The Banking and Corporate Finance Training Specialist

Basel II, IV & Risk Management

This course can be presented in-house for you on a date of your choosing

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Course Overview

This course has been created to meet the specific needs of Atradius Dutch State Business N.V.

About the Course Director Your course director has spent more than 40 years in the banking and financial sector, much

of it in a senior managerial/Director role. He is a former Institute of Banking Lecturer, having gained distinctions in the exams. He is a subject matter aspect on all aspects of retail, corporate and global banking, including risk management and regulatory compliance as well

as soft skills. Mark has trained extensively at both leading global financial institutions and smaller bespoke

specialists as well as legal practices. He has delivered extensive programmes in all parts of the world including the USA, Europe,

MENA, Africa and Hong Kong. He is currently an accredited Master Trainer at the world’s biggest global bank where he trains senior middle managers in risk management.

Knowledge Pre-Requisites Some knowledge of financial services and regulatory regimes would be helpful.

Day One Session 1: Introduction

Basel and its evolution Vickers

GSIFI’s IFRS9

Session 2: The Basel II/III agreements

Improving risk & asset management Aligning regulation and economic realities The technical challenges from a bank/regulators’ point of view

How much capital is sufficient capital The 3 pillar regulatory structure

Practical examples Session 3: Basel III in more depth

An overview of the new requirements The new minimum capital requirement

Model Generated DDF & CCF Capital conservation buffer - introduction Countercyclical buffer - introduction

Counterparty credit risk Liquidity risk management – LCR and NSFR - introduction

Timeline and transitional arrangements Leverage Ratio - introduction

Sesion 4: Specific Atradius Dutch State Business N.V. impact in detail

Course Content

Course Overview

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Capital Adequacy Ratio (CAR). The interaction of CET 1 Additional Tier 1

Tier 2 The impact of the Capital conservation Buffer

The impact of the Countercyclical Buffer Systemic Risk

G-SII/O-SII buffers Pillar 2 buffer Banks own buffers

Impact of all the above on different bank business/product lines Impact of the above on long term (ECA backed) export finance

Total Loss Absorbing Capacity (TLAC) Minimum Requirements for own funds and eligible liabilities (MREL) Interaction of TLAC & MREL with other requirements/ratios

Liquidity Coverage Ratio (LCR) and its impact on long term (ECA backed) export finance

Net Stable Funding Ratio (NSFR) Required stable Funding (RSF) Impact of NSFR & RSF on long term (ECA backed) export finance

Proposed capital floor and its interaction with CAR Levergae Ratio (LR) -including EU proposals

How does LR differ from CAR The impact of LR on long term (ECA backed) export finance

Session 5: How has Basel III impact on Banks Balance sheets are in the main, much stronger

Higher capital means lower gearing More liquidity means lower earnings Many global banks are over capitalised and under lent. Why?

A move towards fee income (“Non funds based income”) Getting costs under control is a challenge

The concept of positive Jaws Private Banking & Trade Finance at forefront Practical examples

Practical examples

Session 6: Enterprise Risk Management What is risk management?

What is ERM and its challenges Types of risk

How do risks vary? The responsibilities of the risk management function Regulatory and economic capital

Practical Examples

Session 7: Basel & Market Risk Banking book v Trading book The different constituents of market risk

Implementing controls, limits and thresholds

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Reporting excesses and authorised deviations

Value at risk calculations Controls in a trading environment Trading book reports

The Basel requirements The changing rules

Stress testing market risk Practical Examples

Session 8: Basel & Liquidity Risk

The management of liquidity risk LCR & NSF - revisited The ILAA

GAP analysis Stress testing

Practical Examples

DAY TWO

Session 9: Basel & Credit Risk The Basel approaches to credit risk

The revised standardised approach The risk management of credit risk

The use of rating agencies Default risk using historic information Corporate credit assessment

Company risk assessment Basel & model risk

Stress testing Practical Examples

Session 10: Basel & Operational Risk What is operational risk?

Basel and operational risk Basic indicator Standardised approach

AMA The business analysis

The identification of operational risk The key parts of operational risk Developing an operational loss database

Control and risk self-assessment Developing key risk indicators

Using external loss data Practical Examples

Session 11: 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 & Hybrids

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Composition of available (book) capital under Basel II & III

Regulatory vs. economic capital Practical Examples

Session 12: Internal Capital Adequacy Assessment Process (ICAAP) What is it

Puropse Framework and typical content

Sample capital position Sample regulatory & economic capital ICAAP ‘Hot Buttons’ and regulatory feedback

Practical Examples

Session 13: Risk Adjusted Performance Measurement (RAPM) Optimising the management of financial resources

Economic Profit and Economic Value Added (EVA) Return on Capital – RAROC, RORAC and RARORAC

Practical Examples

Session 14: Other Key Risks Financial Crime Compliance

Sanctions Regulatory Compliance Conduct Risk

Types of risk Strategic risk

Reputational risk Practical Examples

Session 15: Basel IV – What Changes are Likely

Senior Manager Responsibility Bond Bail In Ring Fencing

Liquidity Capital

Gearing Market risk Hybrids

Practical Examples

Session 16: Course Wrap Up and Open Forum END