Executive Program - Integrated Risk Management

Executive Program – Integrated Risk Management

Facilitator: Carlos Laroze

Specialist in Integrated Risk Management in Chile’s Financial System

Business Administration professional with postgraduate studies in Statistics, with more than 15 years of successful experience in Banking and the Financial Sector, leading strategic areas such as Business Intelligence, Credit Risk & Portfolio Management, Management Control, Analytics, Regulatory Risk and Sustainable Finance.

Throughout his career he has played a key role in implementing IFRS 9 and Basel III at various financial institutions, as well as in developing advanced risk and credit management models. In recent years he has led multiple projects focused on integrating ESG factors into credit management, contributing to the evolution of sustainable practices within the financial sector.

He has solid experience in administering and managing high-volume credit portfolios, with an approach based on financial analysis, statistical modeling, data management and advanced analytics for strategic decision-making. He is also a member of GARP (Global Association of Risk Professionals) and holds the Sustainability and Credit Risk (SCR) certification, one of the most prestigious in the world at the intersection of sustainability and credit risk.

In the academic field, he has been an active speaker at high-level international seminars, teaching courses and giving lectures on topics such as Portfolio Management, Asset Allocation, Econometrics and ESG Investments, among others. His commitment to training and knowledge development has led him to collaborate with various specialized institutions and forums, consolidating his reputation as an expert in risk management and sustainable finance.

Program Content

Module 1: Strategic Context and Transformation of the Global Financial System (2 hours)

• The global financial system in transformation (digitalization, competition, fintechs, bigtechs, regulatory pressure and the expectations and demands of the market and society)
• Megatrends redefining the business and financial markets (exponential technology, automation, AI, geopolitical shifts, customer behavior and new business models).
• Main challenges of modern Banking (profitability, sustainability, efficiency, resilience, adaptation, talent, culture, compliance)
• The strategic role of the risk function in the modern organization (from control function to strategic business partner)
• Corporate governance, risk appetite, strategic alignment, long-term vision and contribution to the financial system.

Module 2: Regulatory Risk Management – International Standards (6 hours)

Part 1: Regulatory evolution and foundations (1 hour)

• From simple rules to sophisticated risk measurement frameworks.
• Evolution from Basel I to Basel IV: History, objectives and foundations behind prudential regulation.
• Strategic impact: Strengthening solvency, market discipline and systemic financial stability
• Expected vs unexpected loss: Relationship, complementarity and coverage. Balance between growth, risk, return and solvency
• Conceptual foundations of capital management. Regulatory and economic capital, strategic connection.

Part 2: Structure of the Basel framework (2 hours)

• Pillars I, II and III: Essential concepts, objectives and implementation mechanisms.
• ICAAP, capital planning and capital adequacy. Objectives, limits and strategic use
• Identification of material risks, loss projection, determination of capital over strategic horizons.
• Capital calculation methods: Standardized Approach vs Internal Models (Foundation / Advanced IRB).
• Strategic vision

Part 3: Integration into Risk management. (2 hours)

• Risk Appetite Framework: Alignment with the Strategic plan, definitions and methodologies.
• Key risk-adjusted return indicators: RaR, RAROC, RAROE, RoRC and their interpretation.
• Integration into the origination and credit assessment process.
• Strategic levers: Asset allocation, exposure limits, pricing and active risk management
• Credit Concentration: The importance of diversifying the portfolio. Methodologies, measurement and monitoring.
• Stress Tests: The importance of prudential risk management. Solvency and long-term planning.
• International Benchmark: Global lessons and best practices.

Part 4: Basel IV: Current progress and challenges (1 hour)

• Main innovations and regulatory changes
• State of global implementation and regional challenges.
• Implications for smaller Banks and non-bank players

Module 3: Emerging Risks (8 hours)

General introduction

• Nature, characteristics and evolution of emerging risks.
• Interdependence between traditional risks and “new risks”
• Global trends and international regulatory expectations.

Sustainability and ESG risk management

• Physical and Transition Risks: identification, measurement and management.
• Financed emissions and portfolio analysis.
• Climate stress testing.
• Regulatory evolution and integration into risk management.

Technology and Cybersecurity Risks

• Vulnerability assessment and operational resilience models.
• Stress testing and technology scenario analysis.
• Inherent / residual / controlled risk matrix.
• Estimation of expected frequency and expected loss value.

Risks of using Artificial Intelligence

• Risks arising from the use of AI
• AI governance
• XAI (Explainable AI) and regulatory compliance
• Generative AI risks
• Integration of AI risk into integrated management

• Model Risk (Model Risk Management – MRM)

• Assessment of bias, stability, predictability and explainability.
• Backtesting and cross-validation tests.
• Governance and integrated management of the model life cycle.

Concentration and Third-Party Risks

• Measuring concentration: Herfindahl–Hirschman Index (HHI).
• Correlated default simulations and internal limits.
• Diversification and correlation models.
• Assessment and monitoring of third parties: risk, performance and compliance criteria.

Reputational Risks

• Sentiment analysis using NLP (Natural Language Processing).
• Impact / probability matrices.
• Monitoring of stakeholders, NPS (Net Promoter Score) indicators and negative Share of Voice.

• Strategic and Geopolitical Risk

• Scenario assessment using an expanded SWOT and the strategic BCG matrix.
• Scenario planning and strategic monitoring.
• Geopolitical risk: impact on markets, regulations and the value chain.

Module 4: Leadership and Building High-Performance Risk Teams (1 hour)

• Strategies to strengthen an organizational culture based on effective communication, trust, responsibility and accountability.
• Developing strategic leadership to build highly committed teams capable of facing complex and dynamic risks.
• Techniques to improve cross-functional collaboration and the exchange of relevant information for proactive risk management.
• Tools for early risk detection, innovation in solutions and rapid adaptation to regulatory and market changes.
• Leadership in contexts of uncertainty and crisis.

Module 5: The Future of the CRO and Risk Management (1 hour)

• Evolution of the CRO role: from controller to strategic partner.
• Sustainability as a cross-cutting axis of management.
• Digitalization, dynamic regulation and new risk competencies.
• Regional and global trends in integrated management.
• Final reflection: purpose, values and ethical leadership in risk.