GARP's Monthly NEWSLETTER June 2005 • Basel II Survey

GARP's Monthly NEWSLETTER

June 2005

• Basel II Survey: Opinions Wanted! • GARP Appoints New RDs in Four Locations • Coming Soon: GARP's Annual Asia-Pacific Convention • GARP Risk Review: May/June Issue Now Live • Upcoming Events: 2005 Training Courses and Panels • Career Center Adds More Enhancements • Letters to the Editor: Searching for GRR Feedback • Advertisements

GARP’s Online Basel II Survey

GARP's membership-driven survey on Basel II is now live at www.garp.com/survey. Please let us know your views: it will take no more than five minutes to complete.

The survey asks important questions about how prepared firms are in handling the new Basel accord, tackling key issues such as technology deployment, costs, measurement strategies and the impact of Basel II. The results of the survey – sponsored by SunGard –will be published in GARP's July newsletter. Individual responses will be kept confidential.

After you have completed this month's survey, you may want to take a look at the results of last year's Basel II survey www.garp.com/surveysandresearch/Response/Jan2004.asp). We are interested in the views of all risk management practitioners, so feel free to forward this email to your colleagues.

All registrants also have the opportunity to request a complimentary copy of SunGard’s Basel II CD.

We look forward to reading your opinions, and thank you in advance. Click here to participate: www.garp.com/survey.

GARP Names Regional Directors in Four Locations

GARP’s board of trustees has appointed new regional directors in Washington DC, Alberta (Canada), Spain and New Zealand.

Aurele M. Houngbedji, the former co-regional director of GARP’s Cleveland chapter, has been named RD in Washington DC. Houngbedji is currently working as a financial officer at the Washington DC-based Multilateral Investment Guarantee Agency (MIGA).

Farzan N. Nathoo, a quantitative specialist in the analytics group at TransCanada Corporation, received the RD designation for Alberta.

David Garcia Martin, the leader of the credit risk methodologies team at BBVA, has assumed the RD post in Spain.

Professor Alireza Tourani-Rad and Professor Ming-Hua Liu, meanwhile, have been appointed co-regional directors for New Zealand. Dr. Tourani-Rad is a professor of finance and discipline chair at Auckland University of Technology (AUT). Dr. Liu is an associate professor of finance at AUT.

GARP's Annual Asia-Pacific Convention: Brochure and Website Available this Month!

Hong Kong, October 26-27

Following the success of GARP's first Asia-Pacific Convention, GARP is pleased to announce the 2nd Asia Pacific Convention taking place on Hong Kong Island on October 26-27, 2005.

The GARP Annual Asia-Pacific Convention is rapidly establishing itself as the risk management industry’s most important meeting point for the region. Last year’s Convention reflected the key concerns of risk management experts including Basel II and banking regulation, international accounting standards, operational risk, credit risk and market risk. Keynote presentations, interactive panel discussions and three simultaneous streams focused on traditional pricing and risk management techniques.

With a distinguished speaker panel – including executive financial and risk professionals from investment banks, regulatory bodies, asset management firms, academics, insurers/re-insurers, energy and corporate markets and system providers – this was the financial risk management event of the year for Asia in 2004. Just as it will be this year!

The 2005 Convention will feature three tracks over two days, including keynote presentations by:

• William Ryback, Deputy Chief Executive (Banking), Hong Kong Monetary Authority • Stuart Gulliver, Chief Executive and Co-Head, Corporate, Investment Banking and Markets, HSBC Holdings • Alexa Lam, Executive Director, Head of Intermediaries and Investment Products, Hong Kong Securities and Future Commission • Bart Broadman, former Vice Chairman and Head of Asia Pacific, JPMorganChase • Bill Martin, Group Risk Executive, Bank of America, and Head of Risk Management, Columbia Management Group • Dr. Mark Konyn, CEO, Allianz Global Investors Hong Kong

In addition, there will be THREE separately bookable workshops:

Tuesday, October 25: Workshop A: Effective Liquidity Risk Measurement and Management led by Deutsche Bank

Workshop B: Economic Capital for Financial Institutions

Workshop C: Practical Aspects of Measuring and Managing Derivatives Credit Risk led by Bank of America

If you would like to find out more about sponsorship and exhibition opportunities, please email Andreas at [email protected]. Opportunities are limited and strictly on a first come, first serve basis.

