Description

The Basel III standards are a key element of the banking sector reform plan providing for a significant increase in the capital of financial institutions. This seminar will allow you to master the main aspects of these ongoing reforms and improve risk management.

Who is this training for ?

For whom ?

Risk engineers, front office. MOE and MOA in regulatory and economic risk.

Prerequisites

Training objectives

The Basel III standards are a key element of the banking sector reform plan providing for a significant increase in the capital of financial institutions

This seminar will allow you to master the main aspects of these ongoing reforms and improve risk management

Training program

• Introduction and reminders on credit risk, Basel approach
  • - Reminder of the hierarchy of regulatory standards.
  • - The European standards CRD II, CRD III and CRD IV.
  • - Calendar for the implementation of the Basel III and involvement within financial institutions.
  • - Basel II agreements and solvency risk.
  • - Basel modeling of credit risk.
  • - Main variables: probability of default ( PD), Loss Given Default (LGD) and Maturity.
  • - Risk Weighted Assets (RWA).
  • - Capital Requirements (EFP) and Expected Losses (EL).
  • - Reminder of the different Basel II approaches for credit risk.
• Basel 2.5 and Basel 3 standards: redefinition of regulatory capital
  • - problems of quantity and quality of capital.
  • - Liquidity problems.
  • - Limits of the Basel II Accords: problems linked to counterparty risk, "Procyclicality " capital.
  • - Adequacy of capital and risks.
  • - Strengthening capital requirements.
  • - Quality of capital: redefinition of tier 1/ tier 2.
  • - Implementation of the Leverage Ratio.
  • - The Capital Buffer and the procyclicality of provisions.
  • - Implementation of stress tests.
• Treatment of liquidity risk
  • - Implementation of new liquidity ratios.
  • - Medium/long term liquidity constraint: Net Stable Funding Ratio (NSFR).
  • - Short liquidity constraint term: Liquidity Coverage Ratio (LCR).
  • - Impacts of Basel III rules on capital.
  • - Criticisms of liquidity risk regulation.
• Regulatory developments in counterparty and market risks
  • - Collateral rules.
  • - Stressed exposure measures, back-testing requirements and stress-testing.
  • - Credit risk in the trading book: IRC (Incremental Risk Charge) section.
  • - Adverse market conditions and Value-at-Risk: the Stressed VaR section.
  • - Securitization and Credit Correlation Portfolio.
  • - Variability of counterparty risk costs and VaR CVA (Credit Value Adjustment).
  • - Counterparty risk hedging.
  • - Criticisms of market risk regulation and consideration.