The New Basel Banking Regulatory Framework

3 days 24-26 Apr 2017, London UK £3,645.00 + VAT* Download brochure Add to basket
3 days 10-12 Sep 2017, Dubai UAE £3,545.00 Download brochure Add to basket
3 days 6-8 Nov 2017, London UK £3,645.00 + VAT* Download brochure Add to basket

* Claim back your VAT
Find out more

Request a different date or location for this course (we regularly add courses following requests).

{{alternativeRequestSuccess}}
{{alternativeRequestError}}

* Claim back your VAT
Find out more

Overview

By attending this intensive 3-day course you will learn:

  • The evolution of the Basel II rules for bank capital: changes to both the quality and quantity
  • Regulatory updates for market, credit, and counterparty risks
  • The big omission: what will happen to the rating agencies?
  • Impact of the new Leverage and Liquidity constraints
  • How to formulate and articulate stress tests
  • Changes to the ICAAP
  • How does CRD IV (the European version) differ from Basel III
  • The likely effects of “Basel III” on the international banking business models, and therefore on other banks and bank customers
  • Where does banking regulation go after this?

Course overview

Towards the end of 2008, following the Western banking crisis, the Basel Committee announced a full-scale review of the banking capital framework. As a result, during 2009 and 2010, the industry has been flooded with proposals, consultative papers, impact studies, and firm decisions. This process was due to be completed by the end of 2010. However, desperate to get the new regulations “right”, and to avoid unintended consequences, the new proposals continue to emerge into 2015 and beyond. Many banking activities will be affected, and the broad consequences will severely impact banking strategies.
This 3-day course is designed to discuss the likely changes, and their impact on the banks and their business models, their customers and indeed the banking supervisors.

Teaching Methodology


This will be a mixture of traditional teaching, combined with case-studies and computer demonstrations.

Who should attend

  • Board members with risk responsibilities
  • CROs and Heads of Risk Management
  • Members of the Risk Management team
  • Compliance, 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
Dr. Richard Flavell

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.

Dubai
Dr. Richard Flavell

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.

Venue

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.

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.

Related Courses

Inhouse

We can bring this course to your company's office.

If you simply 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. Our tailored learning solutions are designed specifically for your organisation’s needs.

We’ll be here to support you every step of the way. From the initial consultancy through to evaluating the success of the full learning experience. We'll ensure you get the maximum return on your training investment.

Find out more

Agenda

Agendas are localised, please select your preferred location.

Day 1

Brief Overview of Events before and During the Banking Crisis

  • Securitisation and the mortgage markets
  • CDO markets, super senior tranches, the chase for yield, and the role of the rating agencies
  • Gain-on-Sale accounting and mark-to-market valuation
  • Reliance on whole-sale funding and the creation of funding liquidity risk
  • Use of structured investment vehicles and implicit support
  • Impact on the interbank markets
  • Limitations in stress testing
  • Procyclicality
  • Deficiencies in senior and risk management oversight

This section will be reinforced with some case-studies discussing what happened in specific organizations such as Sachsen LB, Royal Bank of Scotland, Halifax Bank of Scotland, as well as the US investment banking sector generally.

Changes to Capital itself

  • What are some of the major problems with the current definition?
    - Was capital truly loss absorbent?
  • An outline of the proposed changes
    - Concept of “going” and “gone” concerns
    - Removal of hybrid securities
    - Introduction of Common Equity Tier 1 and Additional Tier 1
    - Regulatory adjustments
    - Elimination of Tier 3 and harmonisation of Tier 2
    - Contingent convertibles and similar structures
    - Introduction of the “bail-in” clauses and PONV for all capital
    - What happened during the Cypriot crisis
    - Harmonisation with IFRS
    - Final percentages and the transition timetable
  • Conservation Capital Buffer
    - Why is the current Accord procyclical – and what are the dangers?
    - How the CCB will work
  • Counter-Cyclical Capital Buffers
    - The broad intention – and the current proposals?
    - Early warning signs of a boom-bust cycle
    - Estimation of credit to GDP and other measures for each jurisdiction
    - Estimation of capital buffers
    - Home-host responses
  • Systemically Important Banks – global, regional and domestic
  • What is the overall likely impact on the banking business mode
    - A view from the Bank of England

