This intensive and interactive course is designed for anyone that needs to have a comprehensive understanding of the latest Basel Accord from both a theoretical and practical point of view.
The course will be delivered using a combination of lectures, class discussions, group exercises and real-life examples from global banks, the intention being to provide participants with a detailed perspective of the rationale and intent behind the development of this latest set of regulations. It will also explain in detail how different elements affect the calculation of a Bank’s regulatory capital requirements, and how this should directly influence an institution’s risk management strategy.
- A solid grounding in the background to the introduction of Basel iii and the primary objectives of this new regulation
- Detailed knowledge of the requirements and obligations of each of the three “pillars” of the Basel III accord
- A good understanding of the basis of calculation of a bank’s capital and also its Risk Weighted Assets, allied to knowledge of the way in which a bank’s Risk Appetite and lending policies can be proactively managed to optimize capital utilisation.
- A good understanding of the expectations under the new accord in relation to a financial institution’s liquidity position, and the ability to appraise the steps that can be taken to manage this
- A comprehensive appreciation of the operation of the Supervisory Review and Evaluation Process and the format of the key documents required as part of this process (ICAAP, ILAAP and RRP).
WHO SHOULD ATTEND?
This course is appropriate to Executives, Senior Managers and “Second Line of Defence” risk managers in banks and other financial institutions. The course would also be appropriate to financial or credit analysts that specialise in the risk assessment of Financial Institutions.
The primary objective of this course is to help participants’ factor the requirements of the Basel iii regulations into their daily working lives and, in particular, to given them the knowledge to allow them to contribute proactively towards the effective management of the effective management of risk capital within their particular institution.
- Length 5 days
- Level Intermediate to Advanced
- Industry Risk Management
- Prerequisites The course assumes that participants already have a broad understanding of the key risks associated with credit risk in banking
- Association IABFM - International Academy of Business and Financial Management
- Language English
- This program is worth 35 NASBA CPE credits
DAY 1 – Credit Risk & Supervisory
» The Credit Creation Multiplier – the importance of a consistent supply of credit to the global economy.
» The function and purpose of Risk Capital in banking – why is it the focus of regulation on a global scale and the evolution of the Basel Accords.
» The Credit Crisis of 2008 – Analysis of its causes and effects, and what we should learn from it
» The Regulatory response to the 2008 crisis. The deficiencies identified in relation to Basel ii, and the thinking behind the introduction of Basel iii.
» The key areas of focus of the new accord.
DAY 2 – PILLAR 1 Minimum Capital Requirements
» Understanding the components of credit risk and the principles behind the calculation of PD, LGD, EAD.
» An introduction to the mathematics of credit risk management – the use of Internal and External Ratings, credit scoring, statistical models, market implied indicators and Value at Risk assessments.
» The various methods for the calculation of “Risk Weighted Assets” on both a portfolio or individual credit basis.
» The various components that constitute Tier 1 and Tier 2 Bank Capital
» A full review of the minimum capital requirements applied under Basel iii related to credit risk.
» A review of the purpose and effect of the Capital Conservation and Counter Cyclical Buffers and how they enable credit analysts to estimate potential credit losses.
» The introduction of LCR and NSFR and how they can be calculated
» G-SSII and O-SII buffers explained
» Foundational level and Advanced level credit risk assessments – the capital implications when compared with the Standardised approach
» Credit Value adjustments and the capital implications of derivatives and other ancillary credit risk exposures.
» The assessment of Operational Risk and how this calculation feeds into Capital Adequacy Assessments.
» The assessment of Market Risk and how this calculation feeds into Capital Adequacy Assessments
» IFRS 9 asset recognition and measurement assessments.
» TFRS9 impairment standards and the potential Capital implications that arise
DAY 3 – PILLAR 2 The SREP Process
» The aggregate calculation of Bank Risk Capital relevant to credit risk – Behaviours that regulators expect banks to comply with.
» The role and purpose of SREP
» Regulatory expectations and the principal of individual capital guidance.
» The purpose of and format of ICAAP submissions
» The purpose and format of ILAAP submissions
» Recovery and Resolution Plans – their purpose, format and potential implementation
DAY 4 – PILLAR 3 Market Disclosures
» The purpose and intent of the Pillar 3 requirements.
» Expectations with regard to the way that market exposures are presented.
» The potential conflict between regulatory disclosure and commercial proprietary
» Integrating the requirements of Basel ii into an institution’s Risk Management Framework
» Practical steps and exercise related to the way in which banks are integrating the Basel iii requirements into their Risk Appetite Statements and Capital Management Processes
» Consolidation exercises related to the subject matter studied during the course
» Further Regulatory Expectations – Preparing for “Basel 4” from 2021
» Final Test / assessment
» Final Questions and Answers.