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The Basel Framework – Bank Capital & Liquidity Adequacy under Basel III
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    1 – 3 September 2020 - Registration closed

    TIME

    3:00pm - 6:00pm

    TRAINING PLATFORM

    Zoom
    The Basel III reforms have now been integrated into the consolidated Basel Framework, which comprises all the current and forthcoming standards of the Basel Committee on Banking Supervision.

    Basel III is an internationally agreed set of measures developed by the Basel Committee on Banking Supervision in response to the financial crisis of 2007-09; the measures aim to strengthen the regulation, supervision and risk management of banks. Like all Basel Committee standards, Basel III standards are minimum requirements and apply to banking organisations in more than 120 countries.

    This workshop provides a comprehensive overview/perspective of how banks need to tackle the prudential regulation, i.e. achieving compliance with high standards of supervision, in particular requirements related to Basel III, and its finalisation reform, which is commonly called “Basel IV”.
    LEARNING LEVEL

    Intermediate

    PROGRAMME FEE

    MYR

    2,900 / 

    USD

    660

    *Subject to 6% Service Tax per pax

  • Objectives & Outline
    LEARNING OBJECTIVES
    Upon completion of this programme, participants will be able to: 
    • Learn about the expectations and requirements of regulators
    • Understand the core Basel elements, in particular those related to capital adequacy, risk-weighted assets, and liquidity and funding
    • Investigate approach methodology for credit risk, market risk and operational risk.
    • Be aware of holistic Basel issues, in particular governance, enterprise risk management framework and related planning requirements.
    PROGRAMME OUTLINE
    This online training programme will be delivered in 6 modules (1.5 hours per module)

    Module 1
    Introduction

    • Brief history of the Basel framework
    • Core elements
    • World-wide implementation of the framework
    • The regulators’ risk dashboard
    • Supervisor review and evaluation process (SREP)

    Definition of Capital

    • Going-concern versus gone-concern
    • Definition of eligible capital
    • Regulatory adjustments

    Risk-based Capital Elements/Requirements

    • Calculation of minimum risk-based capital requirements
           - Common equity tier 1 capital (ratio)
           - Additional tier 1 capital
           - Tier 1 capital (ratio)
           - Tier 2 capital
           - Total capital (ratio)
    • Capital buffers
           - Capital conservation buffer
           - Countercyclical buffer
           - Buffer for systemically important banks
           - SREP Pillar 2 requirements (P2R)
           - SREP Pillar 2 guidance (P2G)
    • Case study
           - Capital structure/ratios international bank
           - Capital structure/ratios local bank

    Leverage ratio

    • Calculation
    • Capital measure
    • Exposure measure
    • Leverage ratio requirements for systemically important banks

    Module 2
    Risk-weighted Assets (RWA)

    • RWA elements
    • Standardised approach versus internal approach
    • Calculation of the capital floor

    Calculation of RWA for Credit Risk

    • Standardised approach (SA) – exposure classes and risk weights
           - Sovereigns
           - Non-central government public sector entities
           - Multilateral development banks
           - Banks
           - Covered bonds
           - Securities firms and other financial institutions
           - Corporates
           - Subordinated debt, equity and other capital instruments
           - Retail
           - Real estate
           - Risk weight multiplier to certain exposures with currency mismatch
           - Off-balance sheet items – credit conversation factors
           - Defaulted exposures
           - Other assets
    • Standardised Approach: Use of external ratings
           - External credit assessment
           - Implementation considerations
    • Standardised Approach: Credit risk mitigation
           - Overarching issues
           - Mitigation techniques
           - Eligible collateral
    • Internal ratings-based (IRB) approach: risk weights
           - Probability of default (PD)
           - Loss-given default (LGD)
           - Exposure at default (EAD)
           - RWA formula and elements Large Exposures
    • Definitions and applications
    • Requirements
    • Exposure measure
    • Large exposure rules for systemically important banks

    Module 3
    Minimum Capital Requirements for Counterparty Credit Risk – the Standardised Approach (SA-CCR)

    • Overview and scope
    • Exposure calculation
           - Replacement cost
           - Potential future exposure
           - Collateralisation and margining
    • Example transactions
    • Bank exposures to central counterparties

