Basel III and the Regulatory Framework

3 days 2-4 Sep 2018, Dubai UAE £3,395.00 Download brochure Add to basket
3 days 5-7 Nov 2018, London UK £3,395.00 + VAT* Download brochure Add to basket

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Overview

This Programme is designed to give participants a comprehensive understanding of both the key aspects of the Basel regulations on capital and liquidity adequacy and their application in practice.

The intensive and interactive 3-day course will be delivered by a combination of lectures, class discussion, worked examples, case studies and both individual and team exercises.  Also, there will be opportunities to network with colleagues and peers from across the industry; all of whom face similar challenges in absorbing the volume of regulatory change since the financial crisis and understanding the interrelationships between the different aspects of the rules.

Who Should Attend:

  • Board members with risk responsibilities
  • CROs and Heads of Risk Management
  • Members of the Risk Management team
  • Compliance officers
  • Legal and IT support staff
  • Central bank staff and supervisors
  • Rating Agency Analysts

 

Instructors

We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

London
Chris Westcott
Chris Westcott has had over 30 years of experience in the banking industry, with the majority of time spent working in the U.K. in the field of treasury management.
 
He has held a range of senior positions in the Treasury functions of both Nat West and RBS. These have included divisional 'Treasurer' roles and various project assignments, such as leading the development of an in-house securitisation capability and the integration of the ABN AMRO treasury function post-acquisition.
 
More recently, in the lead-up to the implementation of the European Capital Requirements Directive IV, Chris was the Basel 3 Programme Director for RBS, accountable for over-seeing the group-wide set of projects to achieve compliance with the new regulations.
 
Chris is currently Head of Faculty for Bank Treasury Risk Management (BTRM), the world's first practitioner developed and practitioner orientated professional qualification in bank asset-liability management. He is also a Visiting Lecturer at the University of Hertfordshire in the UK.
Dubai
Chris Westcott
Chris Westcott has had over 30 years of experience in the banking industry, with the majority of time spent working in the U.K. in the field of treasury management.
 
He has held a range of senior positions in the Treasury functions of both Nat West and RBS. These have included divisional 'Treasurer' roles and various project assignments, such as leading the development of an in-house securitisation capability and the integration of the ABN AMRO treasury function post-acquisition.
 
More recently, in the lead-up to the implementation of the European Capital Requirements Directive IV, Chris was the Basel 3 Programme Director for RBS, accountable for over-seeing the group-wide set of projects to achieve compliance with the new regulations.
 
Chris is currently Head of Faculty for Bank Treasury Risk Management (BTRM), the world's first practitioner developed and practitioner orientated professional qualification in bank asset-liability management. He is also a Visiting Lecturer at the University of Hertfordshire in the UK.

Venue

Dubai

Dubai Finance

This programme takes place on a non-residential basis at a central 4 to 5* Dubai hotel. Non-residential 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.

If you need help booking accommodation for your visit to our training courses, please contact accommodation@euromoneylearningsolutions.com and one of our partners will help you get the best rate possible.

London

Central London Hotel Venue

All courses are held at four or five star venues in Central London, Zone 1. We strive to provide you with a training environment of the highest quality, to ensure that the whole learning experience exceeds your expectations.

Your training venue will be confirmed by one of our course administrators approximately 3-4 weeks before the course start date. If you need help booking accommodation for your visit to our training courses, please contact accommodation@euromoneylearningsolutions.com and one of our partners will help you get the best rate possible.

Related Courses

Inhouse


 

Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:





Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

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We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:


Read more about our offering or complete a call back request to speak to a learning specialist.

 

Agenda

Agendas are localised, please select your preferred location.

Day 1


Introduction
  • A brief overview of Basel 1
  • Risk Weighted Assets for credit risk
  • The 3 Pillars of Basel 2 (minimum capital requirements, supervisory review and market discipline)
  • A menu of calculation approaches (Standardised, Foundation IRB and Advanced IRB)
  • The credit risk framework (probability of default, loss given default and exposure at default parameters)
  • The operational risk framework
  • The market risk framework
  • Class discussion on deficiencies with the Basel 1 and Basel 2 approaches

Capital

  • Recap on minimum capital requirements under Basel 2
  • Deficiencies of the Basel 2 approach
  • Basel 3 minimum capital requirements
  • New qualifying criteria for different categories of capital
  • Going versus gone concern capital
  • Contingent convertible bonds (COCOs)
  • Capital Deductions
  • Grandfathering of Capital Instruments
  • Capital Conservation Buffer
  • Counter-Cyclical Buffer
  • Systemic Risk Buffer

Team exercise: comparing the aggregate capital requirement between Basel 2 and Basel 3

