Basel III & New Advances in Regulation

This programme is only available on in-company basis. Please, contact us for more information

Course Description

Regulators around the world, following successive crises, have been working hard to formalise banks’ risk management in most countries, through global accords from which Basel III is the most topical. Such body of regulatory texts is now setting the landscape for the competition between banks for years to come, and imposing risk managers within decision-making bodies of banks. It is now, more than ever, critical for banks to master their risk processes and to integrate these in their governance, above and beyond what regulation requires.

This practical 2 day course addresses all the key issues which will affect banks as a result of Basel III implementation and helps risk practitioners to implement risk management structures and processes in a post-Basel III world to help them stay compliant and competitive at the same time. 
 
You may be interested in our Mastering Operational Risk.

 

What Will You Learn

By the end of this course you will: 

 
  • The evolution of the Basel II and III rules for bank capital
  • Regulatory updates for market, credit, and counterparty risks
  • Overview of the potential implications of regulatory measures for banks’ business models
  • Impact of the new Leverage and Liquidity constraints
  • Implementation of Expected Shortfall (ES) calculation
  • Stress testing methodologies under Basel III 
  • Changes to the ICAAP
  • Where does banking regulation go after this? 

Main Topics Covered During This Training

  • Impact of Basel III on market, credit and operational risks 
  • An overview of Basel II & III
  • Implementation of Expected Shortfall (ES) calculation
  • Loss distribution approach (LDA)
  • Operational Risk VaR (OpVaR)
  • Stress testing methodologies under Basel III
  • Impact on capital and liquidity 
  • The ICAAP Process

Who Should Attend

This course is intended for managers and professionals working in Banks and financial institutions who need to understand the new Basel III requirements. It is also intended for management consultants, vendors, suppliers and service providers working for financial organisations.
This course is recommended for:


  • Managers and Professionals involved in Basel III (decision making and implementation)

  • Risk and Compliance Officers

  • Auditors
  • 
IT Professionals
  • 
Analysts
  • 
Legal Counsels
  • 
Board members with risk responsibilities

  • Central bank staff and supervisors

  • Rating Agency Analysts

In-Company, call us for more information

Basel III & New Advances in Regulation - A 2 Day Training Course 

DAY 1

 
An overview of Basel III
 
  • Sources - The Basel II and III papers
  • The perimeter of regulatory texts
  • National flavours
  • The principles
  • The pillars
  • The approaches
  • Liquidity risk
  • Governance and internal controls
  • Disclosure and transparency
 
Market Risk
 
  • Banking book and trading book
  • Interest Rate risk in the banking book
  • Measurements of market risk
  • Implementation of VaR and Expected Shortfall
  • VaR/ES shortcomings: the normality assumption and others
  • Internal model approaches
  • Model testing
  • Handling bubbles and black swans
 
Credit Risk
 
  • Framework for credit risk; EAD-PD-LGD model
  • Credit risk mitigation
  • Counterparty credit risk
  • Credit/Debit Valuation Adjustment
  • Standard and IRB approaches
  • Calibration in A-IRB approach
  • Default Correlations
 
Operational Risk
 
  • The principles for operational risk management
  • 3-line defence, 4-eye principle
  • Basic, standardised and advanced approaches
  • Processes, systems and controls
  • Inventory of risks, loss event data, loss modelling
  • Loss distribution approach (LDA)
  • Business process and data dependencies
  • Process-based risk management
  • Risk and controls self-assessment
  • Operational Risk VaR (OpVar)
  • The long and slow death of AMA
  • A framework for handling operational risks 

 

DAY 2

 
Stress-testing
 
  • Regulatory and managerial principles
  • Stress-testing methodologies
  • Scenario selection
  • Communicating stress-tests
  • Use of stress-testing and integration in risk governance
 
Liquidity risk regulation
 
  • Regulatory capital: recapitulation
  • Tier 1 and tier 2 capitals
  • Capital and liquidity
  • Introduction of global minimum liquidity standards
  • Prerequisites: data logistics
  • The liquidity ratios: rationale, calculation, interpretation
  • Monitoring tools
  • The new counter cyclical capital buffer
  • Treatment of surplus when buffer returns to zero
  • Interaction with Pillar 1 and 2
  • Impact on profitability
 
The ICAAP process and other issues 
 
  • Regulatory vs. economic capital
  • Inventory of risks
  • Principles and application
  • ‘Other’ risks; reputation, models etc.
  • Risk-based governance
  • Securitisation and non-standard derivatives
  • Home-host regulation
  • SIFIs
  • Impact on banking competition
 
Case studies
 
Mini case studies and group discussions will be performed each day.

 

The Course Director is a Financial Risk Management Consultant with an international expertise in Risk Management methodological frameworks. His experience spans some 20 years, advising banks, software houses and others on risk management. Fred holds various degrees, including from London Business School, with post-graduate studies at the Technische (then West)-Berlin and Keio (Japan) universities. He is a published author on risk management and Basel Accords, and a regular speaker at conferences.

The client list includes ABN Amro, Barclays, CDC Paris, Credit Suisse, DePfa, Deutsche bank, a few City hedge funds, IBM Consulting, Sungard, Lloyds TSB, National Bank of Egypt, the UK Regulatory body (then FSA, now PRA), Reuters, Singer and Friedlander, and numerous other institutions of various countries and sizes. In addition to that, Fred runs training courses and workshops with participants from various banks around the world.
Basel III & New Advances in Regulation <p>Regulators around the world, following successive crises, have been working hard to formalise banks&rsquo; risk management in most countries, through global accords from which Basel III is the most topical. Such body of regulatory texts is now setting the landscape for the competition between banks for years to come, and imposing risk managers within decision-making bodies of banks. It is now, ... In-Company