To pre-order an advance brochure, please visit http://www.garp.com/events/RequestInformation.asp?EventCodeReq=10.

May/June Issue of GRR Now Live

The latest issue of GARP Risk Review has gone live on GARP’s website (www.garp.com). This issue features an array of interesting and insightful articles, ranging from an analysis of the banking crisis in China to an examination of the risk roots of recent hedge fund scandals to a discussion about the latest risk management hiring trends. For a free sneak peek at the May/June issue of GRR, click on one of the links below.

Alternative Assets

Measuring the risks of alternative assets - complex products that are often illiquid and opaque - can be an exasperating task for risk managers. The mainstream risk metrics for these products are unsatisfactory and standard methods for evaluating traded assets fail when applied to these instruments. However, there is hope. Dr. Susan Woodward offers a plan for effectively estimating alternative assets risk. Visit http://www.garp.com/garpriskreview/download/Issue24/AltAssets.pdf

Enterprise Risk Management

COSO has created a new framework for enterprise risk management in an effort to incent firms to deploy integrated, comprehensive risk management infrastructures. Harvey Sonnenberg, Michael Miller and Arnold Schanfield offer tips for implementing ERM. Visit http://www.garp.com/garpriskreview/download/Issue24/ERM.pdf

Risk Careers

There is a growing demand for credit risk professionals with hedge funds expertise and market risk managers with structured products knowledge in the global risk management community. What's driving these trends? Adrian Marples and Jelena Vojvodic identify the most sought-after risk skills and analyze the hottest job sectors. Visit http://www.garp.com/garpriskreview/download/Issue24/RiskCareers.pd

GARP’s Upcoming Events: Mark Your Calendars!

In line with GARP’s mission to advance the risk management profession, we are rolling out a program of intensive one- and two-day training courses. Enhance your credentials and broaden your experience.

Below is a list of some of the events planned for early 2005. If you would like to be considered as a course provider or have ideas for future training courses, please contact Andreas Simou at [email protected]. If there is no website available, please email [email protected] or for further information visit www.garp.com/events.

The list of GARP events planned for early 2005 include the following:

Liquidity Risk Management Masterclass Essential practices and the latest tools and techniques for effectively managing liquidity risk

June 15-16, New York (Jersey City) www.garp.com/events/liquidityrisk

Led by top practitioners, this intensive and interactive two-day training course focuses on key questions and issues facing the area of liquidity risk management.

Hear from principal session leaders, including: - Oliver Gleich, Head of ALM Americas, West LB - Francois Tremblay, Head of Liquidity Management, RBC Financial Group - Leonard Matz, Managing Director, Kamakura Corporation - Craig Marchbanks, Supervisory Financial Analyst, Board of Governors of the Federal Reserve System - Annaliese Schwyter, Managing Director, Group Treasury, UBS

The course will include detailed tools and techniques to measure and manage liquidity risk effectively within your financial institution, and extended sessions will allow delegates greater opportunity to explore and analyse strategic subjects in detail.

Remember, places are limited, so book today to avoid disappointment! Just FIVE seat left!

For further information about the course, please contact [email protected] or to register online, visit the event website at www.garp.com/events/liquidityrisk

Quantitative Measurement & Risk Management Demystifying models for statistical risk measurement of market, credit and operational risk and their practical implementation

July 6-7, 2005 – London July 13-14, 2005 – New York (Jersey City)

Detailed and interactive sessions throughout this two-day course will provide practical examples and case studies addressing key issues, such as:

Risk measurement and key statistical techniques Understanding the concept of VaR Applying loss distribution techniques and VaR to measuring market risk Employing specific methods of calculating loss distribution to measure credit risk Building an approach to measuring loss distribution for operational risk Applying quantitative techniques to calculate overall economic capital allocation Reviewing the progress in ERM

Hear from expert course leaders, including: Cormac Butler, author of the bestselling book, Mastering Value at Risk Victor Makarov, Head of Market Risk Americas, Rabobank Hari Krishnan, Executive Director, Morgan Stanley Michael Pykhtin, VP Risk Management, KeyCorp Stan Uryasev, Director of Risk Management and Financial Engineering Lab, University of Florida

For full program and speaker information and online registration, visit www.garp.com/events/qrm

Economic Capital Road Show A series of practical workshops examining the latest tools, techniques and best practices surrounding economic capital allocation within a financial institution

New York (Jersey City), Sept. 26th& 27th London, October 6th& 7th Hong Kong, October 25th Frankfurt, November 9th & 10th Chicago, December 1st & 2nd

Run over three months across Europe, North America and Asia, the Economic Capital Road Show will assess the strategic uses for economic capital and will also explore in detail the challenges faced in credit, operational, market and business risk.

