Basel III
28-29 June London 2012
Learn about Basel III Requirements, Implementation, Risk Management and ICAAP
Register now and save over £180!
This course examines the latest tools, techniques and best practices surrounding economic capital calculation and management and how to structure an Internal Capital Adequacy Assessment Process (ICAAP) that maximizes its inherent motivational incentives. It considers the Basel accords, with particular focus on Basel 3, and examines the composition and relationship between the various types of capital - available (book), regulatory and economic - and explores frameworks for their effective management.
By the end of this course you will gain in-depth knowledge of approaches to risk and capital management with particular emphasis on:
- The evolving role of risk management in modern banking
- The Basel accords with particular emphasis on Basel 3 and related requirements
- Creating and implementing a risk adjusted performance measurement (RAPM) framework
- The latest risk management tools and techniques
- Structuring a value-added ICAAP process including aspects such as stress testing, scenario analysis and risk appetite
- Imperfections in modern risk management... their implications and how to overcome them
Who Should Attend
Risk management, finance, audit and compliance staff and management involved in developing or reviewing approaches to risk management, capital management, risk adjusted performance measures, and the ICAAP.
Description
As banks strive for value creation in a highly competitive environment they inevitably create risks. The greatest threat to a financial institution is when such risks are not properly identified, measured or managed.
The regulatory response to recent events is contained in Basel III which sets out to make capital requirements more risk-sensitive, enhance risk coverage and strengthen the loss absorbency of available capital. Basel III further introduces new liquidity management standards.
Notwithstanding Basel III, banks continue to focus their risk management programmes, among other things, on finding an expression of their true economic exposure to risk in the form of economic capital.
This course examines the latest tools, techniques and best practices surrounding economic capital calculation and management and how to structure an Internal Capital Adequacy Assessment Process (ICAAP) that maximizes its inherent motivational incentives. It considers the Basel accords, with particular focus on Basel III, and examines the composition and interrelationship between the various types of capital - available (book), regulatory and economic - and explores frameworks for their effective management.
Who Should Attend
- Bank risk committee and audit members
- Bank board members
- CROs
- CFOs
- Heads of Risk Management
- Heads of Compliance
- Risk Managers
- Risk Controllers
- Auditors
- IT personnel
- Credit Committee members
- Basel Team members
Teaching Method
Trainer will be focused on teaching practical strategies that can be taken back to your business and put into immediate effect.
In order to help us establish your individual and business concerns, you will be asked to fill pre-course questionnaire.
Because of the nature of the course the number of places is limited and will be filled on first come, first accepted basis. We advise to book in advance in order to avoid disappointment.
Basel III - A 2 day course
Day 1
The Essence of Risk Management
- Understanding risk management
- Confidence Levels – General
- Confidence Levels – Banking
The Basel Accords
- Basel I & II overview... an evolutionary process
- Why regulatory capital?
- Basel III – what’s new and the implications for banks
Risk Based Economic Capital and Capital Management - Basel II & III
- Economic capital and profit
- A modern capital management framework
- Components of capital management
- Classes of capital – Tiers 1, 2 & 3
- Composition of available (book) capital under Basel II & III
- Regulatory vs. economic capital
How did we get here?
- Systemic risk
- Economic vs. regulatory capital and Basel III
Basel III in greater depth:
- An overview of the new requirements
- The new minimum capital requirement
- Capital conservation buffer
- Countercyclical buffer
- Counterparty credit risk
- Liquidity risk management – LCR and NSFR
- Timeline and transitional arrangements
- Expected loss based provisioning
Enterprise Risk Management – what will change?
- What is risk management?
