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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Effective Measurement and Use of Economic Capital

With a focus on risk-adjusted performance management

22-23 May 2014
London, United Kingdom

Why You Should Attend

Effective Measurement and Use of Economic Capital

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

“Essential insights to establish an economic capital framework that provides tangible benefits in today’s

challenging environment”

How will you benefit?

Economic capital has taken an important place in the management of financial institutions, and is typically used for multiple purposes; to assess how much capital is needed to support the institutions risk profile, as the basis for risk-adjusted performance measurement, and for active portfolio management. The development of economic capital frameworks has led to improved insights into the firm-wide risk profile of financial institutions, as well as the balance between risk and return.

Experience with the use of economic capital during the past decade has highlighted several challenges with economic capital models. Moreover, in the aftermath of the financial crisis, regulatory capital rules have been expanded and capital requirements increased, as a result of which many banks have shifted their focus from managing economic capital to regulatory capital. At the same time, banks’ financial performance has deteriorated. Against this background, bank managers and risk practitioners wrestle with the question of how to optimize and maintain sustainable performance while containing risks,

This interactive two-day course will lead delegates step by step through the main building blocks of an effective economic capital framework, the important modelling choices and assumptions to consider, and how each of these may depend on the intended use of economic capital. With a focus on performance management, the course will discuss important issues that practitioners are likely to encounter, for example;

· What are key value drivers for risk-based bank performance?

· How to optimize shareholder value under constraints of regulatory capital and internal risk appetite?

· How to determine hurdle rates for businesses and investments?

· What are the lessons from behavioral finance?

The topics covered will be made tangible though various case studies and exercises

About your expert trainers:

Idzard van Eeghen and Pieter Klaassen both have more than 10 years experience with the measurement, implementation and use of economic capital. They co-authored the book “Economic Capital: How it Works and What Every Manager Needs to Know” that was published by Elsevier in 2009.

Pieter Klaassen is Managing Director in Firm-Wide Risk Control & Methodology at UBS A.G, where he has led the development of the banks economic capital methodology and framework, and contributed to its application to performance measurement and capital adequacy assessment. He is currently responsible for maintenance and further development of the risk appetite framework at UBS, the oversight of and reporting on strategic equity investments, and coordination of the risk assessment of the annual business plan.

Before joining UBS in 2008 he worked for 10 years at ABN Amro N.V as Head of Enterprise Risk Modeling with responsibility for the banks counterparty credit and economic capital models. Until 1998, Pieter worked at Rabobank International as Head of Derivatives Research. He held a part time appointment at Vrije Universiteit in Amsterdam, and (co)authored various articles on asset-liability management and credit risk modelling. Pieter holds a Ph.D degree in operations research from the MIT Sloan School of Management, and a Masters degree in Econometrics from Erasmus University.

Idzard van Eeghen is the Programme Business Lead of the RBS group-wide Economic Capital (EC) initiative. The initiative includes model development and the embedding of EC in business processes. Next to this role, Idzard also heads the RBS N.V Risk office. The Risk Office is responsible for oversight of Credit, Market and Operational Risk and Compliance of RBS N.V, a subsidiary of RBS Group Plc.

Prior to joining RBS in 2010 Idzard worked in various positions for ABN Amro Bank including Head of Integrated Risk Management, Head of Credit Rating Development, Vice-President of Structured Finance and Senior Relationship Manager. As Head of Integrated Risk Management, Idzard led the group wide implementation of an economic capital framework at ABN Amro.

Idzard holds a Masters degree in Economics from the University of Groningen and a Masters degree in Finance from Tilburg University.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

From Financial Institutions, Investment Banks, Private Banks, Retail Banks, Building Societies, Consultancy Groups and Solution Providers:

• Chief Risk Officers

Managers and analysts with responsibility for:

• Economic Capital

• Regulatory Capital(Basel II/Basel III

• Credit/Market/Operational Risk


• Capital Allocation

• Capital Products

• Treasury 

• Value and Capital Management

• Performance Management

• Planning, Control and Finance

Key Topics

  • Learn about the various applications of economic capital, and how they relate to its definition and measurement
  • Understand important choices and assumptions for an effective economic capital framework
  • Obtain insight in the main measurement approaches for risks included in economic capital, as well as their aggregation and allocation to businesses
  • Evaluate the main challenges for successful implementation of economic capital
  • Comprehend the role of economic capital to optimize the market value of the bank, and how to take account of regulatory capital requirements and internal risk appetite objectives

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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Safak Egemen Pippen

    11 Connaught Place
    W2 2ET

    +1 212 953 6870
    Fax: +61 (2)8088 6090
    Email: safake@global-fmi.com