The practical management of risk in an investment bank

School of Statistics and Actuarial Science is hosting Gert Kruger, the Chief Risk Officer of the Rand Merchant Bank who will present a seminar entitled The practical management of transaction specific (idiosyncratic) risk in an investment bank.

Effective risk management is embedded in all critical decision making process throughout an investment bank. Portfolio risk models and approaches, such as Value at Risk and Credit Portfolio Models play an important role and are well documented in literature. There is less information available on how banks’ mitigate transaction specific (idiosyncratic) risk in practice.

This presentation focuses on the practice of risk management at a transaction level and specifically how risk management is intimately involved in the transactional process at an investment bank.

The presentation will have a practical focus, and cover the following:The application of risk management to specific complex transactions; Three recent case studies of transactions concluded will be used as a reference point being (A recent South African convertible bond transaction; A prominent African country financing programme of USD export receivables; and gold transactional business between South African and India); The role players within the bank involved in these types of deals, as well as the role that risk management plays will be highlighted; Idiosyncratic risks that arise from these transaction types will be highlighted, as well as the interrelated nature of risks; and risk mitigation used by banks for idiosyncratic risks will be discussed.