Basel II & the ICAAP September 2018 Port of Spain, Trinidad & Tobago. John Sebastian E: M:

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1 Basel II & the ICAAP September 2018 Port of Spain, Trinidad & Tobago

2 Course Description As banks strive for value creation in a highly competitive environment they inevitably create risks. The greatest threat to a bank is when such risks are not properly identified, quantified or managed. In these circumstances the result will invariably be unexpected losses which, as the recent financialcrisis demonstrated, can threaten the very existence of banks of all sizes. The three pillars of Basel II are collectively aimed at ensuring that banks adopt sound approaches to the identification, quantification and management of risks. Pillar 1 of Basel II sets out the minimum capital requirements for credit, market and operational risks and in pillar 2 banks are required to demonstrate that an appropriate amount of capital is set aside relative to all the risks they are exposed to and describe their adopted risk and capital management approaches in a document referred to as the Internal Capital Adequacy Assessment Process (ICAAP). The course will examine Basel II, the related risk and capital management concepts and the strategic and tactical challenges of the enterprise-wide implementation of an ICAAP. Learning Objectives Participants will gain a sound understanding of Basel II and approaches to risk and capital management and the ICAAP with particular emphasis on: The evolving role of risk management in modern banking Creating and implementing a risk adjusted performance framework (economic profit and capital) Risk management methods and techniques Imperfections in modern risk management... their implications and how to overcome them Structuring a value-added ICAAP process including aspects such as stress testing, scenario analysis and risk appetite The challenges of enterprise-wide implementation Who Should Attend Risk management, finance, audit and compliance staff and management involved in developing or reviewing approaches to the implementation of Basel II, risk management, risk adjusted performance measurement, capital management and the ICAAP. This course is not suitable for risk modelers who do not have general banking experience. Methodology Classroom style lectures featuring intensive use of real-life case studies. Knowledge Pre-Requisites To obtain greatest benefit from the course participants should preferably have at least 3 years of banking experience with some knowledge of finance and risk management.

3 Expert Profile - Dennis W Cox Dennis William Cox, BSc FCSI FCA is a leading financial services risk management specialist and CEO of Risk Reward Limited, a capital raising, risk management, internal audit, recruitment and consulting firm serving banks, insurance companies, regulators and alternative financial institutions in developed and emerging markets globally from their offices based in the City of London and Miami. He has held senior management positions within the banking and accountancy profession as Director, Risk Management at HSBC Insurance Brokers Limited and Director, Risk Management, Prudential Portfolio Managers. Formerly he held a number of roles within the banking and audit professions including Senior Audit Manager (Compliance) at HSBC Holdings PLC and Senior Manager (Banking and Finance) at both BDO Binder Hamlyn and Arthur Young. He has significant expertise in enterprise risk management, risk-based internal audit, forensic accounting, money laundering deterrence, treasury, credit risk, liquidity risk, operational risk and market risk. He is also an expert on international regulation including the rules promulgated by the Bank for International Settlements and the Financial Actions Task Force. Specific areas of expertise include model risks, the ICAAP, the ORSA, the ILAA, stress testing, scenario modelling and living wills. He is a Fellow, Co-founder and former Chairman of the Risk Forum for the UK Chartered Institute for Securities and Investments. A Fellow of the Institute of Chartered Accountants in England and Wales (FCA), he was a National Council Member for 18 years. He holds a BSc Honours degree in Mathematics from London University. He also represented the public interest in the review of the Institute of Actuaries for 10 years. Dennis is an accomplished international conference chairman and lecturer, and is the author of a number of publications including: Banking and Finance: Accounts, Audit and Practise (1993 Butterworths), The Mathematics of Banking and Finance (2006 Wiley Finance) and Frontiers of Risk Management (2007 Euromoney), An Introduction to Money Laundering Deterrence (2010 Wiley Finance) and The International Handbook of Money Laundering Deterrence (2014 Wiley Finance) on the topic of antimony laundering and terrorist financing regulations and techniques in global markets.

