Implementing Basel III & Dodd-Frank

Implementing Basel III & Dodd-Frank

Euromoney Training
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Description

Participants will learn: The essential aspects of Basel III and Dodd-Frank regulation and their applications How to embark on the implementation process The key elements required for compliance with the regulatory measures The technical and non-technical aspects of the risk assessment, management and trading operations that are affected by Basel III and Dodd-Frank The board and executive-level elements of governance and transparency impacted by Basel III and Dodd-Frank Key elements of credit scoring, risk component estimation and ratings creation (as well as operational risk and market risk assessment) affected by Basel III and Dodd-Frank Stress Tests in the various risk areas Incorporation …

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Participants will learn: The essential aspects of Basel III and Dodd-Frank regulation and their applications How to embark on the implementation process The key elements required for compliance with the regulatory measures The technical and non-technical aspects of the risk assessment, management and trading operations that are affected by Basel III and Dodd-Frank The board and executive-level elements of governance and transparency impacted by Basel III and Dodd-Frank Key elements of credit scoring, risk component estimation and ratings creation (as well as operational risk and market risk assessment) affected by Basel III and Dodd-Frank Stress Tests in the various risk areas Incorporation of capital determination into the Internal Capital Adequacy Assessment Process (ICAAP) Who Should Attend: Executives and Board members desiring a deeper understanding of Basel III and Dodd-Frank Risk practitioners and parties involved in the implementation of regulatory compliance Risk managers CFOs and CROs Treasury professionals Audit and IT personnel Basel team members
Day 1 Introduction & Overview Risk Management and the various forms of risk exposure Market risk Credit Risk Operational Risk Other risks The Basel III regulatory backdrop Basel II versus the existing Basel Accord Calculation comparison Standardised and Internal Ratings Based (IRB) Approaches Implications for local and non-G7 markets The New Basel Rules The Dodd-Frank backdrop The Financial Stability Oversight council Major Agency changes Major oversight changes Securitization reforms Derivatives regulation Investor protection Credit Rating Agency reform Volcker Rule Compensation and Corporate Governance Capital Requirements (and links with Basel III) Market Risk Management and Measurement Redefinitions of Capital under Basel III Dodd-Frank provisions -Transparency rules and derivatives -Volcker Rule -The Basel III Standardised Approach for Market Risk -Fixed risk weights -Assessing vertical limits -Horizontal limits -Qualitative requirements -Internal Models Approach (IMA) -Examples of Tail Loss Models -Value-at-Risk -Expected Shortfall -Applications to various exposure types -Equities -Fixed income instruments -Swaps and Futures -Options -Spreadsheet examples -Using tail loss measures to establish capital -Applying Tail loss measures -Illiquidity issues and Liquidity VaR Day 2 Credit Risk Management and Measurement External Credit Ratings Dodd-Frank reforms at Credit Rating agencies -Securitization reforms -Investor protection The Standardized Approach (SA) in Basel III -Ratings agency ratings and what they mean -Suggested SA risk weights -Risk weighting of various portfolio exposure types -Recognition of unrated exposures Internal Credit Ratings -Dodd-Frank-inspired transparency rules -Overall design of an IRB-compliant system -Distinguishing scores and ratings -Establishing a ratings scale -Associating risk components (i.e., Probability of Default (PD), Loss Given Default (LGD) and -Exposure at Default (EAD)) with the scale -Establishing provisions and capital -How the overall system is meant to function -Scorecard formation and usage -Statistical scorecards (logistic, probit, etc.) -Qualitative scorecards -From Customer Scores to Probabilities of Default -How PDs are established in theory -How PDs are determined in practice -Obtaining Loss Given Default estimates -Obtaining Exposure at Default Estimates -Employing Risk Components in Risk-Based pricing of loans and other exposures Securitization -Dodd-Frank rules -Basel III rules -Modeling and Capita Allocation Credit Risk Case Study Day 3 Unfinished discussions from Day 2 Operational Risk Management and Measurement Definition of Operational Risk Exposure under Basel III Strategic, reputation risk and corporate governance Dodd-Frank on Corporate Governance Basel III Operational Risk Approaches -Basic Indicator Approach -The Standardised Approach (TSA) -The Advanced Measurement Approach (AMA) TSA implementation as a precursor to AMA Managing operational loss and event data -Defining Direct and Indirect Losses -Defining Near Misses -Data capture considerations Key Risk Indicators KRIs -Utilizing Key Risk Indicators -Control self-assessment exercises (CSAs) Utilizing KRIs in scorecards for management Establishing a risk profile using KRIs and CSAs Day 4 Capital Requirements and Corporate Governance Dodd-Frank Reforms Basel III ICAAP -Pillar III enhancements to corporate governance and disclosure Internal Capital Adequacy Assessment Process (ICAAP) ICAAP in Pillar I ICAAP in Pillar II Structure of undertaking ICAAP -Challenges and advantages -Undertaking the ICAAP properly -Negotiating ICAAP in relation to the Basel II compliance process Process of ICAAP -Establishing capital in relation to the size of the business -Sources and management of capital -The role of risk models in establishing capital needso Using risk models to ascertain the risk profile -Stress Tests and Risk Models -Implications for wider capital assessment and provisioning Risks not fully captured in Pillar I -Risks of rating migrations -Residual risks to risk mitigation -Controlling concentrated exposures Risks external to the institution Establishing a risk tolerance level Stress tests and scenarios Qualitative considerations Summary and conclusions
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