Category Archives: PRMIA

Webinar : Quantifying Risk Appetite in Limit Setting, 11am ET, Nov 3, 2015

Quantifying Risk Appetite in Limit Setting

Date: Tuesday, November 3, 2015
Time: 8:00 am (San Francisco) / 11:00 am (New York) / 4:00 pm (London)

Moderator: Andy Condurache, Director of Research and Publications

Presenter: Dr. Amnon Levy, Managing Director of Portfolio and Balance Sheet Research is responsible for research and model development for Moody’s Analytics portfolio and balance sheet models. Dr. Levy has led several research initiatives, including modeling credit portfolio risk, integrated models for balance sheet management and liquidity risk.

Risk appetite is a concept that many firms have trouble quantifying and incorporating into their management activity. In addition to prudent business practices, there are very specific capital requirements around having a clear statement of risk appetite and incorporating it into business decision making.

Webinar Highlights:

  • Overview of a number of approaches for setting risk- and macro scenario-based limits to quantify a risk appetite statement
  • How risk-based limits with risk-based metrics align with an organization’s risk appetite
  • Business applications and best practices for setting limits

Register Today

Webinar : Are You Ready for Solvency II?, Sept 3, 2PM BST

Are You Ready for Solvency II? State Street and the PRMIA discuss how to comply with Solvency II ahead of the fast-approaching January deadlines

Title: Are You Ready for Solvency II?

Date: Thursday, September 03, 2015

Time: 02:00 PM British Summer Time

Duration: 1 hour

Register now 

Please join State Street Corporation and the Professional Risk Managers’ International Association (PRMIA) to dig into the latest updates, challenges and solutions for Solvency II. Given how deadlines are fast-approaching, we will focus on how asset managers and insurers can comply with Solvency II. From deciding whether to outsource to confirming key filing dates, this webinar will provide key insight from a global service provider, large asset manager / insurer and a leading risk-focused industry association about how to best position yourselves for January 2016.


  • Mark McKeon, Global Head of Investment Analytics, State Street Global Exchange


  • Pierre-Yves Maurois, Board Member, Professional Risk Managers’ International Association
  • Alan Findlay, Head of Product Management EMEA, State Street Global Services
  • Roderick Fisher, Head of Risk Solutions and Reporting, State Street Global Exchange

Register now 


Webinar & Survey Report : Uncovering the Growing Need of Global Limits Management, Feb 24, 10am GMT

Uncovering the Growing Need of Global Limits Management: Profit from Limits

The latest PRMIA survey shows that a lot of work still has to be done to comply to the myriad of regulations that ask for better risk limits management oversight 

PRMIA and Misys are inviting you to a webinar with industry experts.
Moderated by David M. Rowe, Senior Strategist, Risk and Regulation, Misys, the panel will discuss:

  • How are limits currently informing banks risk appetite?
  • Have limits merely become more important for regulatory compliance or what are the real drivers
  • Which are the key challenges to achieve global limits?​
Register for the webinar
Date: February 24
Time: 10am GMT /11am CETDownload the full research report here

Survey highlights:

  • Only one-fifth of respondents say they have fully achieved what the survey shows to be the most important capability, the total firm-wide exposure to any one entity
  • Two-thirds of respondents believe the importance of global limits management has increased, which is mainly driven by regulatory compliance but also motivated by a need for more accurate and timely reporting
  • On average, banks can aggregate up to 58% of breaches and limits automatically


Join Us:  Tuesday, December 16, 2014
11am (EDT) 8am (PDT) 4pm (GMT) 12am (HKT)

Following the presentation, there will be an interactive question and answer period.

Register now


Register now to attend our upcoming webinar, Curves, Correlation, and Calibration: Advanced Structures and Hybrid Modeling, presented by Quantitative Lead, Jan Rosenzweig, and moderated by PRMIA’s Alex Voicu, Director of Education.

Hybrids and structured products have become a well-established asset class among retail and institutional investors alike, and they arise naturally in liability structures and asset-liability management. As the universe and complexity of hybrid and structured products continue to grow, an effective and future-proof modeling framework is necessary to price, structure, and risk manage these products and their exposures.

Jan will discuss important modeling considerations for pricing and risk management of hybrids and advanced structures including:

  • OIS curve implications for structured pricing and risk
  • Numeraire corrections for hybrid simulation
  • Cross-asset correlation calibration
  • Modeling exotic payoff structures

Following the presentation, there will be an interactive question and answer period.


Jan Rosenzweig, Quantitative Lead, FINCAD Client Services
Jan has spent the best part of last fifteen years working in the financial markets, as a quant, trader, structurer, portfolio manager and fund manager. He has worked for Credit Suisse, Rabobank, HSH Nordbank, IV Capital and Brancherose. He leads FINCAD’s Professional Services business in EMEA. Jan has a PhD from the University of Cambridge and a BSc from the University of Zagreb.