4 Course Modules Session 1: The Essence of Risk Management - Understanding risk management - Confidence Levels General - Confidence Levels Banking - Loss distributions Session 2: The Basel Framework - The evolving risk landscape and its impact on capital - An overview of the Basel capital accords Basel I, II & III - Why regulatory capital? Case Study: understanding and analysing the origins of systemic risk Session 3: An Introduction to Risk Based Capital Management - What is economic capital and profit? - Aligning the three versions of capital available (book), economic and regulatory - Classes of capital Tiers 1, 2 & 3 - Components of capital management - A modern capital management framework - Basel II Basic Indicator Approach - Basel II Standardised Approach - Basel II AMA Requirements Case Study: Safe Bank case study, analysing and quantifying operational risk Session 7: Basel II - Credit Risk - Risk drivers (PD, LGD and EAD) - An evolutionary approach - Standardised approach - Internal Ratings Based (IRB) approach - Foundation approach - Advanced IRB and portfolio approaches - Downturn LGD vs. through-the-cycle LGD Session 8: Basel II - Market Risks - Basel II trading book two approaches - Value-at-Risk (VaR) and VaR methods - Typical parameters for VaR - Basel II market risk capital - Back testing - VaR limitations - Revisions to the Basel II market risk framework (Basel 2.5) Session 4: Risk Adjusted Performance Measurement (RAPM) - What is risk adjusted return on capital (RAROC)? - Optimising the management of financial resources o Risk Based Capital (RBC) o Activity Based Costing (ABC) o Funds Transfer Pricing (FTP) - Using RAROC for decision support and management reporting - Implementation issues and challenges Case Study: migrating to a risk adjusted approach to performance measurement Session 5: Internal Capital Adequacy Assessment Process (ICAAP) - The ICAAP a health warning - ICAAP core principles - Supervisory guidance - Sample capital position - Sample regulatory & economic capital analysis - ICAAP regulatory feedback Case Study: analysing and critiquing sample ICAAPs Session 6: Basel II - Operational Risk - BIS Sound Practices - Operational risk loss distributions - How exposure to risk is created Session 9: Risk Appetite - Loss sensitivity analysis - The risk appetite setting process Case Study: analysing and critiquing approaches to risk appetite setting and monitoring Session 10: Stress Testing / Scenario Analysis - BIS Sound Principles - Key concerns - Designing a stress testing framework - Calculation of the required capital buffer - Stress testing single high impact events Shock Waves Session 11: Business Risk - Why calculate business risk capital? - Earnings volatility model - Method of calculation Session 12: Course Wrap-Up - Did we meet the course objectives? - What are the key learning points? - Course evaluations

5 Basel II & the ICAAP September 2018 Port of Spain, Trinidad & Tobago BOOKING FORM Your contact: John Sebastian Tel: Fax: +91 (0) TRAINING PRICING - Standard Rate Standard Rate Delegate 1X USD 3000 DELEGATE DETAILS Ensure all the details on the form are correct as this appears on your conference badge & invoice Title First Name Surname Company Designa n Address City PIN State Country Direct Line Switchboard Mobile Signature x Stamp X * I have read & agree with the terms & condi ns. ADDITIONAL DELEGATE DETAILS BOOKING CONTACT DETAILS HOW TO PAY Full payment is required within 5 working days from date of invoice. Bookings received within 10 working days of the conference date can only be paid by credit card. Demand Draft Please make DD payable to UBM India Pvt Ltd and send to Conference Department, UBM India Pvt Ltd, Times Square,Unit No. 1 & 2, B Wing, 5th Floor, Andheri Kurla Road, Marol, Andheri (E), Mumbai , India. Bank Transfer For bank transfers, send payments to: HSBC Bank, 52/60, MG Road, Fort Mumbai, , India. Beneficiary Name: UBM India Pvt Ltd. Type of Account: Current. MICR No: IFSC Code: HSBC Swift Code: HSBCINBB. Bank Code/Bank ID: 039. Branch Code: 002. For INR and USD payments: Please fax a copy with delegate(s) and conference name of your bank transfer to +91 (0) Invoices will be sent separately. For invoice queries call: +91 (0) Credit Card/Debit Card We accept Visa, MasterCard, Diners Club, American Express, and Maestro cards. To pay by credit card, please tick the box above and return this registration form to us.you will receive an invoice from conferences-india@ubm.com with a link where you can pay for your delegate fees securely through our payment portal, CC Avenue. For more information, please contact us at +91 (0) or by at conferences-india@ubm.com. We are unable to process credit card payments over the phone. HOW DID YOU HEAR ABOUT THE EVENT? Brochure by post Fax Phone call Other Customer Code/Sales Person

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