• Key Ideas and Methods of Risk Based Supervision
• 28 min
  1. Effective implementation of risk/principles based approach in a supervisory authority

  • Mr. Thomas Huertas
• 53 min
  2. Market discipline in financial regulation

  • Prof. Mark Flannery
• Risk Based Supervision Process
• 52 min
  3. Supervisory review process under Basel II

  • Dr. Jukka Vesala
• 38 min
  4. Supervisory cooperation in Europe from a banking perspective

  • Prof. Freddy Van den Spiegel
• The Evaluation of the Models and Internal Methods used by Supervised Institutions
• 39 min
  5. Economic capital modeling: the UniCredit Group framework

  • Mr. Vittorio Maggiolini
  • Mr. Giuseppe Vulpes
• 45 min
  6. Supervisory evaluation of Pillar I and economic capital models

  • Dr. Thomas Dietz
• Financial Market Developments and Challenges for Risk Management and Supervision
• 67 min
  7. Lessons from the recent market turmoil for effective risk based supervision

  • Prof. Kern Alexander
• 28 min
  8. Trends in the European financial system and implications for supervision

  • Prof. Dirk Schoenmaker
• 63 min
  9. Effective risk based supervision: responding to the crisis

  • Mr. Helmut Bauer

Printable Handouts

PDF

Navigable Slide Index

1. Introduction
2. Overview
3. Index - Risk identification
4. Six quantifiable risks for economic capital
5. Other risks actively managed
6. Index - Risk measurement
7. Credit portfolio modelling: methodology
8. The aim and usage of credit portfolio modelling
9. Comparison between pillar 1 and pillar 2
10. Concentration risk - overview
11. Market risk for trading and banking book
12. Operational risk: internal AMA
13. Business risk: revenues and expense data
14. Real estate risk
15. Financial investment risk
16. Liquidity risk: a matter of time, not of capital
17. Reputational risk: a knock on effect on other risks
18. Validation of rating systems
19. Index - Risk aggregation
20. Risk aggregation
21. The steps of risk aggregation
22. Harmonization of risk measures
23. Approaches to risk aggregation
24. Variance covariance approach
25. Index - Capital adequacy and Stress Testing
26. Economic and internal capital: financial resources
27. The cushion and the capital surplus
28. Cycle perspective on capital adequacy
29. Sensitivity analyses and stress tests
30. Single risk stress testing: credit risk stress test
31. Stress testing of aggregated economic capital
32. Assessing capital adequacy under stress

Topics Covered

• The type of risks considered in the UCG Economic Capital framework
• The internal models to measure the capital absorbed by the various risk types
• The procedure to yield an economic capital measure at group wide level (risk aggregation)
• The process to ensure that the UniCredit Group is sufficiently capitalized in all economic conditions

Links

Series:

• Effective Risk Based Supervision of Financial Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on August 30, 2009