Webinar : Loan Level Stress Testing, Thursday, December 11, 2014 Time: 9:30 a.m. EST

Loan Level Stress Testing – A Unique Opportunity To Drive Value From Compliance? 

Date: Thursday, December 11, 2014
Time: 9:30 a.m. EST

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Over the last few years, Dodd-Frank Act macroeconomic stress tests have put increased regulatory pressure on U.S. banks with between $10 billion and $50 billion in assets. Many of these banks have already adopted portfolio level net charge-off approaches that are quick to implement and that address immediate regulatory concerns. However, regulatory feedback for the largest institutions indicates more sophisticated loan-level approaches are preferred; we can expect this preference to follow for smaller institutions as well.

The potential move to loan-level stress testing approaches provides banks with a unique opportunity to revisit best practices for loan-level risk assessment and data collection. How can existing credit risk rating systems be best used in a stress testing environment? This session will explore best practices for compatibility between loan-level risk assessment systems and stress testing, and the strategic value that can be gained from such an approach beyond regulatory compliance.

Joseph Montalbano, senior consultant, Ambit Risk and Performance, SunGard

Andy Condurache, Director of Exams and Publications, PRMIA


Moody’s Webinar : Private Firm C&I Credit Risk Solutions & Best Practices, 12th June, 830pm IST

Private Firm C&I Credit Risk Solutions & Best Practices

Date: Thursday, June 12, 2014
Time: 8:00 AM PDT / 11:00 AM EDT

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How do you measure the credit risk of private firms? Do you have an internal rating system? How do you benchmark to ensure consistency of credit evaluation in your global operations?

Private firm risk measurement is essential in assessing the risk of direct exposures as well as counterparty risk associated with business transactions. Many risk practitioners face the challenge of building, validating, and integrating credit analytics into their internal models and stress-testing platforms. Streamlining the flow allows firms to focus less on process and more on risk analysis.

Join Moody’s Analytics for a complimentary webinar with private firm C&I credit risk experts, Christian Henkel, Director, Risk Consulting and Mehna Raissi, Director, Product Management to discuss the following topics:

  • Overview of C&I credit risk management challenges
  • Data management and credit risks solutions  that address the needs of risk managers
  • Private firm stress testing model & approach

Webinar : Commercial Real Estate (CRE) Credit Risk Solutions & Best Practices, 3rd June 2014, 11am ET

How do you measure the credit risk of new commercial mortgages during the loan origination process? Are you currently monitoring and managing risk involving your commercial real estate (CRE) portfolio?

Institutions are faced with increasing requirements to quantify risk in their CRE portfolios. These requirements come from shareholders seeking to maximize their risk adjusted return and from the regulators requiring adequate capital reserve levels. Developing accurate default and recovery models for CRE mortgage portfolios is a significant challenge due to data limitations and constraints on internal resources.

Join Moody’s Analytics for a complimentary webinar with commercial real estate credit risk experts, Christian Henkel, Director, Risk Consulting and Sumit Grover, Associate Director, CRE Product Management to discuss the following topics:
• Overview of CRE credit risk management challenges
• Data Management & Credit Risk solutions that address the needs of this asset class
• CRE Stress Testing Model & Approach

PRMIA Webinar : FX Risk – Hedging and Accounting, Nov 19, 630pm IST

Presented by: 

David Wilson, Treasury Project Management Expert
Professor Moorad Choudhry, Dept. of Mathematical Sciences Brunel UniversityAndy Stalmanis,  Director of Market & Liquidity Risk, TSB Bank

Moderated by: Alex Voicu, Director of Education, PRMIA
This webinar will be hosted in collaboration with the Association of Corporate Treasurers.
 Tuesday, November 19, 2013 at 9am US Eastern Time/ 2 pm GMT/630pm IST


Registration link :

In this webinar we will discuss:

  • Effective FX risk hedging framework: components of best practice
  • The optimum hedge structure: which instrument? what tenor?
  • Hedging: removing uncertainty, not speculation
  • Fee: Please enjoy this complimentary webinar.


About the Presenters:

David Wilson, Treasury Project Management Expert
David has been a Corporate Treasurer since 1985, after qualifying as a Chartered Accountant: the MCT qualification followed in 1989. He was with National Power Plc, the electricity generator, as Treasury Manager and Group Treasurer from privatisation in 1990 until its Demerger in 2000. Since then, David has undertaken a variety of interim roles at companies including the London Underground PPP, Invensys, Boots, Cable & Wireless, EMAP, John Lewis and D S Smith.
Professor Moorad Choudhry,Department of Mathematical Sciences, Brunel University
Moorad is Visiting Professor at the Department of Mathematical Sciences, Brunel University and author of The Principles of Banking (John Wiley 2012).
Andy Stalmanis,  Director of Market & Liquidity Risk, TSB Bank