Risk Management with a view to the new BIS Regulations

Overview

This seminar covered recent topics related to risk management, the circumstances surrounding the new BIS regulations (Basel II), the way banking operations should be conducted in 2006, and various DCF methods, as well as constructive feedback on them. The distributed documents were made on the assumption that readers knew the details of the BIS regulations. For information on the current BIS regulations proposal, please refer to the document on the Basel Committee on Banking Supervision's QIS3 or the Bank of Japan web site.

We hope that addressing risk management will be of help to managers at financial institutions and provide a realistic means of dealing with BIS regulations.

Obtaining copies of the documents

The original document is 36 pages (A4 size). To obtain copies of this document, please contact Numerical Technologies via e-mail.

Table of Contents

Circumstances surrounding the new BIS regulations (Basel II) 1.1 Overview of the new BIS regulation 1.2 Time schedule for introducing the BIS regulation 1.3 Changes to risk measurement 1.4 Credit risk: First point in the review of the second proposal and onward 1.5 Credit risk: Second point in the review of the second proposal and onward 1.6 What needs to be done in the end? 2006: Trip to Japan 2.1 November 2002: The structure surrounding the Takenaka proposal 2.2 Bank management depends on the government's decisions 2.3 Maintaining current status versus implementing structural reform 2.4 The switch to Plan B won't stop? 2.5 What the new BIS regulation implies is clear 2.6 BIS international standard banks 2.7 Domestic standard banks 2.8 Structural reform + new BIS regulation = this kind of world? 2.9 The Changing Life of a Banker

Credit Appraisal and the DCF method 3.1 What is the DCF method? 3.2 DCF method: categorization based on what is applicable 3.3 Application sample for the DCF method: Implementation and advanced application 3.4 The Financial Reconstruction Program and the DCF method 3.5 Calculating a fair price: interest rates on loans I 3.6 Calculating fair price: interest rates on loans II 3.7 DCF method under the assumption of direct financing 3.8 Constructive feedback on the DCF method Current State of Risk Management Methods 4.1 What Numerical Technologies has been doing 4.2 There is no talk of the BIS regulations weakening banks 4.3 Market VaR methods have stopped developing 4.4 Everyone is aware of the limits of VaR & EaR 4.5 Problems to overcome 4.6 ALM systems now under development