence of sophisticated financial products has increased market liquidity and made energy trading and risk transfer activities accessible to a growing number of market participants, paradoxically increasing the potential for new, unforeseen risks.
Understanding the fundamental terms and relationships that impact physical energy operations and the trading of financially based energy contracts is an important first step toward developing a career in the complex world of energy risk management. Join our Webcast to learn how GARP’s Energy Risk Professional (ERP) Program can help jump start your career in energy.
Date: Tuesday, Dec 13, 2011
Duration: 60 minutes
Presenters: Tom Broadhead, Associate General Counsel, Sallie Mae; Andrew Smith, Partner, Morrison & Foerster The Dodd-Frank Act created a new independent oversight agency, housed at the Federal Reserve, to assist U.S. consumers in getting clear, accurate information on mortgages, credit cards, and other financial products. The act also seeks to protect consumers from hidden fees, abusive terms, and deceptive practices. In this Webcast -- the fourth in our series on Dodd-Frank -- our panel of experts will discuss the impact of the act on consumer lending practices and intended benefits to consumers. Significant changes to the institutional operations of savings and loans and thrifts are critical issues to be covered. GARP Individual Members should contact membership@garp.com for a coupon code to view this webcast at no charge.
Date: Tuesday, Dec 06, 2011
Duration: 60 minutes
Presenters: Deepa Govindarajan, Visiting Fellow, ICMA Centre, Henley Business School, University of Reading; Lon O’Sullivan, Executive Director, Firm Market Risk, Morgan Stanley; David Wallace, Global Industry Marketing Manager, Financial Services, SAS; Peter Went, PhD, CFA, Senior Researcher, GARP Research Center The determination of a company’s risk appetite is an important, if somewhat overlooked, part of corporate governance and the strategy-setting process of supervisory boards and operating committees. A select number of firms are coming to realize that effective risk management requires a more comprehensive understanding of risk appetite throughout the organization, to foster a more holistic view of enterprise risk management and the interaction with business strategy. In this Webcast, our panel will discuss the changing view of risk appetite, its importance in corporate governance, and how boards, executive management and lines of business should view it as more than simple policy pronouncements made on an annual basis.
Date: Tuesday, Oct 25, 2011
Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT
Duration: 60 minutes
Presenters: Sharon Brown-Hruska, VP, Securities and Finance Practice, NERA; Adam Glass, Chief Counsel, Securities and Exchange Commission, Division of Risk, Strategy and Financial Innovation; David Kaufman, Partner, Morrison & Foerster The Dodd-Frank Act is set to overhaul the derivatives trading infrastructure in the U.S., creating new incentives to execute trades on transparent platforms and settle transactions through centralized clearing. The ultimate results of the regulations may be difficult to assess, but the impact will reach beyond the financial sector, and trading in the commodities and energy industries will feel the effects. In this Webcast, the third in GARP’s series on the ramifications of the Dodd-Frank on capital markets, our experts will share their insights on the potential pitfalls of the new rules -- and changes they would like to see made. GARP Individual Members should contact membership@garp.com for a coupon code to view this webcast at no charge.
Date: Thursday, Oct 13, 2011
Duration: 60 minutes
Presenters: Sally Gordon, Managing Director, Risk and Quantitative Analysis Group, BlackRock; Anthony Nolan, Partner, K&L Gates; David Schwartz, Managing Director, Complex Asset Solutions, Duff & Phelps Banks that engage in securitization transactions will face significant new burdens under the Dodd-Frank Act’s securitization framework. However, the ultimate impact of the new regulations on financial institutions is far from certain, and the rules themselves are still evolving to reflect ongoing agency guidance on risk retention requirements. In this Webcast, the second in GARP’s series on the ramifications of the Dodd-Frank on capital markets, our experts will discuss the potential effects of the regulation on securitization and changes that could improve the rules as they continue to take shape.Banks that engage in securitization transactions will face significant new burdens under the Dodd-Frank Act’s securitization framework. However, the ultimate impact of the new regulations on financial institutions is far from certain, and the rules themselves are still evolving to reflect ongoing agency guidance on risk retention requirements. In this Webcast, the second in GARP’s series on the ramifications of the Dodd-Frank on capital markets, our experts will discuss the potential effects of the regulation on securitization and changes that could improve the rules as they continue to take shape. GARP Individual Members should contact membership@garp.com for a coupon code to view this webcast at no charge.
