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Updated Basel III, Liquidity Management & Stress Testing BSL014
Location: UK Europe EMEA GCC Time Zones
Duration: 3 days
Programme Director: Risk Reward Faculty
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Venue Details
Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.
All our 2024 Live, on-site and Live Virtual 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, train your team or 1:1? Simply contact us for significant cost savings and dates best suited to meet your specific needs.
Agenda Highlights
Session 1: The Essence of Risk Management
Session 2: The Basel Accords
Session 3: Risk-Based Economic Capital and Capital Management
Session 4: Credit Risk
Session 5: Market Risks
Session 6: Liquidity Risk
Session 7: Measuring Liquidity Risks
Session 8: Monitoring Liquidity Risks
Session 9: Managing Liquidity Risks
Session 10: Controlling Liquidity Risk
Session 11: An Introduction to Stress Testing & Scenario Modelling
Session 12: The Regulatory Imperative
Session 13: Credit Risk Stress Tests
Session 14: Market Risk Stress Tests
Session 15: Liquidity Risk Stress Tests
Session 16: Combined Stress Tests
Overview
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 demonstrates, can threaten the very 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.
By the end of this course participants will have a detailed understanding of the nature of liquidity risk. They will be able to assess its impact upon the trading and non-trading operations of financial institutions and will possess knowledge of the range of activities and actions that are available to measure, manage and control liquidity risk within financial institutions.
Delegates will also gain a better understanding as to what it really means for an institution to be under stress and what has caused institutions to fail before. The course will consider how this fits within the Basel II framework and also what actions should have been taken to prevent such failures from having occurred.
Who Should Attend
Risk management, finance, audit and compliance staff and management involved in developing or reviewing approaches to risk management, capital management, risk adjusted performance measures, and the ICAAP.
Additional Course Information
What Does It Cover?
Session 1: The Essence of Risk Management
- Understanding risk management
- Confidence Levels – General
- Confidence Levels – Banking
Session 2: The Basel Accords
- Basel I & II overview… an evolutionary process
- Why regulatory capital?
- Basel III – what’s new and the implications for banks
Session 3: Risk Based Economic Capital and Capital Management
- Economic capital and profit
- A modern capital management framework
- Components of capital management
- Classes of capital – Tiers 1, 2 & 3
- Composition of available (book) capital under Basel II & III
- Regulatory vs. economic capital
Session 4: Credit Risk
- Risk drivers
- Basel II & III and the implications for credit risk
Session 5: Market Risks
- Definition
- The trading book and the banking book
- Value-at-Risk (VaR) and VaR methods and limitations
- Basel II market risk capital
- Latest revisions to Basel II market risk framework
- Incremental Risk Capital Charge
- Comprehensive Risk Capital Charge
Session 6: Liquidity Risk
- Definition
- BIS sound principles
- Sample liquidity gap
- Sample maturity ladder
- Basel III – what’s new?
Session 7 Measuring Liquidity Risks
- Liquidity Gap Analysis
- Volatilities
- Duration Analysis
- Stress Testing
- Scenario Analysis
- Credit Risk
Session 8: Monitoring Liquidity Risks
- MIS
- Investment and Debt Policies
- Hedging Policies
Session 9: Managing Liquidity Risks
- Asset and Debt Management Structures
- Cash-flow Matching
- Excess Liquidity
- Borrowing and Lending
- Fixed income inventory management
- Stock lending
- Derivative Hedging
Session 10: Controlling Liquidity Risk
- Treasury Liquidity Management function
- Day-to-day operations
- Quantity and Quality of Liquidity Risk Indicators
- Audit Policies
- Contingency planning
- Performance Measurement
- Inter-company Funding
- Crisis Management
Session 11: An Introduction to Stress Testing & Scenario Modelling
- What is stress testing?
- What is the difference between scenario modelling and stress testing
- 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
Session 12: The Regulatory Imperative
- Stress testing at major financial institutions – survey (BIS Jan 2005)
- Macro Testing of UK Bank (BIS April 2005)
- Stress Testing under the supervisory review process (CEBS June 2006)
- Principals of sound stress testing (BIS May 2009)
Session 13: Credit Risk Stress Tests
- Types of credit stress tests
- Credit spread versus loan portfolio testing
- Catastrophe scenarios
- What else can cause stress in a portfolio?
- Lessons from Sept 11
- Examples of escalating and developing risk
- Impact on contingency planning
- What are the telltale signs that a credit portfolio is under stress?
- How to develop typical stress tests
- How to build credit risk stress modelling into a risk framework
Session 14: 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
Session 15: Liquidity Risk Stress Tests
- Types of liquidity risk stress tests
- The economic cycle and stress testing
- Catastrophe scenarios
- Reserve funding lines
- How to build liquidity risk stress modelling into a risk framework
Session 16: Combined Stress Tests
- Looking at Credit, Market & Liquidity impacts as whole.
Learning Objectives
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.)
Registration
Updated Basel III, Liquidity Management & Stress Testing
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)
Get in touch and see how Risk Reward can help you
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