ICAAP MODELS: ALM & INTEREST RATE SIMULATIONS WORKSHOP
29th & 30th March 2011
Langkawi, Malaysia

This intermediate level workshop serves as a guide to Internal Capital Adequacy Assessment framework implementation with a special focus on treasury, market risk and counterparty limits.

By the end of this workshop participants will be able to

• View trends from a much broader perspective, in general the practical as opposed to the quant/ data way to view distributions (effectiveness, behavior, relationships).
• Evaluate what happens when model price match market prices, especially in illiquid markets.
• Understand the difference between economic capital, regulatory capital and loss capital.
• Link Value at Risk limits to Stop loss limits and linking stop loss limits to book size and risk appetite.
• Review calculations of Potential Future Exposure (PFE) and Pre-Settlement Risk (PSR) for derivative products and make these numbers work for counterparty limits.

For more details on the workshop, please click here or contact the following:

Jawwad Farid, Uzma Salahuddin at:
Alchemy Technologies (Pvt.) Ltd.
166 Block 7/8, KMCHS,
Karachi

Phone: 021 - 34556431 / 52
Fax: 021 - 34556447
Email: jawwad@alchemya.com, uzma@alchemya.com,
Web: www.alchemya.com, Learning Corporate Finance