- What is ERM and its challenges
- Types of risk
- Strategic risk
- Reputational risk
Internal Capital Adequacy Assessment Process (ICAAP) under Basel III
- Framework and typical content
- Sample capital position
- Sample regulatory & economic capital
- ICAAP ‘Hot Buttons’ and regulatory feedback
Risk Adjusted Performance Measurement (RAPM)
- Optimising the management of financial resources
- Economic Profit and Economic Value Added (EVA)
- Return on Capital – RAROC, RORAC and RARORAC
- Reconciling financial (IFRS) results with risk adjusted results
- Sample performance reporting templates
- The challenges of enterprise-wide implementation
Day Two
Operational Risk under Basel III
- Definition
- BIS Sound Practices
- Operational risk loss distributions
- The Basel II approaches, Basic Indicator, Standardised and Advanced
- Operational risk management tools & techniques
Credit Risk under Basel III
- Risk drivers (PD, LGD and EAD)
- Basel II & III and the implications for credit risk
- Basel II – the use test and its application in practice
- Procyclicality vs. countercyclicality, downturn LGD vs. through-the-cycle LGD etc.
- Insight into the latest tools and techniques to measure, manage and monitor credit risk
Market Risk under Basel III
- Definition
- The trading book and the banking book
- Value-at-Risk (VaR) and VaR methods and limitations
- Basel II market risk capital
- Latest revisions to Basel II market risk framework
- Incremental Risk Capital Charge
- Comprehensive Risk Capital Charge
Liquidity Risk under Basel III
- Definition
- BIS sound principles
- Sample liquidity gap
- Sample maturity ladder
- Basel III – what’s new?
Interest Rate Risk in the Banking Book (IRRBB)
- Basel principles for the supervision and management of interest rate risk
- Understanding yield curves
- The impact of liquidity on interest rates
- Maturity ladders and gap analysis
- Funds transfer pricing (FTP) and NII analysis
- The risks in modelling interest rate risk
Stress Testing / Scenario Analysis within Basel III context
- Definition
- BIS – Sound Principles
- Key concerns
- Sample process
- Sample stress scenarios
- Sample outputs
- Management interventions
- Stress testing single high impact events – ‘Shock Waves’
Business Risk under Basel III
- Definition: what does it include?
- Why calculate business risk capital?
- Method of calculation
Inter-Risk Diversification
- What is inter-risk diversification?
- Understanding diversification benefits
- Allocation of diversification benefits
- Standard & Poor’s view of diversification
Mark Andrews
Mark is a banker with over 30 years experience in the UK corporate, investment and retail banking sectors. He qualified as an associate of the Chartered Institute of Bankers in 1981 finishing as the top candidate for the year with distinctions in International Trade and winning the Whitehead Prize for Monetary Theory.
Mark joined Lloyds Bank in the 1970’s after where he was appointed one of the first managers in the bank’s Corporate Banking Division. His duties included corporate governance, investment appraisals, credit control, control of lending by junior colleagues, direct lending and relationship management for individual companies and sectors.
During the 1980s Mark was appointed as one of the youngest Lloyds London City branch managers specialising in lending to employees of international bank clients and money market institutions. Duties included all aspects of lending control and the supervision at area level of lending by 5 retail branches which reported to him. Mark was subsequently promoted back to the Corporate Banking division as a senior corporate manager responsible for corporate governance and more complex treasury, banking, international trade and investment requirements of the bank’s largest clients, included some of the largest global energy companies, hotel groups, and construction companies.
From 1990-2001 Mark served as a Director of Granville Bank – a private bank which specialised in client wealth management, secured lending and investment and treasury business – and was a main board director of Granville Holdings Plc, the parent company, a London City based merchant bank which itself specialised in high value clients, both corporate and private.
For the past 9 years Mark has lectured extensively in Europe, Middle East and Africa. Mark is an expert on corporate governance, risk management, Islamic finance and is also a subject specialist in investment, commercial and retail banking and finance.
28-29 June 2012 London
Early Bird discount until 25 of May £1795 + VAT. Save £180!
Regular Price £ 1950 + VAT
2 people - 5% discount, 3 people - 10%. Delegates have to be from the same company and book at the same time.
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In-Company Training
If you have a team of 4 or more this course can be customised and organised in-house at your convenience. Contact one of our advisors to find out more.
Call us now on +44 (0) 207 993 8597
or send an e-mail to enquiry@eurekafinancial.com
