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This course provides a series of practical workshops examining the latest tools, techniques and best practices surrounding economic capital allocation within a financial institution. Each workshop will explore wide-ranging, up-to-the minute issues in a comprehensive, frank manner. Led by senior practitioners and industry experts from around the globe, this course addresses important economic capital topics such as strategic use of economic capital, calculating economic capital for credit, market and operational risks, integrating stress-testing into the capital management processes, and the role of regulatory capital and relationship with Basel II capital requirements. This course is another perennial favorite GARP course, as past delegates have found it very useful and informative and something they would highly recommend to colleagues.
This intensive and interactive training course is designed for practitioners with limited knowledge of credit and credit risk management. As its primary objective, the course aims to provide an understanding of corporate and retail credit risk.
Gain understanding in evaluating a company’s performance and capital structure using both qualitative and quantitative frameworks and tools
WORKSHOP LEADERS
Nedim Baruh (New York and Chicago)
Nedim is part of the Algorithmics’ Operational Risk advisory function and one of the principal architects of the Algo OpVar software solution. Nedim has been leading client engagements in the operational risk space for over eight years. He has developed and implemented integrated operational risk solutions in the areas of loss data collection, VaR capital modeling, risk and control self-assessment, management reporting, and scenario analysis. Nedim is one of the principal developers of the “Structured Scenario” methodology, a scenario methodology that is quickly becoming an industry standard, and has implemented the methodology at several large financial institutions. Prior to joining Algorithmics, Nedim was a Senior Consultant in the Financial Services Industry group at Ernst & Young. Nedim started his risk management career in the Risk Management Group at Bankers Trust. Nedim has his BS in Economics from the University of Pennsylvania.
Christopher Hall (London and Amsterdam)
Christopher Hall has been working in all areas of risk management for over 14 years. He was, until recently, Head of Economic Capital at Barclays. He is a consultant with Risk Advisors Ltd who provide financial risk training, advice and analysis to financial institutions worldwide. Risk Advisors specialize in the integration of all risks into a common system that is understandable by the layman, including economic capital, ICAAP, credit risk, market risk, operational risk and value-based management. Christopher has a first class degree in Computing and Statistics, is a Chartered Accountant and has a Masters in Finance from London Business School.
Hans Helbekkmo (New York and Chicago)
Mr. Helbekkmo is a Senior Vice President in Union Bank of California’s Enterprise Wide Risk group, where he is responsible for Economic Capital methodology, credit portfolio risk management, stress testing and Basel II compliance. Prior to joining UBOC he was a Managing Director at Sungard ERisk, where he was responsible for growing ERisk's consulting business and expanding the company's consulting solution offerings. Mr. Helbekkmo has extensive experience advising financial institutions on risk management issues and is an expert in all forms of risk, including credit, market, insurance, and operational risk. His work in risk management has taken him around the world, to the developed markets of Europe and North America, as well as the emerging economies Latin America and Eastern Europe.
Aurele M. Houngbedji (New York)
Aurele M. Houngbedji, is a Risk Management Officer in the Risk Management and Financial Policy Department at the International Finance Corporation (IFC), a member of theWorld Bank Group inWashington DC. He is responsible for developing new methodologies for modeling Economic Capital (EC) and its applications for strategic business decision making, exposure risk limits setting, capital allocations for IFC loans and equity portfolio. Prior to joining theWorld Bank Group in January 2005, Aurele was a Quantitative Analyst in the Capital Markets department at AmTrust Bank. He was responsible for developing Mortgage pipeline hedging models, risk based pricing models, valuation models for the bank’s loans and other hedging instruments and assets. His research interests include credit risk modeling and credit portfolio management, economic capital modeling and its applications, Monte Carlo Simulation methods, Mortgage Backed Securities (MBS) risk management and pricing financial derivatives. Aurele is an adjunct professor of Risk Management and Quantitative Finance in both the Carey Business School at Johns Hopkins University and the McDonough School of Business at Georgetown University. Mr. Houngbedji holds a Ph.D. in Mathematical Finance from the University of Pittsburgh; he is a certified Risk Manager from the Global Association of Risk Professionals (GARP). He is the regional director for the GARPWashington DC Chapter.
Diane Reynolds (Chicago)
Diane Reynolds is Senior Director of Economic Capital at Algorithmics, leading the team dedicated to economic capital and portfolio credit risk solutions. Since 1997, Diane has worked in various areas of Algorithmics including professional services, development, product management, research, and marketing, spanning market, credit, and operational risks. She has authored several papers in credit risk, scenario generation and operational risk. Previously, Diane worked for various firms including a large pension fund and a financial software provider. Diane holds an M.Math, Statistics-Finance and a B.Math Computer and Actuarial Sciences, both from the University ofWaterloo. She also holds the FRM designations from GARP.
