Components of Managing Economic Capital

Thursday 29 October 2009

Course leader: Dr. Aurele M. Houngbedji, Risk Management Officer at the International Finance Corporation (IFC), a member of the World Bank Group in Washington DC

08:30 Registration and coffee

09:00 Measuring Economic Capital (EC)

 Concept of EC
 Risk Types, Risk Metrics and Risk Appetite
 EC Aggregation
 EC Allocation
 Introduction to EC Stress Testing

10:30 Morning break

11:00 Economic Capital (EC) and Regulatory Capital (RC)

 The Supervisor’s Perspective
 EC vs. RC
 Internal Capital Adequacy
 Advanced in Regulations

12:30 Lunch

13:30 Economic Capital and Risk-Based Decision Making (extended session)

 Valued Based Management
 Risk Based Pricing
 Strategic Capital Management
 EC based Risk management policies settings

16:30 End of seminar

About the course leader:

Dr. Aurele M. Houngbedji is a Risk Management Officer at the International Finance Corporation (IFC), a member of the World Bank Group in Washington DC. He is responsible for developing new methodologies for modeling Economic Capital (EC) and its applications for strategic business decision making, risk management; exposure risk limits setting, and capital allocations for IFC loans and equity portfolio.

Prior to joining the World Bank Group in January 2005, Dr. Houngbedji 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, delinquency analysis models, valuation models for the bank’s loans, servicing assets, and other hedging instruments and assets.

His research interests include credit risk modeling and credit portfolio management, economic capital modeling and management, Monte Carlo simulation methods, Mortgage Backed Securities (MBS) risk management and pricing financial derivatives.

Dr. Houngbedji is an industry expert and professional lecturer of risk management. He is an adjunct professor of risk management, quantitative finance, in the McDonough School of Business at Georgetown University, and Risk Management Executive Development Program at the George Washington University.

Dr. Houngbedji holds a Ph.D in Mathematical Finance from the University of Pittsburgh; he is a certified financial risk manager from both the Global Association of Risk Professionals (GARP) and the Professional Risk Managers’ International Association (PRMIA).
Dr. Houngbedji is a Charter Member of Risk Who’s Who since February 2009.
Dr. Houngbedji is the regional director for the GARP Washington DC Chapter.