Basel II, IV & Risk Management This course can be presented in-house for you on a date of your choosing

Transcription

1 Basel II, IV & Risk Management This course can be presented in-house for you on a date of your choosing The Banking and Corporate Finance Training Specialist

2 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 Course in Overview 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. Course Content 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 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

3 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 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 Session 7: Basel & Market Risk Banking book v Trading book The different constituents of market risk Implementing controls, limits and thresholds

4 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 Session 8: Basel & Liquidity Risk The management of liquidity risk LCR & NSF - revisited The ILAA GAP analysis Stress testing 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 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 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

5 Composition of available (book) capital under Basel II & III Regulatory vs. economic capital 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 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 Session 14: Other Key Risks Financial Crime Compliance Sanctions Regulatory Compliance Conduct Risk Types of risk Strategic risk Reputational risk Session 15: Basel IV What Changes are Likely Senior Manager Responsibility Bond Bail In Ring Fencing Liquidity Capital Gearing Market risk Hybrids Session 16: Course Wrap Up and Open Forum END