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Module Risk Covered Topic Class Programme Sub Topics Description/Objective
Module One: Basel II Accord Credit Risk Intro On-boarding/Course Introduction On-boarding/Course Introduction Introduction of participants and general overview of course.
Topic One Basel I Accord Overview of Basel I framework Aim is to take a look at the Basel regulations and introduction of minimum capital requirement under Basel I framework
Topic Two Basel II: Framework Overview 1. Introduction to Basel II accord
2. Basel II Implementation Timeline
3. Financial Regulators and Their Roles
4. Basel II: The Three Pillars
5. Regulatroy Capital, RWA & Capital Ratio
The aim of the topic is to introduce participants to Basel II Accord, what led to it’s introduction and the importance of its implemention by financial institutions.

We also review the 3 Pillars of Basel II accord (Minimum Capital, Supervisory Review Process & market Discipline)

Topic Three Basel II: Standardised Approach 1. Basel II Standardised RWA Overview
2. Exposure Classifications under STD Approach
3. Risk Weight application for exposure classes.
The first part of the topic before break is to discuss what RWA is and how it’s derived under Standardised approach. Also aim to cover various exposure classes reported under STD approach and how Risk Weights are derived for each Obligor based on their credit ratings.
Break Break Break
Basel II: Standardised Approach (cont’d) 4. Risk Measures derivation under STD Approach
5. CRM application under STD Approach
6. Basel II STD Approach Exercise
After break, we will be looking at various risk measures that are derived under STD approach for regulatory reporting purpose and the application of Credit risk mitigant (CRM) to exposure values and/or Risk Weights where applicable.
  Break Break Break
Topic Four Basel II: Internal Ratings Based (IRB) Approach Introduction to Foundation and Advance Approach Participants introduction to concept of Internal RatingBased Approach under credit risk.
IRB Foundation Approach (IRBF) 1. IRBF Approach Overview
2. Review of Asset Classes reported under IRBF Approach
3. Risk components derivation under IRBF Approach (PD, LGD, Maturity, EL, EAD)
4. Risk Measures derivation under IRBF Approach
5. CRM application under IRBF Approach
6. Basel II IRB Foundation Approach Exercise
Aim is to expose participants to RWA calculation under Foundation IRB approach.

Examine the key difference between IRB and STD approach. That is, regulators allow financial institutions to use their own internal rating estimate to derive/calculate Risk Weights under IRB approach.

Provide breakdown of how risk components RW calculation are derived under IRBF approach.

 
Module One/Module Two: Basel II Accord and Basel III Credit Risk Topic Five IRB Advance Approach (IRBA) 1. IRBA Approach Overview
2. Review of Asset Classes reported under IRBA Approach
3. Risk components derivation under IRBA Approach (PD, LGD, Maturity, EL, EAD)
4. Risk Measures derivation under IRBA Approach
5. CRM application under IRBA Approach
6. Basel II IRB Advance Approach Exercise
Aim is to expose participants to RWA calculation under Foundation IRB approach.

Examine the key difference between IRB and STD approach. That is, regulators allow financial institutions to use their own internal rating estimate to derive/calculate Risk Weights under IRB approach.

Provide breakdown of how risk components RW calculation are derived under IRBF approach.

    Break Break Break
Credit Risk Topic Six Changes to Regulatory Capital Ratio under Basel III 1. Basel III Framework Overview
2. Tier I Capital Ratio
3. Capital Conservation Buffer
4. Countercyclical Capital Buffer
5. Capital for Global Systemically Important Banks
Introduce participants to Basel III accord, a look at changes made to composition of capital for Credit Risk under Basel III accord.
  ASSESSMENT ASSESSMENT ASSESSMENT Credit Risk and Liquidity Risk under Basel III framework 1. Class exercise on RWA & capital computation for credit risk under Basel II
2. LCR, NSFR, Leverage ratio derivation under Basel III
           
Module III: Basel III Reforms (Also known as Basel IV)   Topic Seven Basel III 2017 Reform Overview 1. Introduction to Basel III reforms
2. Need for Basel III Reforms
3. Basel III reforms Implementation Timeline
The aim of the topic is to introduce participants to Basel III 2017 reforms, what led to it’s introduction and the implementation timeline.
Topic Eight Basel III Reform: Standardised Approach 1. What is Credit Risk?
2. Main changes under Standardized Approach
3. Risk Weight application for expsoure classes.
The first part of the topic before break is to discuss main changes to RWA calculation under Standardised Approach. Also aim to cover changes to old and newly introduced exposure classes under Basel III reforms.
Break Break Break
Basel III Reform: Standardised Approach (cont’d) 4. Risk Measures derivation under STD Approach
5. CRM application under STD Approach
6. Basel III Reform STD Approach Exercise
After break, we examine various risk measures that are derived under STD approach for regulatory reporting purpose and application of Credit risk mitigant (CRM) to exposure values and/or Risk Weights under Basel III reform
  Break Break Break
Topic Nine Basel III Reforms: Internal Ratings Based Approach 1. Background
2. Summary of The Main Changes To IRB Approach
PD Parameter Floors
LGD Parameter Floors
Other Changes To IRB Approach
Focus is on changes to IRB approach. We shall take a look at the new flooring methods for PD/LGD parameters under Basel III reform
  Capital Flooring Topic Ten Capital Flooring under Basel III Reform 1. Background
2. Summary of Main Changes
3. Implementation: Floor transitioning
 
  ASSESSMENT   ASSESSMENT ASSESSMENT ASSESSMENT
  Assessment Review   Assessment Review/Closing Remarks Assessment Review/Closing Remarks Assessment Review/Closing Remarks