Changes to the Regulation of Market and Credit Risk

  • Why has traded market risk been highlighted as requiring attention?
    - Reviewing the boundary between baking and trading – some proposals
    - Reinforcement to the approval process for internal models
    - Introduction of Stressed VaR
    - How is this to be calculated?
    - What is the estimated impact?
  • Reminder: the use of external credit ratings in the Standardised Approach
    - Proposals to remove the ECRAs
    - What has the US done – the 3-indicator approach
  • Introduction of the Incremental Risk Charge to replace Issuer Specific Risk
    - What are the broad requirements?
    - Netting and other mitigation
    - Specifying and implementing the liquidity horizon
    - An overview of credit portfolio modelling, including both default and migration, to estimate the IRC
    - Criticisms of the IRC, and modification back to IRDC
    - Estimation of a capital charge for counterparty credit risk (CCR)
    - What is the current state? Background to the existing formula
    - Introduction of the Credit Valuation Adjustment (CVA)
    - How to model expected positive exposure
    - The comprehensive risk approach

Practical applications: There will be computer demonstrations to reinforce how the calculations may be performed

  • Centralised clearing for OTC derivatives
  • How is the credit default swap market operating?
  • Lessons to be learnt
  • Incentives and disincentives to centrally clear
  • What are the current Basel proposals?

Day 2

Changes to the Securitisation Framework

  • What went wrong, and what are the broad intentions?
  • Dodd-Frank Act of July 2010
  • Recalibration of the Supervisory Formula
  • Specific risk charges and SF charges
  • The IOSCO Code of Conduct

Multi-Dimensional Risk Measures

  • Is capital the only mitigant?
  • Introduction of a leverage constraint
    - Background: the US experience
    - Why a leverage constraint is required: the Swiss view
    - What is proposed – how is it likely to work?
    - Potential impact on activities such as Trade Finance
    - The overall timetable for parallel running and future calibration
    - Should this move into Pillar 1?

Introduction of a Liquidity Framework

  • Funding liquidity: what happened during the crisis?
  • Estimation of the Liquidity Coverage Ratio
    - What are eligible liquid assets?
    - Estimation of run-offs – as revised in 2013
    - The supervisory stress test
  • Estimation of the Net Stable Funding Ratio
    - Current 2014 proposals
    - Impact on long-term funding of infrastructure projects
    - The supervisory stress test
  • Changes to the timetable
  • Regulatory metrics to estimate liquidity
  • New monitoring tools

Day 3

Other Changes to Pillars 2 and 3

  • Increased focus with Pillar 2
    - Changing emphasis for the ICAAP
    - How the SReP may be adjusted
  • Revised disclosure requirements under Pillar 3
  • Changes to margining
  • Possible changes to accounting provisioning
  • Concerns:
    - Speed of national implementation
    - US

Basel III and CRD IV

  • What are the main differences

Stress Testing

  • Why stress test? What are the recent lessons?
    - How was stress testing viewed prior to 2007?
  • What happens in times of stress?
  • What constitutes a good stress test?
  • What are the management messages from stress tests?
    - Senior management responses to stress tests
  • Regulatory stress tests: results from 2010 and 2011 European tests

Corporate Governance

  • Lessons from the crisis
  • Getting the basics right
  • Continual risk monitoring
  • Enhanced oversight – the role of the Board Risk Committee

Changes to the Supervisory Process

  • Introduction of Risk-Based Supervision
  • How will this change the supervisory process
  • What changes are required within the banking supervisory

Overall Impact on the Banking Business Model

  • Likely changes to the banking product mix
  • Likely changes to pricing
  • Summary: some political views on Basel III
  • Will we have a Basel IV?

Summary of Course

Day 1

Brief Overview of Events before and During the Banking Crisis

  • Securitisation and the mortgage markets
  • CDO markets, super senior tranches, the chase for yield, and the role of the rating agencies
  • Gain-on-Sale accounting and mark-to-market valuation
  • Reliance on whole-sale funding and the creation of funding liquidity risk
  • Use of structured investment vehicles and implicit support
  • Impact on the interbank markets
  • Limitations in stress testing
  • Procyclicality
  • Deficiencies in senior and risk management oversight

This section will be reinforced with some case-studies discussing what happened in specific organizations such as Sachsen LB, Royal Bank of Scotland, Halifax Bank of Scotland, as well as the US investment banking sector generally.

