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Basel III (CRR, CRD 4) - deepening

1425 €

at 1.8 KM
House of Training Follow

• Training
• Business
• Investment
• Risk management
• Strategy
• Finance
• Economy
• Bank

Objectives

Identify the challenges of the new Basel III regulation: "Capital Requirements Regulation
(CRR) "and" Capital Requirements Directive (CRD 4) ".
Integrate the essential changes introduced by these texts.
Recall the accounting approach and the transition to the prudential approach.
Explain the mechanisms, underlyings and issues of different approaches.
Apply the mechanisms of the capital requirement under different approaches

Program

1. Introduction: context, implementation, perspectives

From Basel I to Basel III.
Transposition in Europe: Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD 4).
The role of the European Banking Authority (EBA).
Reporting Requirements: COREP, Large Risks, FINREP, ...

2. Own funds - CRR

Mechanism of the solvency ratio.
Weighting mechanism.
Contents of the accounting equity and transition to prudential capital.
Capital components: Common Equity Tier 1 Capital (CET 1), Additional Tier 1 Capital (AT1), Tier 2 Capital (T2 capital).
Regulatory adjustments of own funds.
Treatment of share premium, minority interests, deferred tax assets and investments.
The minimum ratio, the cushions of protection, counter-cyclical and systemic.
Implementation schedule and transitional measures.
Exercises and practical cases.
Summary of the previous meeting.
Answer to questions.

Workbook :

Calculation of the weighted risks and the capital requirement.
Calculation of Basel III capital and solvency ratio - CRR.
Following exercises and practical cases.

3. Credit risk: standard approach

General principles.
External evaluation bodies.
Weighting grids according to the nature of the exposures.
Summary of the main weights.
Method of recognition and use of external bodies.
Workbook :

Calculation of weighted exposures of payment arrears.
Calculation of weights.

4. Credit risk: IRB approach

General principles.
Internal rating systems.
Summary of the previous meeting. Revision.
Answer to questions.
Risk Factors: PD, LGD, EAD, M.
Asset classes in the IRB approach and associated weighting functions.

Workbook :

Illustration of the "corporates" weighting function.
Illustration by Standard & Poor's historical default rates.
Application of weighting rates from the weighting grid.
Calculation of weights, capital requirement and profitability of different portfolios.
Criticism of an evaluation, an internal memo of corporates and retail.
Calculation of the dilution risk of purchased receivables.

5. Credit risk: expected losses and provisions

Expected losses: calculation methods.
Provisions and related depreciation.
The treatment of insufficient or excess provisions by the adjustment of own funds.

Workbook :

Exercises and practical cases integrating these calculations.

6. Credit risk: credit risk mitigation techniques

Objectives.
Financed credit protection: definition, eligible instruments, simple and general approaches, IRB approach.
Summary of the previous meeting. Revision.
Answer to questions.
Personal guarantees and credit derivatives: definition, eligibility of protection providers, eligible instruments, standard approach, IRB approach.

Workbook :

Calculation of weighted risks with real securities.
Calculation according to the simple approach.
Calculation of risk weighted with personal security.
Calculation of weights according to the double default approach.
Calculation of the profitability of a credit for different scenarios taking into account collateral.

7. Credit risk: actions

Principles and definitions.
Simple weighting method.
PD / LGD method.
Internal models method.

Workbook :

Weighted risk calculation using the simple weighting method and the internal models method.

8. Credit risk: securitization

Perimeter and definitions.
Exclusion of assets securitized by the originating institution.
Standard approach.
Internal rating approach.
The new requirements and weights introduced by Basel III-CRR.
Credit risk transferred.
Summary of the previous meeting. Revision.
Answer to questions.

9. Credit risk: counterparty risk

Perimeter and definitions.
The four methods of calculating the capital requirement.
Risk of adjustment of the credit assessment (CVA).
The new requirements and weights introduced by Basel III -CRR.

Workbook :

Calculation of the weighted risks of a portfolio of interest rate swaps.
Illustration of the standard method.
Illustration of a calculation of CVA according to the standard method.

10. Trading portfolio

Scope and valuation of the trading book.
Capital requirement in standard approach.
Internal models approach.
The new requirements and weights introduced by Basel III -CRR.
Workbook :

Calculation of the capital requirement according to the standard approach, duration method.

11. Operational risk

Definition and methodologies.
Basic approach approach.
Standard approach.
Advanced measurement approach (AMA).
Summary of the previous meeting.
Answer to questions.

Workbook :

Calculation of the capital requirement according to the basic approach and the standard approach.
12. Pillars 2 and 3

Objectives and context of the prudential review.
Internal Capital Adequacy Assessment (ICAAP).
Review of the process by the supervisor.
Stress tests.
Pillar 3: Information to be published, relationship with IFRS 7.

Workbook :

Practical case of stress test with a simple scenario and the consequences on the risk-weighted assets and the solvency ratio.
13. Basel II liquidity ratios - CRR

Introduce liquidity ratios.
Short-term liquidity ratio (LCR).
Stable Funding Ratio (NSFR).
Implementation schedule.

Workbook :

Calculation of a liquidity ratio (LCR).
14. Summary and conclusion

Synthesis of the three days.
Quiz and oral correction.
Evaluation of the training.