May 05, 2011

Aptivaa successfully conducted a workshop on Market Risk Modeling and Validation on the 3rd and 4th of May, 2011 in Kuala Lumpur. Organized by Coreventus, the workshop dealt with risk computation, market risk models, identification of appropriate models for risk computation and effective methods to analyze the portfolio along with the appropriate methods to apply.

Coreventus is a key strategic business intelligence and information provider and value-adds to both local and global organizations. Based out of Malaysia, Coreventus is in the business of empowering and equipping enterprises through their exclusive business seminars, conferences and workshops.

The agenda of the workshop included discussions on key components of market risk management, implementation of Basel recommendations, comparisons of current mathematical frameworks, analysis of the various methods for market risk assessment and techniques to categorize the validation methods and apply stress tests.

The benefits and challenges of IMA implementation were also discussed during the workshop. As per IMA, banks can use internal models to compute general market risk under certain conditions specified in Basel II guidelines. Regulatory capital calculations according to IMA regulations are considered to be highly risk sensitive (relative to the Standardized Approach) and aligns the capital charge for market risk closely to the actual losses likely to be incurred by banks due to movements in market variables.

The workshop helped participants gain comprehensive understanding of models for VaR computation and model validation techniques, and measuring the performance of market risk assessment techniques. The workshop was attended by senior representatives of risk management, internal audit, risk modeling, validation and valuation departments.