Changes to Capital itself

  • What are some of the major problems with the current definition?
    - Was capital truly loss absorbent?
  • An outline of the proposed changes
    - Concept of “going” and “gone” concerns
    - Removal of hybrid securities
    - Introduction of Common Equity Tier 1 and Additional Tier 1
    - Regulatory adjustments
    - Elimination of Tier 3 and harmonisation of Tier 2
    - Contingent convertibles and similar structures
    - Introduction of the “bail-in” clauses and PONV for all capital
    - What happened during the Cypriot crisis
    - Harmonisation with IFRS
    - Final percentages and the transition timetable
  • Conservation Capital Buffer
    - Why is the current Accord procyclical – and what are the dangers?
    - How the CCB will work
  • Counter-Cyclical Capital Buffers
    - The broad intention – and the current proposals?
    - Early warning signs of a boom-bust cycle
    - Estimation of credit to GDP and other measures for each jurisdiction
    - Estimation of capital buffers
    - Home-host responses
  • Systemically Important Banks – global, regional and domestic
  • What is the overall likely impact on the banking business mode
    - A view from the Bank of England

Changes to the Regulation of Market and Credit Risk

  • Why has traded market risk been highlighted as requiring attention?
    - Reviewing the boundary between baking and trading – some proposals
    - Reinforcement to the approval process for internal models
    - Introduction of Stressed VaR
    - How is this to be calculated?
    - What is the estimated impact?
  • Reminder: the use of external credit ratings in the Standardised Approach
    - Proposals to remove the ECRAs
    - What has the US done – the 3-indicator approach
  • Introduction of the Incremental Risk Charge to replace Issuer Specific Risk
    - What are the broad requirements?
    - Netting and other mitigation
    - Specifying and implementing the liquidity horizon
    - An overview of credit portfolio modelling, including both default and migration, to estimate the IRC
    - Criticisms of the IRC, and modification back to IRDC
    - Estimation of a capital charge for counterparty credit risk (CCR)
    - What is the current state? Background to the existing formula
    - Introduction of the Credit Valuation Adjustment (CVA)
    - How to model expected positive exposure
    - The comprehensive risk approach

Practical applications: There will be computer demonstrations to reinforce how the calculations may be performed

  • Centralised clearing for OTC derivatives
  • How is the credit default swap market operating?
  • Lessons to be learnt
  • Incentives and disincentives to centrally clear
  • What are the current Basel proposals?

Day 2

Changes to the Securitisation Framework

  • What went wrong, and what are the broad intentions?
  • Dodd-Frank Act of July 2010
  • Recalibration of the Supervisory Formula
  • Specific risk charges and SF charges
  • The IOSCO Code of Conduct

Multi-Dimensional Risk Measures

  • Is capital the only mitigant?
  • Introduction of a leverage constraint
    - Background: the US experience
    - Why a leverage constraint is required: the Swiss view
    - What is proposed – how is it likely to work?
    - Potential impact on activities such as Trade Finance
    - The overall timetable for parallel running and future calibration
    - Should this move into Pillar 1?

Introduction of a Liquidity Framework

  • Funding liquidity: what happened during the crisis?
  • Estimation of the Liquidity Coverage Ratio
    - What are eligible liquid assets?
    - Estimation of run-offs – as revised in 2013
    - The supervisory stress test
  • Estimation of the Net Stable Funding Ratio
    - Current 2014 proposals
    - Impact on long-term funding of infrastructure projects
    - The supervisory stress test
  • Changes to the timetable
  • Regulatory metrics to estimate liquidity
  • New monitoring tools

Day 3

Other Changes to Pillars 2 and 3

  • Increased focus with Pillar 2
    - Changing emphasis for the ICAAP
    - How the SReP may be adjusted
  • Revised disclosure requirements under Pillar 3
  • Changes to margining
  • Possible changes to accounting provisioning
  • Concerns:
    - Speed of national implementation
    - US

Basel III and CRD IV

  • What are the main differences

Stress Testing

  • Why stress test? What are the recent lessons?
    - How was stress testing viewed prior to 2007?
  • What happens in times of stress?
  • What constitutes a good stress test?
  • What are the management messages from stress tests?
    - Senior management responses to stress tests
  • Regulatory stress tests: results from 2010 and 2011 European tests

Corporate Governance

  • Lessons from the crisis
  • Getting the basics right
  • Continual risk monitoring
  • Enhanced oversight – the role of the Board Risk Committee

Changes to the Supervisory Process

  • Introduction of Risk-Based Supervision
  • How will this change the supervisory process
  • What changes are required within the banking supervisory

Overall Impact on the Banking Business Model

  • Likely changes to the banking product mix
  • Likely changes to pricing
  • Summary: some political views on Basel III
  • Will we have a Basel IV?

Summary of Course

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.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product