    Minimum Capital Requirements for Securitisations

    • Scope
    • Operational requirements
    • Due diligence requirements
    • Securitisation exposures
    • Re-securitisation
    • Significant risk transfer in securitisation
    • Minimum Capital Requirements for Operational Risk
    • Components of the standardised approach methodology
           - Business indicator
           - Business indicator component
           - Internal loss multiplier
           - Definition of key components
    • Standardised approach – operational risk capital requirement
    • Application of the standard approach within a group
    • Minimum standards for the use of loss data under the standardized approach

    Module 4
    Minimum Capital Requirements for Market Risk / Fundamental Review of the Trading Book

    • Boundary between the banking book and the trading book
    • Definition of a trading desk
    • Standardised approach
           - Sensitivity-based method
           - Delta, vega and curvature calculation
           - Default risk charge
           - Residual add-on
    • Internal models approach
           - Probability modeling
           - Model requirements
           - Value-at-Risk, Stressed-Value-at-Risk
           - Expected Shortfall
           - Impact
           - Backtesting and P&L attribution test requirements

    Credit Valuation Adjustment (CVA) Framework / RWA Calculations
    • General provisions
    • Basic approach for CVA
    • Standardised approach for CVA

    Module 5
    Liquidity, Funding and Balance Sheet Structure

    • Liquidity coverage ratio (LCR)
           - Calculation
           - High-quality liquid assets (HQLA)
           - Cash inflows and outflows
    • Net stable funding ratio
           - Funding sources
           - Stable funding versus market funding
           - Available stable funding
           - Required stable funding
    • Other balance sheets ratios
           - Loans to deposits
           - Debt to equity
           - Asset encumbrance

    Module 6
    Governance Principles

    • Enterprise risk management framework (ERM)
    • Roles and responsibilities
    • Risk inventory
    • Risk appetite (RA)
           - RA framework
           - RA statement
           - Earnings/Capital Waterfall Continuum
    • Special functions and internal controls
    • Culture and conduct
    • Risk management and remuneration

    Internal Capital Adequacy Assessment Process (ICAAP)
    • ICAAP principles and perspectives
    • Capital adequacy statement
    • Capital planning
    • Regulatory versus economic capital
    • Stress testing
           - Timeline
           - Determination of stress testing scenarios
           - What to stress
    • Interaction between ICAAP and ILAAP

    Internal Liquidity Adequacy Assessment Process (ILAAP)

    • ILAAP principles and perspectives
    • Liquidity adequacy statement
    • Internal liquidity buffers
    • Liquidity stress testing
           - Scenarios
           - Time line
           - Survival period
    • Intraday liquidity
    • Liquidity contingency plan
    • Interaction between ILAAP and recovery plan

    Recovery Plan

    • Key questions to ask
    • Objectives
    • Key elements of a recovery plan
           - Scenarios
           - Indicators
           - Critical functions
           - Recover options

    Pillar 3 Disclosure Requirements – Example Bank
  • Methodology

    Online lecture, including presentations, case studies and discussions


    Technical Requirements:

    • Desktop, notebook or tablet with camera, speaker and microphone
    • Internet access
    • Software used: Zoom (no subscription necessary for participants)

  • Participant Profile
    This programme will benefit staff at financial institutions of all sizes, and in particular managers/staff currently working in the following functions:
    • Line of Business
    • Risk Management and Internal Controls
    • Governance and Compliance
    • Finance and Treasury
    • Investor Relations
    • Audit
  • Trainer

    Peter Buerger

    Peter Buerger is the managing partner of Risk & More. Buerger has more than 30 years’ experience in the financial services industry and has acted in various senior management capacities in both strategic and operative functions. His core areas of work and experience include governance and enterprise risk management.

    Buerger is a former EVP in various roles in large banking organizations and has been working as a consultant since 2010. He has trained executives in banks, corporations and institutions in a variety of governance, risk management and regulation subjects in almost 40 countries, including 4 countries in Africa
    Buerger is associated with leading business schools and industry trade associations in the European Union and the United States, in particular
    • Frankfurt Institute for Risk Management and Regulation (“FIRM”), Frankfurt, Germany
    • L’institute d’études politiques de Paris (“SciencesPo”), Paris, France
    • Pacific Coast Banking School (“PCBS”), in partnership with the Graduate School Business at the University of Washington, Seattle, Washington, USA
    • Sir John Cass Business School (“Cass”), City University, London, United Kingdom
    • The Risk Management Association (“RMA”), Philadelphia, Pennsylvania, USA

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