im电竞游戏入口官网(im电竞游戏选手2.5.7): Live Online

This course is six hours per day. Please get in touch for exact start and finish times for a particular course date.​

im电竞游戏入口官网(im电竞游戏选手2.5.7) Objectives  CPD Certified

This two-day course provides participants with a comprehensive overview of Basel III’s capital and liquidity regulations for banks. The course covers current regulations as well the Finalisation of Basel III (commonly referred to as ‘Basel IV’). This is an interactive course, where real-life examples, case studies and exercises are used to illustrate key learning points and to enable participants to apply the concepts delivered throughout the course, including a COVID-19 scenario. 

Key Learning Outcomes:

  • Learn how minimum regulatory capital requirements have evolved, and understand the various capital types, including Common Equity Tier 1 (CET1), Additional Tier 1 (AT1), and Tier 2, as well as Basel III’s regulatory buffers
  • Become more familiar with the alternative methodologies for calculating risk weighted assets for credit, market and operational risks
  • Consider how liquidity and funding risk are captured by the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)
  • Review how Basel III is implemented in the EU and the US​
  • Review the implications of COVID-19 on bank capital adequacy

Target Audience

The course is relevant to anyone wishing to gain a deeper understanding of bank capital and liquidity regulations. It may be suitable for investors, risk managers, regulators, internal auditors, bankers and analysts. It is targeted at an intermediate level and assumes a basic understanding of accounting, financial products and banking functions.

Further Learning

Risk Management in Banks  & the Capital Implications Intensive Bank Analysis  and  Liquidity Risk Management in Banks  courses are all complementary topics to this Bank Capital Adequacy Under Basel III course. 

Day One
Analytic Overview
This section provides an overview of the regulatory background for banks. It follows the history of how the Basel Accords were developed and summarizes their capital and risk-weighted assets (RWA) components.
Regulatory background
  • The Basel Committee for Banking Supervision (BCBS)
  • The three Basel Accords
Development of minimum capital adequacy
  • T he capital adequacy ratio
  • The capital components
  • Risk-weighted assets: credit risk, market risk and operational risk 
  • Case study: Overview of Pillar 3 disclosure in a large bank
The three pillars
  • Minimum capital, supervisory review and market discipline

G-SIBs and D-SIBs

  • Requirements for G-SIBs and D-SIBs
Finalization of Basel III overview
  • Summary of Finalization of Basel III (‘Basel IV’)
  • Timeline for implementation
Regulatory Capital
This section now looks at the different concepts of capital and their relationship with one another. It then describes the minimum regulatory capital requirements and the leverage ratio. 
Economic vs regulatory capital
  • Economic capital
  • Common Equity Tier 1 (CET1)
  • Additional Tier 1 (AT1)
  • Tier 2 capital
Capital buffers and Pillar 2
  • Capital conservation, countercyclical and G-SIB buffers
  • Pillar 2 add-on
  • Minimum capital requirements
Leverage ratio
  • Leverage ratio rationale
  • Basel III leverage ratio
  • Case study: Capital in a large bank
  • FSB’s TLAC requirements for G-SIBs
  • MREL in the EU
Credit Risk
This section follows on to explore how credit RWA are derived. These are by far the largest category of RWA at most banks and range from calculating credit risk on a simple loan product to credit risk taken on a complex derivative transaction.
Expected credit losses
  • IFRS 9: three credit impairment stages
  • BCBS expected loss
The three approaches to credit RWA calculation 
  • The standardized approach (SA)
  • The foundation internal ratings-based approach (F-IRB)
  • The advanced internal ratings-based approach (A-IRB)
  • Upcoming changes with the Finalization of Basel III 
  • Case study: Credit risk in a large bank
Securitization RWA
  • Revised hierarchy for securitization risk-weighting 
Counterparty Credit Risk
  • Pre-settlement credit exposure
  • CCR exposure at default (EAD) and potential future exposure (PFE) 
  • The new standardized approach to CCR (SA-CCR) 
  • Credit valuation adjustments (CVA)
  • Exercise: Credit and counterparty RWA calculation
Credit Risk Mitigation
  • Basel treatment of derivatives netting
  • Collateral recognition
  • Guarantees and credit derivatives
Market Risk
This section introduces sources of market risk in a bank and covers the regulatory capital requirements for market risk. 
The standardized approach
  • Current market risk SA
  • Market risk SA under the Finalization of Basel III 
Internal models approach (IMA)
  • Value at risk (VAR) and stressed VAR
  • Incremental risk charge
  • Case study: Market risk disclosures at a global bank
  • The Fundamental Review of the Trading Book (FRTB)
  • Expected shortfall
Interest rate risk in the banking book 
  • Definition and Pillar 2 regulation
Day Two
Operational Risk
This section looks into how operational risk is dealt with in the regulations and how RWA are derived.
Defining operational risk
  • Causes of operational risk
  • BCBS classifications
  • Exercise: Operational risk examples
Current regulatory approach
  • The basic indicator approach (BIA)
  • The standardized approaches (SA and ASA)
  • The advanced measurement approach (AMA)
New standardized approach
  • Business indicator component
  • Internal loss multiplier
Liquidity Risk
Moving onto liquidity and funding, this section explores the BCBS treatment for those and the relatively new liquidity and funding ratios deployed. 
Financial crisis drivers of liquidity risk regulation
  • Historic approach to liquidity regulation
  • Liquidity issues in the financial crisis
The Liquidity Coverage Ratio (LCR)
  • Liquidity risk analysis framework
  • LCR components
The Net Stable Funding Ratio (NSFR)
  • NSFR components
  • Exercise: NSFR calculation and comparing banks’ NSFRs
Application in the EU and US
The course concludes with this section’s review of how the Basel Accords are applied in the two main global banking jurisdictions, the EU and the US, highlighting some important differ-ences between the two.
The EU’s CRRs and CRDs 
  • CRDs I to V and CRRs 1 and 2
  • Key regulatory capital differences in the EU vs Basel III
Implementing the Finalization of Basel III in the EU
  • EBA impact study 
  • Implementation timeline
US implementation of Basel III
  • Overview of US bank regulation
  • Implementation timeline
  • Differences in capital standards from Basel III, and the US leverage ratios