Date: Tuesday, Sep 27, 2011
Duration: 60 minutes
Presenters: Glen Rae, Managing Director, General Counsel, Global Capital Markets, Bank of America; Marilyn Okoshi Selby, Partner, Katten Muchen Rosenman; Joseph Vitale, Partner, Schulte Roth & Zabel The Dodd-Frank Act’s Volcker Rule is set to impose severe constraints on large financial institutions by restricting proprietary trading and limiting exposures to private equity-related investments. These restrictions may be challenging to implement, but they also offer opportunities for non-bank affiliated hedge funds and private equity firms. How the rule will be implemented next year remains to be seen. In this Webcast, the first in GARP’s series on the ramifications of the Dodd-Frank on capital markets, our experts will share their insights on the Volcker Rule and its potential effects. GARP Individual Members should contact membership@garp.com for a coupon code to view this webcast at no charge.
Date: Tuesday, Sep 20, 2011
Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT
Duration: 60 minutes
Presenters: Gordon Burnes, IBM OpenPages Marketing; Marcelo Cruz, Global Head of Operational Risk Management and Metrics, Morgan Stanley; Sebastian Fritz-Morgenthal, Global Head of Group Risk Management, HSH Nordbank The complex array of risk exposures facing financial institutions has grown along with transaction volumes and M&A activity and an increasingly dynamic regulatory environment. As companies struggle to integrate operational risk data -- such as loss events, assessments and KRIs -- and executives and boards demand greater accountability, risk managers are under pressure to deliver better visibility into enterprise risk. To help risk managers seeking to provide a more holistic view of enterprise risk exposure, this Webcast will cover areas such as best practices for integrating operational risk data; how to leverage a common reporting infrastructure across the business; and the strategic benefits of an integrated approach.
Date: Tuesday, Sep 13, 2011
Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT
Duration: 60 minutes
Presenters: Robert Savage, CEO, Track.com; Daniel Wagner, CEO, Country Risk Solutions; Peter Went, Senior Researcher, GARP Research Center Sovereign credit risk has taken center stage in the global economy as the European Union continues to be plagued by severe fiscal and public debt concerns, the Middle East and North Africa face ongoing political upheaval, and economic and political challenges rise in the United States. Sovereign, economic and political risks have become increasingly intertwined and moved to the forefront of issues that must be monitored and managed on a daily basis among financial professionals and risk managers. The concept of risk free sovereign paper has been challenged and doubts about the loss of US AAA status beg larger questions about the global financial framework. This Webcast will examine the intersection of sovereign, economic and political risk, with an eye on the impact of these risks on global politics, the global economy, and the practice of risk management.
Date: Tuesday, Jul 12, 2011
Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT
Duration: 60 minutes
Presenters: Sat Paul Parashar, Head of the Center for Banking and the Center for Research, Bahrain Institute of Banking and Finance; Amadou Racine Sy, Deputy Chief of the Financial Oversight Division of the Monetary and Capital Markets Department, International Monetary Fund; Peter Went, PhD, CFA, Senior Researcher, GARP Research Center The global financial sector has faced a wide-ranging realignment in the wake of the financial crisis. As regulators and financial institutions have sought to address the risk management weaknesses that were exposed during the crisis, much of their attention has been focused on the developed markets. In emerging markets, however, the realities of managing risk may not match those in the U.S., European Union or Japan, for example. This Webcast will highlight some of the fundamental differences in risk management in the emerging and developed markets and address some of the challenges that are unique to developing regions.
