Global Markets & Times Zones
CPEs: 24
Instructor: Risk Reward Faculty
Level: Intermediate
Tuition: £2,995.00
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NEW Basel II/III, Capital Management and the ICAAP BSL013

Location: Global Markets & Times Zones

First Date: Mar 4 - 6 2024

Duration: 3 days

Programme Director: Dennis Cox FCSI FRISM FCA AIIA BFP

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.

All our 2024 Virtual and Face-to-Face Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to bring this course in-house and/or at your location anywhere worldwide for any sized group or 1:1? Simply contact us for a prompt and courteous reply offering significant cost savings and dates to meet your specific requirements.

"The instructor kept my attention and really did his best to engage the diverse group. Very good review of the entire Basel piece."
Enterprise Risk Intern, Saudi Industrial
Agenda Highlights

Session 1: The Basel Accords journey I – IV

Session 2: The Essence of Risk Management

Session 3: The Basel Framework

Session 4: Risk Based Capital Management – An Overview

Session 5: Risk Adjusted Performance Measurement (RAPM)

Session 6: The Internal Capital Adequacy Assessment Process (ICAAP)

Session 7: Enterprise Risk Management (ERM)

Session 8: Principal Risk Categories and their Economic Capital Treatment

Session 9: Liquidity Risk

Session 10: Corporate Risk Management and Governance

Session 11: Risk Appetite

Session 12: Stress Testing and Scenario Analysis

Session 13: Business Risk

Session 14: Inter-Risk Diversification

Session 15: A Look into the Future





"Very knowledge trainer. Highly beneficial course."
Risk manager, Japanese-American Bank, California

As banks strive for value creation in a highly competitive environment, they inevitably create risks. The greatest threat to a financial institution is when such risks are not properly identified, measured or managed. In these circumstances the result is invariably unexpected losses which, as the financial crisis has demonstrated, can threaten the existence of banks of all sizes.

The regulatory response to recent events is contained in Basel III which sets out to make capital requirements more risk-sensitive, enhance risk coverage and strengthen the loss absorbency of available capital. It introduces the concept of building capital buffers during good times so that banks are better positioned to absorb the losses that occur during periods of stress. Basel III further introduces new liquidity management standards.

Notwithstanding Basel III, banks continue to focus their internal risk management programmes, among other things, on finding an expression of their true economic exposure to risk in the form of economic capital.

"A very useful course and excellent trainer! The most impactful topics were risk appetite and KRIs for [those of us] in compliance."
Compliance manager, HSBC, Taiwan
Who Should Attend

Risk, finance, project, audit and compliance staff and management involved in developing or reviewing approaches to risk and capital management or implementing Basel III.

Additional Course Information

What Does It Cover?


  • The Basel Accounts journey
  • Why regulatory capital?
  • The evolving Basel Accords – an overview of Basel I, II, & III

The Essence of Risk Management

  • Confidence intervals and loss distributions
  • The DNA of risk management

Case study: analysing threats of unexpected losses leading to capital erosion

The Basel Framework

  • Basel II and III in more detail:
    • Point of non-viability and the new capital ratios
    • Common equity and regulatory adjustments
    • Capital conservation and countercyclical buffers
    • Leverage ratio
    • Liquidity coverage and net stable funding ratios
    • Counterparty credit risk
    • Basel III timeline – phase-in arrangements

Risk Based Capital Management – An Overview

  • The evolving risk landscape and its impact on capital
  • The different forms of capital and their interrelationship – book, economic and regulatory
  • Key elements of available capital – Tiers 1, 2 & 3
  • Capital hybrids – an example
  • A best practice capital management framework 

Case Study: understanding and analysing the origins of systemic risk  

Risk Adjusted Performance Measurement (RAPM)

  • Best practice management of financial resources:
    • Activity Based Costing (ABC)
    • Funds Transfer Pricing (FTP)
    • Risk Based Capital (RBC)
  • Using RAPM for decision support and management reporting
  • Risk Adjusted Return on Capital (RAROC)
  • Implementation issues and transitional arrangements

Case Study: migrating to a risk based (RAPM) performance management system 

The Internal Capital Adequacy Assessment Process (ICAAP)

The ICAAP purpose and key features

  • The core principles of a best practice ICAAP
  • Supervisory guidance and framework
  • The supervisory review and evaluation process (SREP)
  • A summary capital position
  • Reconciling book, economic and regulatory capital 

Case Study: reviewing and critiquing sample ICAAPs

Enterprise Risk Management (ERM)

  • What is ERM and why is it important?
  • The benefits of effective ERM
  • The importance of Enterprise Risk Management (ERM)
  • Understanding the key elements of an effective risk management programme
  • Roles and responsibilities within ERM

Case Study: preparing ERM risk diagnostics and reporting to management 

Principal Risk Categories and their Economic Capital Treatment 

Credit Risk

  • The standardised and internal ratings-based approaches
  • Economic capital-based decision making
  • Model risk and potential impact

Market Risk

  • Trading book risk management overview
  • Trading vs. banking book
  • Value-at-Risk (VaR) – its uses and limitations

Interest Rate Risk in the Banking Book (IRRBB)

  • Banking book risk management overview
  • The effect of yield curves – funding gap and simulation analysis

 Operational Risk

  • Basic, standardised and advanced approaches
  • Risk quantification under Basel II and its limitations
  • Op risk management tools & techniques
  • Loss event data

Case Study: assessing the effectiveness of risk management tools & techniques  

Liquidity Risk

  • The new (Basel III) liquidity risk rules
  • BCBS sound practices
  • The liquidity coverage and net stable funding ratios
  • Monitoring tools and techniques

Session 10: Corporate Risk Management and Governance

  • Corporate governance structures
  • BCBS sound practices
  • Three lines of defence

Risk Appetite

  • Definition and key concerns
  • Constructing a loss sensitivity matrix
  • The risk appetite setting process and overview

Case study: reviewing and critiquing actual statements of risk appetite from the industry and recommending improvements

Stress Testing and Scenario Analysis

  • BCBS sound principles
  • A stress testing framework
  • Management interventions and their impact
  • Stress testing shock waves

Business Risk

  • What is business risk?
  • Earnings volatility model and method of calculation

Inter-Risk Diversification

  • What is inter-risk diversification?
  • Calculating and allocating diversification benefits 

A Look into the Future

  • Convergence of risk and accounting systems – can it be done?
  • Basel III – status of implementation in the industry and emerging issues
  • Regulatory reform and the role of the Financial Stability Board (FSB)
  • Analysis of regulatory reform and the impact on banks and the likely response
  • Recent Basel papers – a directional change in thinking?

Pulling It All Together

  • Constructing the ICAAP – an approach
  • What content and how much detail
  • The challenge process and ensuring acceptance

Case study: constructing a threats / mitigation heat map




Learning Objectives

This course examines the latest tools, techniques and best practices surrounding economic capital calculation and risk-based capital management and how to structure an Internal Capital Adequacy Assessment Process (ICAAP) that maximizes its inherent motivational incentives. It considers the Basel accords, with particular focus on Basel III, and examines the composition and interrelationship between the various types of capital – available (book), regulatory and economic – and explores frameworks for their effective management.

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.


Social Learning & Methods

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.)


NEW Basel II/III, Capital Management and the ICAAP

Course Fee

Apply 10% discount code RISK10 by December 15, 2023 at check-out

Course Fee (per person):
GBP £2,995.00 (+ UK VAT when applicable)

Number of delegates:

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