Upcoming Dates:

		Singapore:	23-24 March 2010
		London:	28-29 April 2010
		Hong Kong:	12-13 May 2010
		Beijing:	12-13 July 2010
		Hong Kong:	04-05 August 2010
		London:	06-07 September 2010
		Hong Kong:	10-11 November 2010

COURSE SUMMARY

This course will take you step by step through the new Basel Capital Accord, commonly referred to as Basel II, examining the risk management approaches introduced as a result of the regulations, and looking into the latest techniques used to achieve compliance.

The course tutor is an active practitioner with many years experience working with banks throughout their Basel II programmes. Practical examples and real life experience will be used to put the Accord requirements in context and show how real business benefit can be achieved through more than just meeting minimum requirement regulations.

The course will begin by examining the shortcomings of the original capital requirement directive and the development of the new risk-sensitive framework. The different approaches allowed under Basel II will be examined in detail, focusing on the areas which are receiving most attention from regulators.

The measurement of credit risk, market risk and operational risk will be explained in the context of the Accord. Differences and considerations for different methods will be discussed and examples provided, covering areas such as specialised lending, equity exposures, OTC derivatives, securitised products and credit risk mitigation techniques.

Practical techniques for the management of operational risks within an organisation will be given and set against the Basel II requirements. Strategies for risk assessment and development of key risk indicators will be introduced.

A critical factor in adoption of Basel II is ensuring integration into bank operations and senior level board involvement. Experience of programme setup and governance and oversight strategies will be given.

The expert tutor will look beyond Basel II and explore the industry thinking for future financial and capital regulation. Coverage of the latest proposals for enhancements to the Basel II framework announced by the Basel Committee in July 2009 will be given. The tutor will discuss coverage of the latest thinking in financial risk management and share wider industry and regulatory views about the future direction of the Basel II regulations.

WHAT DO I GET FROM THIS COURSE?

• What is Basel II?: Understand the origins of the Basel Accord and its place in modern risk management and capital adequacy
• Learn how to comply at the minimum possible cost and how to use compliance as a competitive advantage
• Discuss the challenges in implementing Basel II, and integrating with senior management and board decision making and oversight
• A detailed look at modern operational risk management, including quantification, loss modelling, key risk indicators and practical methods for operational risk managers
• Latest thinking on approaches to stress testing and the pillar 2 obligations under Basel II, and how and why the importance of this has increased in the current environment
• Learn how different countries are implementing Basel II and the timetable for adoption in Asia
• Basel II: where next? Understand the recent changes and industry thinking for financial regulation

WHO SHOULD ATTEND?

• Board of Directors
• Head of Risk Management, Credit Risk, Operational Risk or Market Risk
• Head of Compliance
• Project Managers
• Risk management professionals and consultants
• Business analysts involved with Basel II implementation
• IT and Information Security Managers

Detailed Course Syllabus

PART A: WHAT IS BASEL II?

• Capital Adequacy

• Role of the BIS and the Basel Committee

• History of the Basel Capital Accord

• Basel II – better reflecting risk in capital calculation

• Timeline for implementation of Basel II in different jurisdictions

PART B: BASEL II – THE 3 PILLARS

The structure of the Basel Accord

• Pillar 1 – measuring capital adequacy

• Minimum Capital Requirements

• Different approaches to capital calculation – overview of approaches and why they exist

• Pillar 2 – supervisory review

• Pillar 3 – market discipline

What does Basel II mean for Banks?

PART C: MEASURING CREDIT RISK UNDER BASEL II

The different approaches of Basel II

• The standardised, Foundation IRB and Advanced IRB approaches

Standardised approach

• Asset classes and risk weights given by Basel II

• Risk weights by external credit rating

• Issues with External Credit Ratings

The IRB approach

• The IRB Approach and Risk Weight Calculation

• The use of PD, LGD and EAD to calculate risk weighted assets

• Differences between the IRB Foundation and IRB Advanced approaches

• Definition of default under Basel

• Probability of Default (PD)

• Techniques for modelling PD

• Exposure at Default (EAD) – definition and drivers of EAD

• EAD modelling techniques and examples

• Loss Given Default (LGD) – definition and modelling

• Advantages of using a Bank’s own LGD estimates

• Maturity (M) and effective maturity under the Foundation and Advanced approaches

• The concept of Expected Loss

Credit Risk for Project or Specialised Lending

Credit risk mitigation under Basel II

• The treatment of Guarantees, Credit Derivatives, Collateral and netting of assets

• Credit Risk Mitigation under the Standardised Approach

• The simple and comprehensive approaches to credit risk mitigation

• Credit Risk Mitigation under the IRB Approach

• Minimum requirements for collateral under IRB

Basel II – Equity exposures

• 3 approaches for dealing with equity exposures

• The Standardised Approach, Market-based approach and the PD-LGD Approach

Basel II – OTC Derivatives

• Calculation of add-on factor

Basel II – Securitisations

• Traditional and Synthetic securitisations

• Definition of Originating Bank and Investor

• Securitisation approaches for investments and originations

• The internal ratings-based approach, Supervisory Formula (SF) and Internal Assessment Approach (IAA)

Basel II – Provisioning Rules

• Risk Weighted Assets (RWA) Calculation, and Capital Requirement (K)

• Capital Requirement calculations for Retail and for non-Retail

PART D: MEASURING OPERATIONAL RISK UNDER BASEL II

Introduction to Operational Risk and management techniques

Basel II Operational Risk requirements

• Operational Risk – motivations and strategies

• Basic Indicator Approach (BIA)

• The Standardised Approach (TSA)

• Alternative Standardised Approach (ASA) for retail and commercial business lines

• Advanced Measurement Approach (AMA)

• Risk and control self assessment (RCSA) methods and loss data collection

PART E: PRACTICAL APPLICATION OF BASEL II FOR BANKS

The broad ranging implications of Basel II for the whole business

• Governance and oversight, and meeting the Basel objectives

• Sound credit processes

• Appropriate administration, measurement and monitoring of credit

Basel II and Internal Capital Adequacy Assessment Process (ICAAP)

• What is required from the ICAAP

• Development of an effective ICAAP framework

• Application of Pillar 2 requirements, including stress testing and capital add-ons

Appropriate systems and technologies

• Examples of IT architecture

• The layers of IT architecture necessary for a successful Basel implementation

A sample Basel Programme for a bank

PART F: BASEL II AND BEYOND

Recent updates to capital adequacy following the global financial crisis

• Current banking and regulatory response to the credit crisis

• Basel II enhancements announced by the Basel committee – 13th July 2009

• What does this mean for banks in Asia?

What next? Likely changes and the possible Basel III

Pillar 1 requirements

• Strengthening the treatment of securitisation exposures

• Higher risk weights for resecuritisation exposures

Increased importance of Pillar 2

• Firm-wide governance and risk management

• Capturing the risk of off-balance sheet exposures and securitisation activities

• Incentives to manage risk and returns over the long-term

• Managing risk concentrations

• Enhanced Liquidity Risk Management

• A stronger focus on stress tests and the introduction of reverse stress testing

Enhanced Pillar 3 disclosure

• Changes to reflect Pillar 1 and Pillar 2 changes

• Helping market participants better understand a bank's overall risk profile

Using economic capital for business benefit

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