Date: Tuesday, Jun 28, 2011
Duration: 60 minutes
Presenters: Michael Atkin, Managing Director, Enterprise Data Management Council; Allan Grody, President, Financial InterGroup; Joseph Langsam, Committee to Establish the National Institute of Finance; Arthur Small, Principal, Venti Risk Management While major financial institutions are focusing on the need to upgrade or replace their historically unwieldy data architectures, they must also prepare for new regulatory reporting requirements, including those mandated by the U.S. Dodd-Frank Act to support the U.S Treasury’s Office of Financial Research and oversight of systemic risk. A panel of experts will discuss the burdens, benefits and opportunities of a new data management regime.
Date: Thursday, Jun 16, 2011
Duration: 60 minutes
Presenters: Bill May, FRM Program Manager; Masao Matsuda, Ph.D, FRM, CAIA, President and CEO, Crossgates Investment Management; Michelle McCarthy, Managing Director, Director of Risk Management, Nuveen Investments, and Member, GARP Board of Trustees; René Stulz, Reese Chair in Banking and Monetary Economics, The Ohio State University, and Chairman, FRM Exam Committee The unprecedented challenges facing the global financial system demand a high level of skills and expertise from those participating in it. And at no time in our history has a solid understanding of financial risk management been more relevant or in higher demand. GARP’s FRM examination is a challenging test designed to comprehensively assess one’s ability to measure and manage risk in a real-world environment. Prof. René Stulz, the Chair of GARP’s FRM Committee, Chris Donohue, the Managing Director of GARP’s Research and Educational Programs, and William May, GARP’s FRM Program Manager as well as risk industry professionals will describe and discuss the structure of the FRM program and how it can benefit serious participants in today’s financial industry.
Date: Tuesday, May 17, 2011
Duration: 60 minutes
Presenters: Sharon Brown-Hruska, VP, Securities and Finance Practice, NERA; Vanessa Edwards, Partner, K&L Gates; Peter Went, PhD, CFA, Senior Researcher, GARP Research Center The European Market Infrastructure Regulation is expected to bring greater oversight and standardization to the over-the-counter derivatives market when it goes into effect in the EU this year. In the U.S., the Dodd-Frank Act will also make fundamental changes to the structure and regulation of derivatives, potentially setting the stage for regulatory and risk arbitrage. This Webcast will take a closer look at efforts on both sides of the Atlantic to create a regulatory framework for OTC derivatives, and help risk managers understand the risks stemming from the possible extraterritorial effects.
Date: Thursday, May 05, 2011
Duration: 60 minutes
Presenters: Glen Swindle, Managing Director, Credit Suisse; Morgan Downey, Head of Commodities, Bloomberg Demand for commodities is growing at a rapid clip in China and throughout Asia as developing economies drive global economic growth, oil producing markets in the Middle East cope with political unrest, and the world reexamines its use of nuclear energy following the recent disaster in Japan. With supply imbalances and U.S. dollar weakness exerting upward pressure on commodity prices in the Asia-Pacific region and around the globe, this GARP Energy Series Webcast will address some of the fundamental questions facing the energy commodity markets at this complicated and volatile time. How does one interpret market dynamics in the current environment? How should market participants adjust their operating strategies in response? Industry experts will discuss how best to understand and respond as uncertainty surrounding global oil supply spurs rising and increasingly volatile energy commodity prices.
Date: Tuesday, Apr 12, 2011
Duration: 60 minutes
Presenters: Jess Cornaggia, Kelley School of Business, Indiana University; Anastasia Kartasheva, The Wharton School, University of Pennsylvania; Peter Went, PhD, CFA, Senior Researcher, GARP Research Center The Dodd-Frank Act’s ban on the use of credit ratings in financial regulation has regulators struggling for an alternative solution. With ratings very much embedded in regulatory usage, many observers have suggested that these changes will negatively affect the banking industry and financial regulation. What are the potential alternatives to credit ratings? What will be the consequences for regulators, the industry, and risk managers? This Webcast will address these questions and more, as the July 21 deadline looms.
