Course dates
Course overview
In 2008, following the global financial crisis, the Basel Committee announced a comprehensive review of the banking regulatory framework. As a result, the industry has been flooded with reviews, proposals, consultative papers and impact studies.
The business strategies of many banks will be affected by this regulation, resulting in less, more expensive, credit being available to bank customers, as well as significantly lower returns to bank shareholders. The industry is fighting back, with its own forecasts of the impact on the wider economy, and has won significant concessions in certain countries.
The complex and constantly changing landscape can be overwhelming, so this 3-day course will help you to manage the likely changes to, and their impact on, your institution.
Summary of course content
- The recent amendments to Basel applied to the definition of capital
- Regulation for market, credit, counterparty and liquidity risk
- Stress testing for various risk measures including how to formulate and articulate stress tests
- The likely effects of Basel III on the international banking industry, including demonstrations of its practical application
Methodology
This course will be a mixture of traditional lecturing, combined with case-studies and computer demonstrations.
Who should attend this training course?
- Board members with risk responsibilities
- CROs and Heads of Risk Management
- Members of the Risk Management team
- Compliance, legal and IT support staff
- Equity and Credit Analysts
- Portfolio Managers
- Rating Agency Analysts
Supporting publication
DAY ONE
Overview of events before and during the banking crisis
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Securitisation and the mortgage markets
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CDO markets, super senior tranches, the chase for yield, and the role of the rating agencies
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Gain-on-sale accounting and mark-to-market valuation
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Reliance on whole-sale funding and the creation of funding liquidity risk
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Use of structured investment vehicles and implicit support
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Impact on the interbank markets
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Limitations in stress testing
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Procyclicality
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Deficiencies in senior and risk management oversight
This section will be reinforced with case studies discussing what happened in specific organisations such as Sachsen LB as well as the US investment banking sector.
The regulatory responses
Changes to capital itself
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What are some of the major problems with the current definition?
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An outline of the proposed changes
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Concept of "going" and "gone" concerns
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Removal of hybrid securities
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Introduction of common equity Tier l and additional Tier l
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Regulatory adjustments
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Elimination of Tier lll and harmonisation of Tier ll
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Treatment of minority interests and other investments
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Harmonisation with IFRS
- Final percentages and the transition timetable
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Conservation capital buffer
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Counter-cyclical capital buffers
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The broad intention - and the current proposals?
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Early warning signs of a boom-bust cycle
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Estimation of credit to GDP and other measures for each jurisdiction
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Estimation of capital buffers
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Home-host responses
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SIFIs and SIBS
Changes to the regulation of market and credit risk
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Why has traded market risk been highlighted as requiring attention?
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Reinforcement to the approval process for internal models
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Introduction of stressed VaR
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How is this to be calculated?
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What is the estimated impact?
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Introduction of the incremental risk charge to replace issuer specific risk
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What are the broad requirements?
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Netting and other mitigation
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Specifying and implementing the liquidity horizon
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An overview of credit portfolio modelling, including both default and migration, to estimate the IRC
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Criticisms of the IRC, and likely modifications
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Estimation of a capital charge for counterparty credit risk (CCR)
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What is the current state? Background to the existing formula
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Introduction of the Credit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA)
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How to model expected positive exposure
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Proposed bond equivalent approach
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The comprehensive risk approach
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Introduction of the 3-indicator methodology by the US
Practical applications: Computer demonstrations to reinforce how the calculations may be performed.
DAY TWO
Changes to the securitisation framework
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What went wrong, and what are the broad intentions?
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Dodd-Frank Act of July 2010
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Recalibration of the supervisory formula
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Specific risk charges and SF charges
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The IOSCO Code of Conduct
Multi-dimensional risk measures
Introduction of a liquidity framework
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Funding liquidity: What happened during the crisis?
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Estimation of the liquidity coverage ratio
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Estimation of the net stable funding ratio
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The supervisory stress test
- Regulatory metrics to estimate liquidity
DAY THREE
Other changes to Pillars 2 and 3
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Increased focus with Pillar 2
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Revised disclosure requirements under Pillar 3
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Changes to margining
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Possible changes to accounting provisioning
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Concerns:
Stress testing
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Why stress test? What are the recent lessons?
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What happens in times of stress?
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What constitutes a good stress test?
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What are the management messages from stress tests?
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Regulatory stress tests: Results from European tests
Corporate governance
Overall impact on the banking business model
Summary of course
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The course director is a consultant in the financial services industry. Until recently, he was Director of Financial Engineering at Lombard Risk Systems, one of the leading providers of derivative trading systems around the world. In this role he led a team responsible for the mathematical development of Lombard’s derivative trading and risk management systems. At the same time, he also undertook extensive client/product training and consultancy projects.
Prior to his role at Lombard Risk, he was Head of Financial Engineering at ANZ Merchant Bank in London, and was Reader in Finance at The Management School, Imperial College, which is part of the University of London. He has worked with many banks and financial institutions around the world, advising them on their derivative and risk management activities. He has an international reputation for his expertise in swaps, other derivatives and risk management.
He has also published widely in both academic and professional literature, his most recent book on Swaps and other Derivatives was published in December 2009, and he is currently writing a book on bank risk management. His approach to training is structured and practical. He has extensive experience and success in teaching both recent entrants to the derivatives markets and risk management, as well as highly experienced technical experts and market participants.
Courses run by this instructor
4-5 Star Hotel in Singapore, Singapore,
All of our courses are held in 4 – 5 star hotels, chosen for their location, facilities and level of service. You can be assured of a comfortable, convenient learning environment throughout the duration of the course.
Due to the variation in delegate numbers, we will send confirmation of the venue to you approximately 2 weeks before the start of the course. Course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.
Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.
Course dates