Basel 3 Measures to Enhance Risk Coverage

  • Strengthening the coverage of the trading book
  • Counterparty credit risk
  • Stressed Effective Expected Exposure
  • The Credit Valuation Adjustment (CVA)
  • The Asset Value Correlation
  • Margin Period of Risk
  • Wrong way risk
  • Transactions with central counterparties

Changes to the Securitisation Framework

  • The Basel 2 securitisation framework
  • Shortcomings with the Basel 2 approach
  • Revised methodologies for the calculation of regulatory capital requirements for securitisation exposures
  • Simple, transparent and comparable securitisations

The Leverage Ratio

  • Is a capital ratio the only necessary constraint?
  • Background: the US experience and Swiss view
  • The introduction of a non-risk based leverage constraint
  • Class discussion on the impact of leverage ratio constraints on bank business models

The Internal Capital Adequacy Assessment Process (ICAAP) and Stress Testing

  • The ICAAP Process
  • What constitutes a good stress scenario?
  • Supervisory stress scenarios
  • Reverse stress tests
  • The Supervisory Review and Evaluation Process (SREP)
  • Individual Capital Guidance/The PRA Buffer
  • Team exercise on practical issues and best practice in ICAAP preparation followed by presentation from Course Instructor

Day 2


Liquidity Risk

  • An assessment of Liquidity Risk Management in the lead-up to the Global Financial Crisis
  • Case studies of Northern Rock and RBS
  • Basel Committee Sound Practices for Liquidity Risk Management
  • The Liquidity Coverage Ratio (LCR)
  • Characteristics of liquid assets
  • The LCR stress scenario
  • The Net Stable Funding Ratio (NSFR)
  • Individual exercise; calculating and managing LCR and NSFR
  • Implementation timetable in different jurisdictions
  • The implications of LCR and NSFR for funding and lending strategy
  • Team exercise; What is missing from the LCR Requirements?
  • Implementation of the liquidity rules in the US and Switzerland
  • Intraday liquidity risk
  • Individual Liquidity Adequacy Assessment Process (ILAAP)
  • Basel Committee Additional Monitoring Metrics
  • PRA approach to Pillar 2 Liquidity in the UK
  • Funds transfer pricing and liquidity risk premia

Interest Rate Risk in the Banking Book (IRRBB)

  • The types of IRRBB
  • Worked examples of the measurement of interest rate risk using Net Interest Income sensitivity and Economic Value of Equity sensitivity
  • The management of interest rate risk, including how to handle behavioural options and basis risks
  • The Basel Committee Principles for the management of IRRBB and a critical assessment of their effectiveness

Revised Minimum Capital Requirements for Market Risk

  • Shortcomings with the Basel 2 approach
  • The revised internal models and standardised approaches
  • A shift from Value-at-Risk (VaR) to an Expected Shortfall (ES) measure of risk under stress
  • Incorporation of the risk of market illiquidity
  • A revised boundary between the trading book and banking book
  • Implementation timeline


 

Day 3

Consolidating the learning so far
Individual exercise; investigating the full effect of the Basel 3 regulations on balance sheet resources, based upon a single facility

Aligning Financial and Regulatory Approaches to Loan Loss Provisioning

  • IFRS9 and Expected Credit Losses
  • Implementation timetable
  • The expected impact on financial institutions

Corporate Governance

  • Lessons from the global financial crisis
  • Enhanced oversight – the role of the Board Risk Committee

Practical Issues with Basel 3 Implementation

  • One version of the rules, Basel 3 v Capital Requirements Directive IV (CRD IV)
  • The pace of implementation in different jurisdictions
  • Requirements gathering through to full compliance
  • The cost of compliance?
  • The impact on balance sheet resources
  • A case study on Barclays Bank Group
  • Class discussion on how to mitigate the impacts of Basel 3 on balance sheet resources

The Basel 3 Reforms issued in December 2017
The changing face of bank regulation

  • Amendments to
  • standardised approach for credit risk
  • internal ratings-based approaches for credit risk
  • Credit Valuation Adjustment risk framework
  • operational risk framework – towards a single standardised approach
  • Leverage Ratio framework
  • Output Floor

Transitional arrangements
An impact analysis of the Basel 3 Reforms
Class discussion: Where next for banking regulation of capital and liquidity?