Date: Tuesday, Feb 22, 2011
Duration: 60 minutes
Presenters: Peter Went, PhD, CFA, Senior Researcher, GARP Research Center A number of financial regulatory proposals moved forward in 2010, placing new burdens on the banking industry and emphasizing the pivotal role of risk management. This Webcast compares and contrasts the three major regulatory structures: the Dodd-Frank Act in the U.S., the Capital Requirements Directive in the European Union, and the Basel III Accord. For risk management practices at large, internationally active financial institutions, it is essential to understand the potential conflicts arising from the differences across these regulatory regimes.
Date: Thursday, Feb 17, 2011
Duration: 60 minutes
Presenters: Phornchanok Cumperayot, Assistant Professor, Chulalongkorn University; Roy Kouwenberg, Director of Research, Mahidol University We apply multivariate extreme value theory to test whether extreme exchange rate depreciations and devaluations are associated with extreme movements in lagged macro-economic and financial variables. We find that nearly all fundamental variables have no relation with extreme exchange rate returns, except for the real interest rate. The estimated probability of a currency crisis occurring within twelve months of a positive extreme value of the domestic real interest rate is equal to 30%. Our findings can explain why existing early warning systems for currency crises perform poorly out of sample.
Date: Thursday, Feb 10, 2011
Duration: 60 minutes
Presenters: Glen Swindle, Managing Director, Credit Suisse; Morgan Downey, Head of Commodities, Bloomberg Managing risk in energy markets is a unique challenge; understanding the interplay between physical commodity supply trends and financial trading instruments is a critical first step in the risk management process. In this GARP Energy Series Webcast, industry experts will briefly explore current supply trends in oil and gas commodity markets and their impact on financial market dynamics. They will also address your questions about how current supply and demand attributes, new technologies and regulations will drive the inventory of physical energy commodities and affect financial market price volatility, valuation and modeling.
Date: Thursday, Feb 03, 2011
Duration: 60 minutes
Presenters: Brenda Boultwood, Senior Vice President and CRO, Constellation Energy Group; Dan Borge, Director, LECG; Jim Fitzmaurice, Senior Director, Corporate Executive Board; Barry Schachter, Chief Risk Officer, Woodbine Capital Advisors Looking ahead to another year of economic uncertainty and hard-to-predict shifts in financial markets, politics and risks around the globe, GARP assembles a panel of experts to share their outlook on 2011 and beyond. Building on a feature in which they participated in the February 2011 edition of Risk Professional magazine, a group drawn from prominent CROs, economists and risk advisers will provide varying perspectives on current hot-button concerns and discuss how their organizations have prepared to confront them. They will also comment on recent changes in risk governance and the risk profession and how effectively it is performing in comparison with the pre-crisis era.
Date: Thursday, Jan 27, 2011
Duration: 60 minutes
Presenters: John T. Otis, Deputy Managing Director, Training Services, GARP Without understanding the differences in creditor quality, analysts and lenders alike may have difficulty creating loan portfolios that conform to their risk preferences and appetite. To distinguish between creditors and credit quality and to price credits accordingly, each potential cohort needs to be rigorously analyzed (using both quantitative and qualitative analysis).
This intensive session includes a discussion of theoretical developments in credit risk analysis. The aim is to provide a comprehensive credit analysis of entities within a portfolio, through key learning objectives including the following.
