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Global Markets and Time Zones
CPEs: 32
Instructor: Dennis Cox
Level: Intermediate
Tuition: £4,495.00
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Updated Developing an Effective CCAR (Comprehensive Capital Analysis & Review) RM060

Location: Global Markets and Time Zones

Duration: 4 days

Programme Director: Dennis Cox FCA FCSI FRISM AIIA BFP

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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 2023 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: Regulation and the CCAR

Session 3: Risk Based Capital, Liquidity, Capital Management and Liquidity Management

Session 4: Internal Capital Adequacy Assessment Process

Session 5: Operational Risk

Session 6: Credit Risk

Session 7: Market Risks

Session 8:  Liquidity Risk

Session 9: Other Risks and their role in the CCAR

Session 10: Risk Appetite

Session 11: Strategy

Session 12: Stress Testing / Scenario Analysis

Session 13: Credit Risk Stress Tests

Session 14:  Liquidity and  Market Risk Stress Tests

Session 15: Operational Risk Scenario Tests

Session 16: Reporting Stress Testing

Session 17: Reverse Stress Testing

Overview

This course is designed to enable financial institutions to implement a Comprehensive Capital Analysis and Review or CCAR.

The CCAR is the document that will describe the organisation’s approach to the assessment and management of risk and capital from an internal perspective and how risk and capital management is integrated and used in running the business over and above the minimum regulatory rules and capital requirements.

Given the significant role effective risk and capital management plays in day-to-day operations, the CCAR invariably becomes a high profile and vitally important document for key stakeholders including the bank’s Board and regulators.  The regulations generally require that an independent review of the CCAR should be conducted prior to submission to the regulator.

The practical course will address the evolving role of risk and capital management in modern banking, the types of risk affecting the organisation and their relevance for the CCAR and the requirements and typical content of the CCAR.

Who Should Attend
  • Board members
  • Senior management
  • Risk professionals
  • Internal audit
  • Regulatory staff

 

Additional Course Information

What Does It Cover?

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

 

 

 

 

 

 

 

 

Learning Objectives

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.

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 Developing an Effective CCAR (Comprehensive Capital Analysis & Review)

Course Fee

Apply discount voucher code RISK10 at check out before Apr 15 2023

Course Fee (per person):
GBP £4,495.00 (+ UK VAT when applicable)

Number of delegates:

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