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Derivatives: Accounting and Risk Management (including Hedge Accounting)
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Derivatives: Accounting and Risk Management (including Hedge Accounting)
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    27 – 28 June 2018

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School

    SIDC CPE

    10

    CPE Points
    Many banks use financial derivatives to manage their risks, reflect their trading and investment view or service their client’s hedging requirements. However, when not understood and managed properly, derivatives could expose the bank to unintended risks.

    This is an intermediate programme on financial derivatives which provides participants from different departments (financial markets, treasury, internal audit, compliance, accounting and risk management) with specific focus on accounting and risk management of derivative transactions. It will also discuss derivative accounting rules under IAS 39 and IFRS 9.
    LEARNING LEVEL
    Intermediate
    PROGRAMME FEE*

    AICB MEMBER

    MYR

    2,500

    / PAX

    NON-MEMBER

    MYR

    3,000

    / PAX

    *inclusive of GST
  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:
    • Discuss the mechanics and features of basic financial derivatives (forwards, swaps and options)
    • Explain the market risk implications of derivative transactions including tools used to assess and evaluate market risks from derivatives
    • Describe the credit risk implications of derivative transactions including tools and litigants used to manage credit risks from derivatives
    • Understand the sources and effects of liquidity risks in derivative transactions
    • Describe the operational risk implications of derivative transactions
    • Describe the common documentation used in derivative transactions
    • Understand how derivatives impact the bank’s financial statements under IAS 39
    • Discuss hedge accounting rules under IAS 39
    • Understand how changes in IFRS 9 will impact derivatives accounting in the future
    • Enumerate control and audit issues with respect to financial derivative activities
    PROGRAMME OUTLINE
    Mechanics of Derivatives
    • What are derivatives
    • History of derivatives
    • Different types of derivatives (forwards, swaps and options)
    • Mechanics of Forwards
    • Mechanics of Swaps
    • Mechanics of Options

    Market Risk
    • The nature of market risk in derivative activities
    • How derivatives are marked-to-market
    • Notional exposure
    • Risk sensitivity tools for derivatives
    • Value-at-Risk (VAR)
    • The need for stress testing for derivative transactions

    Counterparty Credit Risk
    • The nature of counterparty credit risk in derivative activities
    • Pre-settlement risk
    • Wrong-way vs. right-way risk
    • The default process
    • Credit risk litigants
    • ISDA Master Agreement
    • Credit Support Annex
    • CVA and DVA: The Big Picture

    Liquidity Risk
    • The nature of liquidity risk in derivative activities
    • The impact of funding on derivative transactions
    • Funding Value Adjustment: The Big Picture

    Operational Risk
    • The nature of operational risk in derivative activities

    Derivatives Accounting Framework Under IAS 39
    • Introduction to IAS 39
    • History of Derivatives Accounting
    • Accounting for Basic Derivatives

    Hedge Accounting Rules Under IAS 39
    • The importance of Hedge Accounting
    • Hedged items and hedging instruments
    • Hedge Accounting in a nutshell
    • How Hedge Accounting impacts the balance sheet
    • Hedge Effectiveness Testing: prospective and retrospective
    • Hedge Documentation

    Internal Control and Audit Considerations
    • Internal control in Derivative activities
    • Key risk considerations in auditing Derivative activities
    • Basel II/III and Derivatives

    The Future of Derivatives
  • Methodology

    Lecture, case studies and practical spreadsheet exercises

  • Participant Profile
    Bank staff in trading, sales, internal audit, compliance, market risk management, credit risk management, finance, accounting and corporate banking
  • Trainer

    Philip Te

    Philip Te is known for his down-to-earth approach in teaching complex topics such as derivatives and risk management. He has conducted over fifty classes on financial derivatives (including derivatives accounting under IAS 39) for different banks, banking associations, insurance companies, corporations and educational institutions.

    He is currently Vice President for a Client Solutions Group at a global commercial bank where he is involved in designing and structuring derivative solutions for corporate and insurance companies. Prior to this, he was with a commercial bank heading their financial engineering and structured products department. He has also worked at the Ernst & Young Financial Services Risk Management group where he handled multiple derivative audit support engagements. 
    Philip is a Chartered Financial Analyst (CFA) and a certified Financial Risk Manager (FRM). He is the author of the two-volume book on bank risk management published by Oxford University Press and the Asian Institute of Chartered Bankers.

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