John Stewart, Ph.D. (New York)
John Stewart, Ph.D. is a Senior Vice President atWashington Mutual (WaMu). He manages the Economic Capital Group and is Program Owner forWaMu’s Basel II preparations. He is also an active participant in RMA’s economic capital working group. Prior to joiningWashington Mutual, he was a management consultant with Oliver,Wyman and Co. John holds a doctorate from Princeton University in Mechanical and Aerospace Engineering as well the Chartered Financial Analyst (CFA) and Financial Risk Manager (FRM) professional designations. He also graduated Summa Cum Laude from the University of Minnesota with a B.S. in Mechanical Engineering.
Dirk Tasche (London and Amsterdam)
Dr. Dirk Tasche is Head of Modeling in the Corporate Markets Rating Systems department of Lloyds TSB Bank. He oversees development and maintenance of rating models for the Basel II IRB approach. Before joining Lloyds, Dirk worked in the Quantitative Financial Research group of Fitch Ratings, with focus on credit portfolio risk and risk scoring models. From 2002 to 2007, Dirk was a risk analyst in the banking supervision department of Deutsche Bundesbank where he was involved in the legal implementation of the IRB approach and research on economic capital models. He has published a number of papers on the measurement of financial risk and capital allocation.
Viktor Leonidovich Tchistiakov (London and Amsterdam)
March 2007 – Now Utrecht, The Netherlands, Rabobank International. Senior Quantitative Risk Analyst Development, implementation and maintaining Rabobank International models for Credit, Market and Operational risks including:
• Leading development and implementation of analytical solution for Counterparty Credit risk, PFE, EC and BIS II Reg. Cap.
• Leading a project of development PD models for FI and Small Cap.
• Developing methodology for EC of securitization tranches.
• Advising in the project for estimating Reg. Cap. for specific risk (BISII)
• Advising in the project RAROC calculator for financial markets
September 2000 – March 2007, Amsterdam, The Netherlands, ING Group, Senior Portfolio Modeling Analyst
Development, implementation and maintaining ING Group portfolio models and loan/credit derivatives pricing tools:
• Developing internal credit portfolio model similar to MKMV PM.
• Modeling and implementation of different EC measures and allocation schemes
• Developing models for aggregated Credit and Transfer risks
• Modeling corporate defaults and default correlation.
• Take part in designing and supporting of the Risk Adjusted Pricing System for credit risky transactions based on the RAROC methodology.
• Modeling support to the Credit Portfolio Group in the area of Portfolio Optimization. Performance measurement of securitization deals (CDS/CDO).
• Take part at the project to model Transfer Risk of the ING Credit portfolio.
• Develop macroeconomic stress scenarios and perform scenario analysis of the credit portfolio.
• Perform consultancy job at ING IGA (Institutional and Government Advisory) in the area of Credit Risk, Rating models and RAROC based pricing as a part of EU project "Bank Sector reform for Ukraine" in Ukraine for five regional banks there.
• Gave a short course at the University of Twente and the University of Nijenrode in Credit Risk Management
John Winter (London and Amsterdam)
John Winter is a Senior Vice President at Algorithmics OpVantage division which he joined in February 2005. Previously he worked for Raft International, where he was responsible for the development of the Radar Operational Risk product, and several client implementation projects. Prior to joining Raft, John worked for NatWest Global Financial Markets as a senior project manager, working on their global communications infrastructure and their business contingency planning process. He has 25 years of experience, from software development through to complex project management. He qualified from Cambridge University with an MA (Hons) in Mathematics in 1982.
Jonathan York (New York and Chicago)
Jonathan York is the Vice President of Technology and Development at BancWare ERisk, a division of SunGard specializing in risk and capital management systems for financial institutions. He is responsible for managing technology strategy and operations, including developing BancWare ERisk’s software product line, managing the technology consulting business, and providing the technology infrastructure for the organization.Prior to joining BancWare ERisk, Mr. York was a Risk Consultant at IBM where he was one of the leading professional technology experts in the EMEA Risk Management Practice.While at IBM, Mr. York designed and implemented technology solutions for large, international financial institutions to help them measure and manage their risk and identify optimal technology strategies.Mr. York received his B.A. with Second Class Honors in Physics from the University of Oxford (UK).
By becoming a GARP member you become part of a global community of financial risk professionals. 
