basel ii, iv & risk management - redcliffe training · basel and operational risk basic...
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The Banking and Corporate Finance Training Specialist
Basel II, IV & Risk Management
This course can be presented in-house for you on a date of your choosing
http://redcliffetraining.com [email protected]
+44 (0)20 7387 4484
Course Overview
This course has been created to meet the specific needs of Atradius Dutch State Business N.V.
About the Course Director Your course director has spent more than 40 years in the banking and financial sector, much
of it in a senior managerial/Director role. He is a former Institute of Banking Lecturer, having gained distinctions in the exams. He is a subject matter aspect on all aspects of retail, corporate and global banking, including risk management and regulatory compliance as well
as soft skills. Mark has trained extensively at both leading global financial institutions and smaller bespoke
specialists as well as legal practices. He has delivered extensive programmes in all parts of the world including the USA, Europe,
MENA, Africa and Hong Kong. He is currently an accredited Master Trainer at the world’s biggest global bank where he trains senior middle managers in risk management.
Knowledge Pre-Requisites Some knowledge of financial services and regulatory regimes would be helpful.
Day One Session 1: Introduction
Basel and its evolution Vickers
GSIFI’s IFRS9
Session 2: The Basel II/III agreements
Improving risk & asset management Aligning regulation and economic realities The technical challenges from a bank/regulators’ point of view
How much capital is sufficient capital The 3 pillar regulatory structure
Practical examples Session 3: Basel III in more depth
An overview of the new requirements The new minimum capital requirement
Model Generated DDF & CCF Capital conservation buffer - introduction Countercyclical buffer - introduction
Counterparty credit risk Liquidity risk management – LCR and NSFR - introduction
Timeline and transitional arrangements Leverage Ratio - introduction
Sesion 4: Specific Atradius Dutch State Business N.V. impact in detail
Course Content
Course Overview
http://redcliffetraining.com [email protected]
+44 (0)20 7387 4484
Capital Adequacy Ratio (CAR). The interaction of CET 1 Additional Tier 1
Tier 2 The impact of the Capital conservation Buffer
The impact of the Countercyclical Buffer Systemic Risk
G-SII/O-SII buffers Pillar 2 buffer Banks own buffers
Impact of all the above on different bank business/product lines Impact of the above on long term (ECA backed) export finance
Total Loss Absorbing Capacity (TLAC) Minimum Requirements for own funds and eligible liabilities (MREL) Interaction of TLAC & MREL with other requirements/ratios
Liquidity Coverage Ratio (LCR) and its impact on long term (ECA backed) export finance
Net Stable Funding Ratio (NSFR) Required stable Funding (RSF) Impact of NSFR & RSF on long term (ECA backed) export finance
Proposed capital floor and its interaction with CAR Levergae Ratio (LR) -including EU proposals
How does LR differ from CAR The impact of LR on long term (ECA backed) export finance
Session 5: How has Basel III impact on Banks Balance sheets are in the main, much stronger
Higher capital means lower gearing More liquidity means lower earnings Many global banks are over capitalised and under lent. Why?
A move towards fee income (“Non funds based income”) Getting costs under control is a challenge
The concept of positive Jaws Private Banking & Trade Finance at forefront Practical examples
Practical examples
Session 6: Enterprise Risk Management What is risk management?
What is ERM and its challenges Types of risk
How do risks vary? The responsibilities of the risk management function Regulatory and economic capital
Practical Examples
Session 7: Basel & Market Risk Banking book v Trading book The different constituents of market risk
Implementing controls, limits and thresholds
http://redcliffetraining.com [email protected]
+44 (0)20 7387 4484
Reporting excesses and authorised deviations
Value at risk calculations Controls in a trading environment Trading book reports
The Basel requirements The changing rules
Stress testing market risk Practical Examples
Session 8: Basel & Liquidity Risk
The management of liquidity risk LCR & NSF - revisited The ILAA
GAP analysis Stress testing
Practical Examples
DAY TWO
Session 9: Basel & Credit Risk The Basel approaches to credit risk
The revised standardised approach The risk management of credit risk
The use of rating agencies Default risk using historic information Corporate credit assessment
Company risk assessment Basel & model risk
Stress testing Practical Examples
Session 10: Basel & Operational Risk What is operational risk?
Basel and operational risk Basic indicator Standardised approach
AMA The business analysis
The identification of operational risk The key parts of operational risk Developing an operational loss database
Control and risk self-assessment Developing key risk indicators
Using external loss data Practical Examples
Session 11: Risk Based Economic Capital and Capital Management Economic capital and profit
A modern capital management framework Components of capital management Classes of capital – Tiers 1, 2 & Hybrids
http://redcliffetraining.com [email protected]
+44 (0)20 7387 4484
Composition of available (book) capital under Basel II & III
Regulatory vs. economic capital Practical Examples
Session 12: Internal Capital Adequacy Assessment Process (ICAAP) What is it
Puropse Framework and typical content
Sample capital position Sample regulatory & economic capital ICAAP ‘Hot Buttons’ and regulatory feedback
Practical Examples
Session 13: 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
Practical Examples
Session 14: Other Key Risks Financial Crime Compliance
Sanctions Regulatory Compliance Conduct Risk
Types of risk Strategic risk
Reputational risk Practical Examples
Session 15: Basel IV – What Changes are Likely
Senior Manager Responsibility Bond Bail In Ring Fencing
Liquidity Capital
Gearing Market risk Hybrids
Practical Examples
Session 16: Course Wrap Up and Open Forum END