Délka:

3 dny

3 dny

Místo:

Praha, hotel NH Prague

Praha, hotel NH Prague

- The Revised Framework and Capital Definitions
- Building and Validating Internal Rating Systems
- Measuring Counterparty Risk
- Measuring IRC and CVA Capital Charges
- Measuring Market and Operational Risks
- Measuring and Managing Liquidity Ratios
- Supervisory Review, Stress Testing and ICAAP
- Basel III Impacts on Financial Markets

The purpose of this workshop is to give you a good understanding of and hands-on experience with the updated Basel rules for capital adequacy and liquidity coverage in banks.

We start with a general introduction to the Basel framework and give an overview of the changes that have been agreed to strengthen resilience of the banking system in the wake of the global financial crisis.

We discuss how the quality, consistency, and transparency of the capital base will be raised and the risk coverage of the capital framework will be strengthened by reducing procyclicality, improving risk management, and by introducing a countercyclical capital buffer and a gross leverage back-stop.

We then give a thorough explanation of how the various types of risk are measured under the Basel III and how these risk measures translate into capital charges. We start with credit risk, explaining how "risk-weighted assets" are calculated using the standardized and the internal rating based approaches (IRB). We carefully explain how internal ratings systems can be built, implemented, stress tested and validated, and we give examples of how capital charges and RWAs are calculated using the "supervisory risk weight function". We will also discuss the changing requirements for making conservative PD and LGD estimates and also the possible changes to the IRB risk weight function. We also discuss the strengthened requirements to measuring spread, counterparty and securitization risks.

Further, we explain and demonstrate how market and operational risk is quantified under the Basel III. We also give a thorough explanation of the new Basel liquidity ratios, illustrated by practical examples.

Finally we explain the requirements under "pillars 2 +3" for stress testing, internal capital assessment and allocation, and risk disclosure, and we discuss the role of supervisors under the supervisory review process. We also discuss the practical challenges of implementing the (new) rules. We look at the possible consequences of Basel III for the banking system.

The workshop will be highly practical with real-life examples, cases and exercises.

We start with a general introduction to the Basel framework and give an overview of the changes that have been agreed to strengthen resilience of the banking system in the wake of the global financial crisis.

We discuss how the quality, consistency, and transparency of the capital base will be raised and the risk coverage of the capital framework will be strengthened by reducing procyclicality, improving risk management, and by introducing a countercyclical capital buffer and a gross leverage back-stop.

We then give a thorough explanation of how the various types of risk are measured under the Basel III and how these risk measures translate into capital charges. We start with credit risk, explaining how "risk-weighted assets" are calculated using the standardized and the internal rating based approaches (IRB). We carefully explain how internal ratings systems can be built, implemented, stress tested and validated, and we give examples of how capital charges and RWAs are calculated using the "supervisory risk weight function". We will also discuss the changing requirements for making conservative PD and LGD estimates and also the possible changes to the IRB risk weight function. We also discuss the strengthened requirements to measuring spread, counterparty and securitization risks.

Further, we explain and demonstrate how market and operational risk is quantified under the Basel III. We also give a thorough explanation of the new Basel liquidity ratios, illustrated by practical examples.

Finally we explain the requirements under "pillars 2 +3" for stress testing, internal capital assessment and allocation, and risk disclosure, and we discuss the role of supervisors under the supervisory review process. We also discuss the practical challenges of implementing the (new) rules. We look at the possible consequences of Basel III for the banking system.

The workshop will be highly practical with real-life examples, cases and exercises.

- Background, Intentions and Scope
- Overview of Changes to Basel II

- Updated Capital Definition
- Tier 1 + Tier 2 capital

- The Risk-Based Capital Ratio
- New minimum requirements in relation to risk-weighted assets Non-Risk Based Leverage Ratio

- Countercyclical Capital Buffers
- The conservation buffer

- Promoting Forward-Looking Provisioning
- Transition Arrangements
- Special Capital Charges for Systemically Important Institutions

- Overview – What Has Changed?
- The Standardized Approach
- Using external ratings to calculate RWA

- The Internal Ratings Based (IRB) Approach
- Categorization of exposures
- Risk components
- The supervisory risk weight function

- Building an Internal Rating System
- Using credit scoring and other methods to assign clients to rating categories
- Estimating PD and LGD

- Recognition of Guarantees and Credit Derivatives under IRB
- Workshop: Estimating Capital Charge under the IRB Approach

- Validation of Rating Process
- Validation of the Rating System
- Model design
- Risk components
- Back-testing and benchmarking

- Workshop: Validate Small Rating System

- Overview
- Changes under Basel III
- The Standardized Method
- Internal Model Method
- CVA Capital Charge
- Treatment of “Wrong Way Risk”
- Workshop: Calculating RWA and Regulatory Capital the Standardized and IMM Approaches

- What Has Changed from Basel III?
- Measuring Market Risk in the Trading Book
- Measuring “Stressed VaR” Using Historical Simulation
- Measuring Interest Rate Risk in the Banking Book
- Workshop: Calculating Stressed VaR for a Small Trading Portfolio

- Basic Indicator Approach
- The Standardized Approach
- Advanced Measurement Approach
- Workshop: Calculating Capital Charge for OP Risk

- The Current Supervisory Regimes for Liquidity Risk
- Stock-based indicator angle
- Mismatch indicator angle

- The New Basel III Liquidity Ratios
- Liquidity Coverage Ratio
- Net Stable Funding Ratio

- Building a System that Can Generate Liquidity Curves and Estimate “Stressed” Net outflows
- Workshop: Calculating the New Basel Liquidity Ratios for Sample Bank
- Managing Liquidity Ratios under Basel III
- Building and Preserving Liquid Assets
- Securing Contingent Financing
- Case Study

- Overview of Changes in Basel III
- The enhanced Supervisory Review Process and ICAAP
- Enhanced disclosures and market discipline

- Stress Testing
- Basel III principles for sound stress testing practices and supervision

- Systems and Data Requirements – the New Challenges under Basel III
- How Will Basel III Impact Organization, Procedures?
- How will the updated Basel rules affect the banking and other markets?

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