Introduction to Basel II and Evolutions in Basel III

INTRODUCTION

Key players and organisation of risk management
  • Basel committee and domestic regulatory bodies
  • Overview of the genesis of the Basel II&III reforms.
  • Internal risk management organisation

BASEL II REFORM

Objectives and Issues of the Reform
  • Solvency ratio
  • The 3 Pillars
Tools and Methods
Pillar 1: risks
  • Credit risks
  • Presentation and analysis of the standard method
  • Internal rating system: participants and organisation
  • Presentation and analysis of the internal method (IRB)
  • Basel parameters: PD, LGD, EAD, CCF…
  • Expected and unexpected losses (EL and UL)
  • Risk mitigation elements
  • Practical studies:
  • Calculation and analysis of capital use according to various methods
  • Revision on market risks: trading book definition,standard valuation methods and Value at Risk (VaR)
  • Simple VaR calculation
  • Operational risks
  • Measurement of operational risk
  • Introduction to techniques of risk control and management
Pillar 2: risk monitoring
  • Objectives and issues
  • Constraints and implications for banks
Pillar 3: discipline and disclosure
  • Objectives and issues
  • Critical analysis of the new ratio
Impacts of Basel II
  • On internal structures
  • On customer deals and the bank strategy
  • On financial markets
Post-crisis developments : overview of Basel III
  • Towards new prudential ratios
  • Reinforcement of equity capital
  • Concept of leveraged debt ratio
  • Market activities standards (IRC, stressed VaR...)
  • Notion of liquidity risk and liquidity ratio
  • Macro-prudential surveillance
  • Timeline

  • Understand Basel II and the 3 Pillars
  • Acquire a basic knowledge of market, credit and operational risks measurement methods
  • Understand VaR internal method for market risks
  • Calculate and analyze the minimum requirements of capital according to the different methods
  • Understand the specific terminology of the Basel II and Basel III reforms
  • Understand the implications of Basel II on banking and financial markets and the evolutions of the reforms following the 2007 – 2009 crises
  • General overview of the reform and its deep implications
  • Review of the new approaches implemented by Basel II
  • No mathematical prerequisite
  • Bank employees or consultants involved in Basel II issues
  • Anyone who want to acquire the basics of the Basel Committee (Basel II and concepts of Basel III)
Close

Send a link to this seminar

You can recommend this seminar to your contact using this form. A link to this page will be included in your message.