Hear from leading industry practitioners from around the world:

• Michel Araten, Managing Director, Global Credit Risk Management, JPMorganChase • Max Bezard, Head of Group Capital Management, BNP Paribas • Aaron Brown, Head of Credit Risk Architecture, Morgan Stanley • Eugen Buck, Managing Director, Rabobank • Colin Burke, Head of Credit Modelling, HBOS Treasury Services • Oliver Ewald, Head of Strategic Risk Control, Director, Dresdner Bank • Sebastian Fritz-Morgenthal, Head Market Risk Management, WestLB • Markus Linss, Head of Economic Capital Modelling, Commerzbank • Wilfried Paus, Co-Head of Risk Analytics & Instruments, Deutsche Bank • Dominic Wu, Head of Operations Risk and Control, ABN Amro

…………..plus many more

To order an advance brochure, which will be ready by mid-June, please contact Paula at [email protected]

Plus: Take advantage of our fantastic *group booking discounts! Register three delegates from the same company and receive 50% off the third place! Or, register five delegates and pay for only four!

*These discounts apply to the lowest priced place for any or a combination of locations but must be claimed at the time of registration and cannot be made retrospectively.

For group bookings or for further information, email [email protected]

Effective Interest Rate Risk Management Examining valuable methodologies for measuring interest rate risk and managing its impact in the trading and banking book

London: October 20th & 21st, 2005

An extensive and interactive course led by:

Sharon Sasson Head of Analytics and Information Barclays Bank

This detailed and interactive training course is designed specifically for those with a beginner-to-intermediate level knowledge and addresses key topics, including:

• Identification and measurement of interest rate risk • Yield curve analysis • Management of interest rate risk through key financial instruments

For full program details and to register for this event, visit www.garp.com/events/irrlondon

About the course leader: Sharon is responsible for running an expert quantitative group that assists the business in the pricing and hedging of all types of market risk within the retail product set. Sharon’s mandate involves: Pricing and managing optionality within all retail products. This is done using exotic options such as Bermudan swaptions and other interest rate derivatives. Ensuring accurate and timely data is available for the hedging of retail market risk across all portfolio. Leading the development of techniques/models for managing optionality Assisting in the structuring, pricing and hedging of new product proposals Providing back up transaction hedge expertise, where necessary

For further information about the course, email [email protected]

Career Center Evolves and Improves

With new job openings being posted daily, GARP’s Career Center also offers a valuable resume posting service to individual GARP members. To date, we have over 2000 resumes posted, and more than 250 international employers have registered to use the Center. If you would like to post your resume, http://careers.garp.com/search.cfm.

Career-related articles are also being added to the Career Resources section, and following the great success of the Career Night in Toronto, GARP is currently planning to hold similar events in New York, Chicago, London and Hong Kong in the coming months. More information will be available soon.

We want to continue developing the Career Center for members, so we welcome any suggestions or comments. If you have any ideas for enhancing our Career Center, please email Rebecca Pieri at [email protected].

GRR Welcomes Letters to the Editor

In the interests of our members, GARP is constantly searching for ways to improve the editorial content and design of GARP Risk Review. One surefire way for us to make enhancements to GRR is to hear feedback from you, the loyal GARP members who comprise the magazine’s readership. In fact, the more we hear from you, the better we will be able to deliver insightful, thought-provoking articles that can help you address all of your risk measurement and risk management challenges.

Therefore, if you have comments about any stories you have read in a recent issue of GRR, we’d like to hear from you. Please email your feedback to GRR editor-in-chief Robert Sales at [email protected]. In every future issue of the magazine, GRR will publish the best of your letters.

We look forward to reading your correspondence.