WORKSHOP 2, October 21: How to create value from efficient risk management
Led by Bertrand Hassani, Head of Major Risk Management and Scenario Analysis, SANTANDER

8:30 Registration and breakfast

9:00 Risk Management: A support function

  • Building the risk profile
  • Appetite Vs Aversion
  • Efficient frontier
  • What is the expected loss

10:30 Morning coffee break

11:00 What is the right return? - Challenging the regulation

  • Revised pricing techniques
  • Regulatory Capital
  • Measuring the liquidity requirement
  • Impact on the ratios

12:30 Lunch

1:30 How to generate the right return? Using the right risk measures

  • VaR vs ES
  • Alternative: the Distortion
  • Dynamic approach
  • Do we capture the dependencies properly

3:00 Afternoon coffee break

3:30 A new culture

  • A fully integrated risk management
  • New organisation structure
  • A growth relay
  • A new risk universe

5:00 End of workshop


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