The Essence of Risk Management 

• Understanding risk management
• Key building blocks
• The relationship to the CCAR
• Regulatory expectations
• Best practices
• Challenges in practice

Regulation and the CCAR 

• The impact of recent crises on the CCAR
• What goes wrong in banking?
• The impact of unexpected change
• Regulatory overview
• The structure of the CCAR
• The CCAR as a project
• The impact of liquidity on the CCAR
• The CCAR in practice
• Examples and approaches
• Risk mitigation and approaches 

Risk Based Capital, Liquidity, Capital Management and Liquidity Management 

• Economic capital and profit
• A modern capital management framework
• Components of capital management
• Classes of capital
• Funds Transfer Pricing – FTP
• Activity Based Costing – ABC
• The liquidity rules
• Capital at Risk
• Liquidity at Risk
• The use test 

Internal Capital Adequacy Assessment Process 

• The key principles
• Suggested framework, content and layout
• Prudence and conservatism
• Period to be covered
• The CCAR process from preparation to Board approval
• Challenge and independent review
• Capital position – content and layout
• Regulatory & economic capital – content and layout
• Capital reconciliation – content and layout
• CCAR ‘Hot Buttons’ and regulatory feedback
• The audit work conducted elsewhere
• The internal audit matrix
• Gaining sufficient confidence

 Operational Risk 

• The role in the CCAR
• What is in Pillar 1 and what is in Pillar 2
• BIS Sound Practices
• Operational risk loss distributions
• Basel II – AMA Requirements
• Conventional op risk management tools & methods:
  • Process & control mapping
  • Risk & control assessment processes
  • Risk & control registers
• The audit approach – look to other audit work

Credit Risk 

• The role in the CCAR
• What in is Pillar 1 and what is in Pillar 2
• Risk drivers (PD, LGD and EAD)
• Standardised Approach
• Internal Ratings Based (IRB) approach
• Changing regulatory expectations
• Dealing with uncertainty
• The approach to provisioning

Market Risks 

• The role in the CCAR
• Value-at-Risk (VaR) and VaR methods
• Typical parameters for VaR
• Basel II and Basel II.5 market risk capital
• Back testing
• VaR limitations   

Liquidity Risk 

• The structure of the ILAA
• The relationship to the CCAR
• Asset Liability Management (ALM)
• Yield curves
• BIS liquidity sound principles
• Liquidity gap
• Maturity ladder
• Uncertainties in liquidity management 

Other Risks and their role in the CCAR 

• Transfer risk
• Interest Rate Risk in the Banking Book (IRRBB)
• Property risk
• Equity (investment) risk
• Foreign currency translation risk
• Reputational risk
• Securitisation risk
• Pension risk
• Settlement risk   

Risk Appetite 

• The role in the CCAR
• Critiquing a risk appetite statement submitted for Board approval
• What does risk appetite mean in practice  

 Strategy 

• Strategy and the CCAR
• Goals and missions
• Developing strategy
• Implementing strategy

 Stress Testing / Scenario Analysis 

• What is stress testing?
• What is reverse stress testing?
• What is the difference between scenario modelling and stress testing
• The role in the CCAR
• Specific requirements
• Confidence Levels
• Types of stress tests
• The relation between distributions and stress testing
• Scenario modelling, sensitivity analysis, historical vs. models
• The macro perspective and risk correlation
• BIS Principles of sound stress testing
• Building an integrated framework

Credit Risk Stress Tests 

• Types of credit stress tests
• Catastrophe scenarios
• How to develop typical stress tests
• How to build credit risk stress modelling into a risk framework  

 Liquidity and  Market Risk Stress Tests 

• Types of market risk stress tests
• How markets move under stress
• Risk mitigation strategies
• Linkage to credit stress tests
• How to develop typical stress tests
• How to build market risk stress modelling into a risk framework
• Types of liquidity risk stress tests
• Reserve funding lines
• How to build liquidity risk stress modelling into a risk framework  

Operational Risk Scenario Tests 

• Types of operational scenario tests
• Use of external loss data
• Lessons from major disasters
• How to develop generic scenarios

Reporting Stress Testing

• How will stress testing be reported to management
• How to gain the attention of the Board
• Leading to action

Reverse Stress Testing 

• What is a reverse stress test?
• What is a living will?
• How will reverse stress tests be conducted?
• What are the assumptions that will be made?
• How will this be reported to management?
• Relationship to the CFP
• Relationship to the RRP

Discussion, Q&A and Optional Assessment

END

Participants will gain knowledge of approaches to risk and capital management and their presentation in the CCAR.  Specifically they will address the following:

• The role of risk management
• The structure and format of a CCAR
• The impact of key risks n the CCAR
• The role of liquidity risk management
• The impact of stress testing
• The actions to be taken

Delegates who complete the course will receive a Certificate with equivalent CPD/CPE credits via email; and for those who require an assessment as a demonstration of competency via training a 20 multiple-choice questions and answers quiz, remotely invigilated with results report and 1 resit, is available at no additional charge when requested at time of reservation.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)