• Assessing a company’s business and financial performance (measure Expected Loss and its components)
• Gaining an in-depth and practical appreciation of the different cash flow analysis methods and Debt Capacity and learning how rating agency and other 3rd party indicators are incorporated into the credit process
• Explaining the characteristics of securitizations and the benefits and limitations these derivative products
Date: Tuesday, Jan 25, 2011
Duration: 60 minutes
Presenters: Gavin Cassar, The Wharton School, University of Pennsylvania; Joseph Gerakos, Booth School of Business, The University of Chicago We investigate the determinants and effectiveness of methods that hedge funds use to manage portfolio risk. We find that levered funds are more likely to use formal models to evaluate portfolio risk and funds with higher levels of proprietary capital are more likely to have a dedicated risk officer who has no trading authority. Funds in our sample that use formal models performed better in the extreme down months of 2008 and, in general, had lower exposures to systematic risk. Moreover, funds employing value at risk and stress testing had more accurate expectations of how they would perform
in a short-term equity bear market. Overall, our results suggest that models of portfolio risk increase the accuracy of managers' expectations and assist managers in reducing exposures to both systematic and downside risk.
Date: Tuesday, Jan 11, 2011
Duration: 60 minutes
Presenters: Viral Acharya, Professor of Finance, Stern School of Business, New York University; Clifford Rossi, PhD, Managing Director, Center on Financial Policy, University of Maryland The Dodd-Frank Act, a wide-ranging realignment of the U.S. financial sector, addresses many of the risk management weaknesses uncovered by the financial crisis. Many observers have called the Dodd-Frank Act a full-employment act for risk managers, since the series of complex provisions it contains will increase both the professional demands and the corporate governance role of risk managers in financial service firms. As the provisions of the Act are being implemented, and U.S. federal regulators are issuing new policy guidelines to support its risk management policy statements, risk managers need to understand how their day-to-day priorities are likely to be affected.
Date: Tuesday, Dec 14, 2010
Duration: 60 minutes
Presenters: Clifford Rossi, PhD, Managing Director, Center on Financial Policy, University of Maryland Not since the Great Depression has there been a contraction in the U.S. housing market of such scale. With much attention given already to complex mortgage securities, their risks and impacts on financial markets, this study examines the underlying loan manufacturing process that greatly contributed to excessive risk building across portfolios and mortgage securities alike. Particular attention is focused on the dynamics behind risk taking within mortgage firms leading up to the collapse in housing in order to understand what drove these firms to the brink and what lessons can be learned.
Date: Thursday, Dec 09, 2010
Duration: 60 minutes
Presenters: John T. Otis, Deputy Managing Director, Training Services, GARP As a credit and financial risk management professional, you are responsible for understanding, assessing and determining how financial concepts, theories and regulatory initiatives impact your obligor. You must evaluate the effectiveness and efficiency of your organization's risk management systems and its capacity to deal with an ever-changing environment.
This is an intermediate level offering which builds on a candidate’s basic understanding of credit and financial analysis. Emphasis is placed on evaluating a company’s credit performance through an understanding of financial ratio analysis, the limitations of financial ratio analysis, and gaining an practical understanding of cash flow by reviewing the components of a cash flow statement and the key cash flow drivers.
Date: Tuesday, Dec 07, 2010
Duration: 60 minutes
Presenters: Efraim Benmelech, Department of Economics, Harvard University and NBER; Eyal Dvir, Boston College Does short-term debt increase vulnerability to financial crisis, or does causality go the other
way, so that short-term debt reflects rather than causes the incipient crisis? We approach this question empirically by examining the banking sector in five East Asian economies that were affected by the financial crisis of 1997-8.
Date: Tuesday, Nov 23, 2010
Duration: 60 minutes
Presenters: John T. Otis, Deputy Managing Director, Training Services, GARP The globalization of and the dynamic nature of financial markets, dramatically elevated the role of risk management in an organization. To assist you understanding the importance of these changes – and the impact on your professional development plans, GARP has developed this offering as an introduction to Credit Analysis. This is a foundation level introduction to a structured framework of credit analysis - the objective is to impart an understanding of the principles of Credit Risk. Emphasis is placed on identifying the key qualitative and quantitative drivers of a robust corporate credit analysis (business, financial, as well as borrower type and borrowing type).