Day 1


Introduction
  • A brief overview of Basel 1
  • Risk Weighted Assets for credit risk
  • The 3 Pillars of Basel 2 (minimum capital requirements, supervisory review and market discipline)
  • A menu of calculation approaches (Standardised, Foundation IRB and Advanced IRB)
  • The credit risk framework (probability of default, loss given default and exposure at default parameters)
  • The operational risk framework
  • The market risk framework
  • Class discussion on deficiencies with the Basel 1 and Basel 2 approaches

Capital

  • Recap on minimum capital requirements under Basel 2
  • Deficiencies of the Basel 2 approach
  • Basel 3 minimum capital requirements
  • New qualifying criteria for different categories of capital
  • Going versus gone concern capital
  • Contingent convertible bonds (COCOs)
  • Capital Deductions
  • Grandfathering of Capital Instruments
  • Capital Conservation Buffer
  • Counter-Cyclical Buffer
  • Systemic Risk Buffer

Team exercise: comparing the aggregate capital requirement between Basel 2 and Basel 3

Basel 3 Measures to Enhance Risk Coverage

  • Strengthening the coverage of the trading book
  • Counterparty credit risk
  • Stressed Effective Expected Exposure
  • The Credit Valuation Adjustment (CVA)
  • The Asset Value Correlation
  • Margin Period of Risk
  • Wrong way risk
  • Transactions with central counterparties

Changes to the Securitisation Framework

  • The Basel 2 securitisation framework
  • Shortcomings with the Basel 2 approach
  • Revised methodologies for the calculation of regulatory capital requirements for securitisation exposures
  • Simple, transparent and comparable securitisations

The Leverage Ratio

  • Is a capital ratio the only necessary constraint?
  • Background: the US experience and Swiss view
  • The introduction of a non-risk based leverage constraint
  • Class discussion on the impact of leverage ratio constraints on bank business models

The Internal Capital Adequacy Assessment Process (ICAAP) and Stress Testing

  • The ICAAP Process
  • What constitutes a good stress scenario?
  • Supervisory stress scenarios
  • Reverse stress tests
  • The Supervisory Review and Evaluation Process (SREP)
  • Individual Capital Guidance/The PRA Buffer
  • Team exercise on practical issues and best practice in ICAAP preparation followed by presentation from Course Instructor

Day 2


Liquidity Risk

  • An assessment of Liquidity Risk Management in the lead-up to the Global Financial Crisis
  • Case studies of Northern Rock and RBS
  • Basel Committee Sound Practices for Liquidity Risk Management
  • The Liquidity Coverage Ratio (LCR)
  • Characteristics of liquid assets
  • The LCR stress scenario
  • The Net Stable Funding Ratio (NSFR)
  • Individual exercise; calculating and managing LCR and NSFR
  • Implementation timetable in different jurisdictions
  • The implications of LCR and NSFR for funding and lending strategy
  • Team exercise; What is missing from the LCR Requirements?
  • Implementation of the liquidity rules in the US and Switzerland
  • Intraday liquidity risk
  • Individual Liquidity Adequacy Assessment Process (ILAAP)
  • Basel Committee Additional Monitoring Metrics
  • PRA approach to Pillar 2 Liquidity in the UK
  • Funds transfer pricing and liquidity risk premia

Interest Rate Risk in the Banking Book (IRRBB)

  • The types of IRRBB
  • Worked examples of the measurement of interest rate risk using Net Interest Income sensitivity and Economic Value of Equity sensitivity
  • The management of interest rate risk, including how to handle behavioural options and basis risks
  • The Basel Committee Principles for the management of IRRBB and a critical assessment of their effectiveness

Revised Minimum Capital Requirements for Market Risk

  • Shortcomings with the Basel 2 approach
  • The revised internal models and standardised approaches
  • A shift from Value-at-Risk (VaR) to an Expected Shortfall (ES) measure of risk under stress
  • Incorporation of the risk of market illiquidity
  • A revised boundary between the trading book and banking book
  • Implementation timeline


 

Day 3

Consolidating the learning so far
Individual exercise; investigating the full effect of the Basel 3 regulations on balance sheet resources, based upon a single facility

Aligning Financial and Regulatory Approaches to Loan Loss Provisioning

  • IFRS9 and Expected Credit Losses
  • Implementation timetable
  • The expected impact on financial institutions

Corporate Governance

  • Lessons from the global financial crisis
  • Enhanced oversight – the role of the Board Risk Committee

Practical Issues with Basel 3 Implementation

  • One version of the rules, Basel 3 v Capital Requirements Directive IV (CRD IV)
  • The pace of implementation in different jurisdictions
  • Requirements gathering through to full compliance
  • The cost of compliance?
  • The impact on balance sheet resources
  • A case study on Barclays Bank Group
  • Class discussion on how to mitigate the impacts of Basel 3 on balance sheet resources

The Basel 3 Reforms issued in December 2017
The changing face of bank regulation

  • Amendments to
  • standardised approach for credit risk
  • internal ratings-based approaches for credit risk
  • Credit Valuation Adjustment risk framework
  • operational risk framework – towards a single standardised approach
  • Leverage Ratio framework
  • Output Floor

Transitional arrangements
An impact analysis of the Basel 3 Reforms
Class discussion: Where next for banking regulation of capital and liquidity?

Why us


We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
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