Energyforum
Economic Capital Allocation for the Energy Industry
Berlin
DAY 1
09.00 Start
MORNING SESSION; Mohan Bhatia, Vice President and Managing Principal of Risk and Compliance Practice at Oracle Financial Services Consulting.
The theory behind Economic Capital Allocation
- How does it work?
- Volatility, VaR
- Correlation
- Confidence level
- Why is it important?
- Learnings from Banking and Insurance organisations
- Types of risks
Coffee break
- How can an organisation benefit from it?
- Case study regulatory instructions in BFSI
- SoX compliance
Lunch
AFTERNOON SESSION; Mohan Bhatia, Vice President and Managing Principal of Risk and Compliance Practice at Oracle Financial Services Consulting.
The implementation process of Economic Capital Allocation
This part will look at the Implementation process of Economic Capital Allocation from a corporate level and down to the business units and will also take a look at the implementation process at in a business unit.
- Counterparty Risk
- Credit Ratings
- Process
- Quantification
- Mitigation
- Country Risk
- Market Risk
- Definition, Forecasting and process
(Basis Risk, Price Risk)
- Quantification of Market Risk and Economic Capital
- Mitigation
- FX and Interest Rate risks
Coffee break
- Operational Risk
- Business processes
- Trading Processes
- Legal risks
- IT systems
- People failure
- External events
- Computation of Economic Capital
-
Integrating Operational Risk with SoX and Compliance
17.00 End
DAY 2
09.00 Start
MORNING SESSION; Ms. Gill Graham, Director of Risk Management, Nuon Energy and Mr. Paul Stefiszyn, Manager Risk Development, Nuon Energy
Economic Capital Measurement and Allocation: Translating Theory to Practice
Recognising the need
- What benefits does it bring to the organization?
- Decision support tool for project approval, hedging decisions, etc.
- Performance measurement tool
- Enterprise steering tool - raising awareness of risk hotspots
- Capital sufficiency – Basel II
- Who are the users?
- Decision makers from the Board down
- Anyone who makes choices!
- How to get buy-in?
- Creating understanding and belief
- Finding quick wins to demonstrate value
Coffee break
Practical issues and implementation
What are the standard metrics for quantifying market and credit risk?
How to quantify operational risk?
- The case for honesty
- Identifying and logging operational events
- Establishing consistency across the organization
- Impact of event
- Root cause
- Mitigation going forward
- From data to information
- Estimating likelihood and impact for the future
- A single metric for operational risk
What’s the recipe for the finished product?
- Two scoops of market risk, a pinch of credit risk, half a pint of operational risk, and stir …
Lunch
AFTERNOON SESSION; Mohan Bhatia, Vice President and Managing Principal of Risk and Compliance Practice at Oracle Financial Services Consulting.
Case study on Economic Capital Allocation. Further information TBA
Coffee break
Case study on Economic Capital Allocation. Further information TBA
16.30 End
