Risk Management and Basel II

In addition to your class tuition and study materials, you will receive the following:


Case Study

• Case study
• - Calculation of capital requirements, pricing and returns

Other Extras

• Multiple choice questionnaire
  
• Comprehensive notes covering Basel I and II
  
• Certificate of attendance

Level: Introductory


Synopsis:
This is a Risk Management course approached from the perspective of Basel II, now the legal framework applicable to banks worldwide.The course cuts through the maize of provisions contained in the new Basel II Accord to focus on its practical implications on the banks' daily business, including the impact on pricing, deal sructuring, profitability and ultimately, competitiveness.The 2009 amendments to the Accord are also reviewed.


At the end of the course participants will be able to: Know the main risk management issues and techniques and how Basel II approaches them . Calculate capital requirements, price transactions and calculate returns . Use credit mitigation techniques to minimise capital and increase return .


Prerequisites:
None


Suitable For:
All individuals involved in the utilisation of bank capital, including transactors, credit and financial control staff.


The Basel I Accord

• Background and scope
• Mechanics-definition of capital, provisions
• Risk weights, credit conversion factors
• Success and limitations

Credit risk management practices at best practice banks

• Internal credit ratings
• Economic capital
• Expected and unexpected losses
• Rorac /Raroc concepts
• Pricing as a credit issue
• Credit models
• Credit portfolio management

The Basel II Accord

• Objectives and how the Accord seeks to achieve them
• Credit and operational risk vs. other risks
• The three pillars system

First pillar-capital requirements

• Credit Risk
• The first pillar- minimum capital requirements
• Three approaches: standardised, foundation and advanced
• The risk weight function, PD, LGD and EAD.
• Rules for sovereigns, banks and corporates / retail
• Practical implications for business lines, capital allocation

Credit risk mitigation

• The different approaches
• What has changed? Impact on deal structuring

Special credit exposures

• Specialised lending sub-classes
• Rules for equity exposures
• Rules for purchased receivables
• Rules for securitisations

Market risk

• Changes to the 1996 Amendment
• Capital requirements: general market risk and specific risk
• Standardised approach and VaR models

Operational risk

• The three approaches
• Qualifying criteria

Pillar 2 - bank supervision
Pillar 3 - market discipline
The 2009 amendments