Date: Thursday, Nov 18, 2010
Duration: 60 minutes
Presenters: Alessandro Mauro, Director of Risk Management - Litasco, SA; Glen Swindle, Managing Director - Credit Suisse Effectively measuring, interpreting and managing price risk in energy portfolios has historically been a challenging proposition for many reasons - limited and unpredictable liquidity, complicated risk profiles and, rapid technological and market structure changes, to name just a few. Energy traders and risk managers attempt to deal with these challenges in a variety of ways, and situations often arise where trade-offs are required between taking a fundamental market view and consulting a pricing model to value and hedge portfolios. Regardless of methodology, formulating a useful view on price is increasingly difficult as energy markets become less predictable, new technologies impact traditional supply drivers and regulatory uncertainty clouds the picture.
How do risk managers deal with imperfect or unavailable information when formulating price views? How do risk groups properly assess the reliability and risks inherent in the application of such views? What are the likely effects of these issues on market depth and risk transfer activities going forward?
Date: Tuesday, Nov 09, 2010
Duration: 60 minutes
Presenters: Chris Donohue, Managing Director, GARP Research Center; Mike Saliter, Global Industry Solutions Executive, IBM Business Analytics; John Hund, Assistant Professor of Finance, Rice University The reality of today’s business environment is that regulators, governments and investors are demanding stress testing be done; however, if an efficient, end-to-end stress testing environment is in place, it will go a long way towards minimizing future surprises and calming the concerns of shareholders and regulators alike.
In this GARP Webcast, industry and risk experts will discuss and debate: What types of scenarios should be tested; how to efficiently conduct this analysis and report back to regulators; best practices for building an integrated stress testing environment; and how your organization can use stress testing to develop action plans to respond to future catastrophic scenarios.
Date: Tuesday, Nov 02, 2010
Duration: 60 minutes
Presenters: Peter Went, Ph.D., CFA, Senior Researcher, GARP Research Center; Charles Stewart, Senior Director, Moody’s Analytics The Basel III framework seeks to strengthen the risk-based capital regulation, regulatory supervision principles and risk management practices in the banking sector. This Webcast will look beyond Basel III, exploring some of its implications on the future of banking. Higher capital standards will require banks to more effectively deploy their capital and to improve their risk management practices and processes. In this presentation we will address the impact of higher capital requirements on capital deployment, and the increased important of practice driven risk management at banks.
Date: Thursday, Oct 28, 2010
Duration: 60 minutes
Presenters: Peter Went, Ph.D., CFA, Senior Researcher, GARP Research Center; Baeho Kim, Assistant Professor of Finance, Korea University Business School This webcast defines systemic risk as the conditional probability of failure of a
large number of financial institutions, and develops maximum likelihood estimators
of the term structure of systemic risk in the U.S. financial sector. The estimators are
based on a new dynamic hazard model of failure timing that captures the influence
of time-varying macro-economic and sector-specific risk factors on the likelihood of
failures, and the impact of spillover effects related to missing/unobserved risk factors
or the spread of financial distress in a network of rms. In- and out-of-sample tests
demonstrate that the fitted risk measures accurately quantify systemic risk for each
of several risk horizons and confidence levels, indicating the usefulness of the risk
measure estimates for the macro-prudential regulation of the financial system.
Date: Tuesday, Oct 19, 2010
Duration: 60 minutes
Presenters: Peter Went Ph.D., CFA, Senior Researcher, GARP Research Center; Alain Laurin, Senior Vice President, Credit Policy Committee, Moody’s Investors Service The Basel III framework seeks to strengthen the risk-based capital regulation, regulatory supervision principles and risk management practices in the banking sector. It reduces systemic risk and improves the banking sector's ability to absorb shocks arising from financial and economic stress by increasing the quality and quantity of regulatory capital, extending capital requirements, implementing liquidity standards, and improving transparency and disclosure. Basel III also strengthens the capital requirements for counterparty credit risk exposures arising from derivatives, repos, and securities financing activities. This webinar, the second in a series of three webinars on the Basel III Accord, provides an overview of the accepted mandates. It specifically addresses the effect increased capital levels have on banks, their ratings, and their ability to intermediate credit as well as the impact regulatory capital changes have on counterparty credit risk exposures.
