Bank Capital Adequacy Under Basel III

Course Info

Length: 1 Week

City: Kuala Lumpur

Type: In Classroom

Available Dates

  • July-15-2024

    Kuala Lumpur

  • Aug-19-2024

    Kuala Lumpur

  • Sep-16-2024

    Kuala Lumpur

  • Oct-21-2024

    Kuala Lumpur

  • Nov-18-2024

    Kuala Lumpur

  • Dec-16-2024

    Kuala Lumpur

Dates in Other Venues

  • July-01-2024

    Dubai

  • July-01-2024

    Barcelona

  • July-08-2024

    Amsterdam

  • July-08-2024

    London

  • July-15-2024

    Istanbul

  • July-22-2024

    Paris

  • July-22-2024

    Dubai

  • July-29-2024

    Singapore

  • July-29-2024

    Barcelona

  • Aug-05-2024

    Dubai

  • Aug-05-2024

    Barcelona

  • Aug-12-2024

    London

  • Aug-12-2024

    Amsterdam

  • Aug-19-2024

    Istanbul

  • Aug-26-2024

    Singapore

  • Aug-26-2024

    Paris

  • Sep-02-2024

    Barcelona

  • Sep-02-2024

    Dubai

  • Sep-09-2024

    Amsterdam

  • Sep-09-2024

    London

  • Sep-16-2024

    Istanbul

  • Sep-23-2024

    Paris

  • Sep-23-2024

    Dubai

  • Sep-30-2024

    Singapore

  • Sep-30-2024

    Barcelona

  • Oct-07-2024

    Dubai

  • Oct-07-2024

    Barcelona

  • Oct-14-2024

    London

  • Oct-14-2024

    Amsterdam

  • Oct-21-2024

    Istanbul

  • Oct-28-2024

    Paris

  • Oct-28-2024

    Singapore

  • Nov-04-2024

    Dubai

  • Nov-04-2024

    Barcelona

  • Nov-11-2024

    London

  • Nov-11-2024

    Amsterdam

  • Nov-18-2024

    Istanbul

  • Nov-25-2024

    Paris

  • Nov-25-2024

    Singapore

  • Dec-02-2024

    Dubai

  • Dec-02-2024

    Barcelona

  • Dec-09-2024

    Amsterdam

  • Dec-09-2024

    London

  • Dec-16-2024

    Istanbul

  • Dec-23-2024

    Paris

  • Dec-23-2024

    Dubai

  • Dec-30-2024

    Barcelona

  • Dec-30-2024

    Singapore

Course Details

Course Outline

5 days course

 

Financial Regulation

 

  • Financial regulation: Is it possible?
  • The Bank for International Settlements (BIS)
  • The Basel Committee for Banking Supervision (BCBS)
  • Minimum Capital Requirements
  • Case study: Deutsche Bank (2016)
  • Risk-weighted assets and regulatory capital
  • The three accords: Basel, Basel II, Basel III
  • The three pillars: Pillar I, Pillar II, Pillar III
  • The three risks: Credit, market and operational

 

The Anatomy of the Basel Accords

 

  • Guided tour of the BIS, BCBS and the EBA websites
  • Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework (bcbs128).
  • Basel III: A global regulatory framework for more resilient banks and banking systems (bcbs189).
  • Capital Requirements Regulation (575/2013) (CRR)
  • Capital Requirements Directive (2013/36/EU) (CRD)
  • EBA Report: On Credit Valuation Adjustment (CVA) under CRR Article 456(2)
  • Group Work: A mind map of Basel III

 

Credit Risk

 

  • What is credit risk?
  • The three key elements of credit risk:
    • EAD, LGD, PD
  • The three approaches:
    • The standardized approach (SA)
    • The foundation internal ratings based approach (FIRB)
    • The advanced internal ratings based approach (AIRB)
  • Excel lab: Computing FIRB and AIRB ourselves
  • Revisions to the standardised approach for credit risk (d347).

 

Advanced Credit Risk

 

  • Specific exposures: Derivatives, contingent exposures, securitization, covered bonds
  • Credit risk mitigation techniques
    • Netting, collateral, credit derivatives
  • Counterparty Credit Risk in Basel III
  • Credit valuation adjustments (CVA)
  • Future developments: Basel IV, FRTB
  • Excel lab: The CVA of an interest rate swap
  • Review of the credit valuation adjustment risk framework (d325).

 

Market Risk

 

  • What is market risk?
  • The standardized approach (SA)
  • The internal models approach (IMA)
  • Value at Risk (VaR) and Expected Shortfall (ES)
  • Excel lab: The VaR and ES of General Electric Corp.
  • Stressed VaR and incremental risk charge
  • Minimum capital requirements for market risk (d352).
  • Case study: JP Morgan and the London Whale

 

Operational Risk

 

  • What is operational risk?
  • Case study: Societe Generale and Jerome Kerviel
  • The basic indicator approach (BIA)
  • The standardized approach (SA)
  • The advanced models approach (AMA)
  • Standardised measurement approach for operational risk (d355).
  • Liquidity monitoring tools
  • Basel III: The liquidity coverage ratio and liquidity risk monitoring tools (bcbs238).
  • Basel III: The net stable funding ratio (d295).

Course Video