Risk Management of Financial Institutions
Seminar conducted by Prof. Ian Giddy
at Sogang University School of Business
Seoul, October 2001

Ian H. Giddy is a professor of finance at New York University's Stern School of Business. During the past 25-odd years, Dr. Giddy has taught numerous short courses and workshops at many of the world's leading financial institutions, corporations, universities and government agencies. These include Citibank, Bank of America, Chase Manhattan Bank, JP Morgan, Price Waterhouse, U.S. Treasury Department, Comptroller of the Currency, Shearman & Sterling, USICA, Manufacturers Hanover Trust, Claremont Economics Institute, Barclays Bank, Credit Suisse, First Boston, Deutsche Bank, HypoVereinsbank, Swiss Bank Corporation, General Electric, Bank of Boston, Morgan Stanley, Drexel Burnham Lambert, IBM, Yamaichi Securities, Grupo Espirito Santo, Royal Bank of Canada, Chemical Bank, Reeves Industries, Bouygues, PDVSA (Venezuela), UNISA (South Africa), The World Bank, International Monetary Fund, Republic of Turkey Ministry of Finance, Prudential Securities, Banco Santander, Reserve Bank of India, Bank Negara Indonesia, Bank Utama Malaysia, Institute of Bankers of Malaysia, Singapore Institute of Management, Korea Institute of Finance, Samsung Life, Deloitte & Touche, Nordic Investment Bank, AC Nielsen, Development Bank of Singapore, ASIA Ltd., and many others.

He has lectured in Bangladesh, Belgium, Brazil, Canada, Chile, Estonia, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Italy, Japan, Korea, Latvia, Lebanon, Lithuania, Malaysia, Mexico, the Netherlands, the Peoples Republic of China, Peru, The Philippines, Portugal, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Turkey, the United Kingdom and Venezuela.


Risk Management of Financial Institutions

Professor Ian Giddy

Stern School of Business

New York University

Monday, October 8

Morning Session

Credit Risk Management: The Capital Markets Approach

Many banks in emerging economies such as Korea have shifted in recent years away from “policy lending” and towards rigorous standards of credit risk analysis including credit scoring. The Basel II requirements will reinforce this. On the other hand, these methods will prove inadequate to meet the rising challenge: that of evaluating and pricing credit risk so that loans and other assets can be sold, traded and securitized.
  • Credit Risk versus Market Risk
  • Basel II and Ratings
  • Determinants of ratings
  • Link of Ratings to Pricing of Risk Spreads
  • The Options Approach to Risk Spreads
  • The Influence of Loan Securitization (CLOs) on Credit Risk Pricing
  • Pricing Credit Risk for the Capital Market: Opportunities for Korean Banks


Afternoon Session

Market Risk Management: The Economic Exposure Approach

Financial institutions around the world have made substantial progress towards adopting consistent, mark-to-market-based methods of market risk control. However even the most sophisticated value-at-risk methods are insufficient to capture the economic and competitive exposure to currency and other market fluctuations of the bank’s corporate clients. The best banks understand their clients economic exposure and design financial products to manage the risks.
  • Market Risk and Value-at-Risk Measurement
  • Method of Value at Risk for Banks
  • Limitations of Value at Risk
  • Corporate Risk Measurement
  • Insights into Economic Exposure
  • Corporate Client Exposure: Implications for Lending
  • Corporate Client Exposure: Implications for Derivatives
  • Exposure Management: Opportunities for Korean Banks

Tuesday, October 9

Keynote talk: “Risk Management of Financial Institutions”

Prof Ian Giddy

Theme: “Financial Institution Risk Management: The Impact of Securitization”

The rise of the asset-backed securities market in recent years has allowed banks in Korea and elsewhere to free up their capital by packaging and selling loan portfolios. This alters the criteria for lending by forcing financial institutions to meet the market’s standards for loan quality and sufficient pricing for risk. It also reduces banks’ funding mismatch. On the other hand it offers great challenges that must be faced if banks in emerging economies are to meet world standards of competition in financial services.

Panel Discussion: “Risk Management of Korean Financial Institutions”

Panel members:

Wilfred Horie (President & CEO, Korea First Bank)

Dominic Barton (Managing Director-Korea, McKinsey)

James Rooney (Vice Chairman, Deloitte)

H.S. Choi (Vice President, Korea Institute of Finance).

Related websites:

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Go to Giddy's Web Portal • Contact Ian Giddy at ian.giddy@giddyonline.com