Date: Tuesday, Oct 12, 2010
Duration: 60 Minutes
Presenters: Patrick Bolton, Professor, Columbia University; Joel Shapiro, Saïd Business School, University of Oxford This Webcast analyzes the connection between risk taking and executive compensation in financial institutions. A theoretical model of shareholders, debt-holders, depositors, and executives suggests that 1) in principle, excessive risk taking (in the form of risk shifting) may be addressed by basing compensation on both stock price and the price of debt (proxied by the credit default swap spread), but 2) shareholders may be unable to commit to designing compensation contracts in this way and indeed may not want to because of distortions introduced by either deposit insurance or naive debtholders. The Webcast includes an empirical analysis that suggests that debt-like compensation for executives is believed by the market to reduce risk for financial institutions.
Date: Wednesday, Sep 15, 2010
Duration: 60 Minutes
Presenters: Dr. Peter Went, Ph.D., CFA, Senior Researcher, GARP Research Center In response to the global financial crisis, the Basel Committee on Banking Supervision has issued several proposals to enhance the existing Basel II framework and to improve the resilience of the global financial system. This new regulatory capital regime, unofficially called Basel III, would require banks to raise their regulatory capital levels, provide greater transparency and account for derivatives and securitization exposures, and set certain liquidity standards.
Date: Friday, Jul 16, 2010
Duration: 60 minutes
Presenters: Glenn Labhart As economies rebound and the world population expands global energy requirements will grow and become increasingly interdependent, making globally accepted energy regulations, commidity trading standards and risk management practices increasingly important. Understanding the fundamental terms and key relationships that drive diverse energy markets and risk is a critical first step in developing a career in the complex world of energy risk management. In this first segment of the GARP Energy Risk Series we will introduce the complex world of energy. We will describe the key concepts and inter-relationships that drive supply, demand and risk in physical commidity markets and explore the use of financial trading instruments to manage risk associated with physical commidity supply and demand trends.
Date: Friday, Jul 09, 2010
Duration: 60 minutes
Presenters: Viral V. Acharya, Professor of Finance, Stern School of Business, New York University Stephen Schaefer, London Business School Yili Zhang, London Business School The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced by a significant imbalance in their quotes towards sales. We also document that simultaneously, there was excess co-movement in the fixed-income securities of all industries, not just in those of auto firms. In particular, using credit-default swap (CDS) data, we find a substantial increase in the co-movement between innovations in the CDS spreads of GM and Ford and those of firms in all other industries, the increase being greatest during the period surrounding the actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market-makers - specifically, the imbalance towards sales in the volume and frequency of quotes on GM and Ford bonds - explains a significant portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk faced by market-makers and the correlation risk for other securities in which they make markets was likely causal. Overall, the evidence is supportive of theoretical models which imply that funding liquidity risk faced by financial intermediaries is a determinant of market prices during stress times.
Date: Friday, Jul 09, 2010
Duration: 60 minutes
Presenters: Christopher Donohue, Kuntara Pukthuanthong, Richard Roll Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation typical of a Gaussian process. We find that jumps are prevalent in most countries. This has been noticed before in some countries, but there has been little investigation of whether the jumps are internationally correlated. Their possible inter-correlation is important for investors because international diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Government fiscal and monetary authorities are also interested in jump correlations, which have implications for international policy coordination. We investigate using daily returns on broad equity indexes from 82 countries and for several competing statistical measures of jumps. Various jump measures are not in complete agreement but a general pattern emerges. Jumps are internationally correlated but not as much as returns. Although the smooth variation in returns is driven strongly by systematic global factors, jumps are more idiosyncratic.
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