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The Basel Consolidated Framework

Dates:
December 9 - 11, 2019
Price:
EUR 1,755 + VAT
Location:
Prague, NH Hotel Prague
Language:
English
Lecturer:
Gary Dunn
    How you will benefit:
  • An understanding of the Basel framework and standards
  • Gain familiarity with the BIS web site in this area
  • Gain a deeper understanding on the topics:
    • Calculating RWAs
    • FRTB
    • Counterparty Credit Risk
    • LCR and NSFR
    • IRRBB
    • Leverage ratio
    • Margin requirements for non-centrally cleared trades
The BCBS (Basel Committee of Banking Supervisors) establishes and promotes global standards for the regulation and supervision of banks. Since 1974 the BCBS has published dozens of documents setting out standards, minimum capital requirements, principles and guidance on best practice which are now embedded in bank regulatory regimes around the world. Perhaps most notable of these documents are the minimum capital requirements for banks which have evolved through Basel I , Basel II and the recently completed Basel III, published in 2017.

In April 2019 BCBS launched a new section on the BIS web site which provided a very useful consolidation of current standards together with a timeline that allows enquirers to view future scheduled regulations.

This course provides a high-level overview of the consolidated framework, making use of the BCBS web site to dive deeper into some of the standards as required by participants. The course will also look at progress in implementing current standards in different jurisdictions across the world with particular focus on European implementation.

The course has three main objectives:
  • To provide a comprehensive overview of the Basel Framework and progress in implementation.
  • Provide a deeper and more detailed look at some of the newer standards introduced in Basel III, for example LCR and NSFR, margin requirements for non-centrally cleared trades, IRRBB and a look at forthcoming standards, for example FRTB - the new market risk framework scheduled for 2022.
  • Allow participants to explore the new section of the BIS web site by answering their own questions and suggestions for exploration put to them by the trainer.

Who should attend?

Analysts, Vice Presidents, Directors, Senior Managers in:
  • Treasury Functions
  • Capital Management
  • Regulatory Compliance
  • Governance
  • Audit
  • Risk Analytics
  • Market Risk Management
Monday, December 9
09.00 - 12.15 Introduction
  • Historical Background
  • Basel I, Basel II and Basel III
  • Need for Consolidation
The Standards
Scope of application of the Basel Framework
  • Banks covered
  • Determining global systemically important banks (G-SIBs)
  • D-SIBs
Definition of Capital
  • Tier 1, Tier 2, regulatory adjustments and prudential valuation
Risk based capital
  • Risk weighted assets
  • The output floor for RWA based capital requirements
  • Banking Book/Trading book boundary including deep dive into FRTB revisions
  • Capital Buffers
Deep dive on BB/TB
12.15 - 13.15 Lunch
13.15 - 17.00 Capital requirements for credit risk
  • Standardised approach
  • IRB
  • Counterparty credit risk
    • SA-CCR
    • IMM
    • CVA Capital
    • Exposures to CCPs
Deep dive into revised framework and exposures to CCPs
Tuesday, December 10
09.00 - 12.15 Capital requirements for market risk
  • Standardised approach
  • Simplified standardised approach
  • Internal models
  • Model validation (Backtesting and P&L Attribution)
  • Computing capital
Deep dive into forthcoming revised market risk standards (FRTB)
12.15 - 13.15 Lunch
13.15 - 17.00 Capital requirements for operational risk
  • BIA
  • Standardised Approach
Leverage ratio BCBS web based
Liquidity coverage ratio Deep dive
Net stable funding requirements Deep dive
Large exposures Introduction BCBS web based
Wednesday, December 11
09.00 - 12.15 Margin requirements for non-centrally cleared derivatives Deep dive
The Supervisory Review Process
  • Pillar 2
  • Four principles
  • Risk management
  • Interest rate risk in the banking book
Deep dive into interest rate risk in the banking book (IRRBB)
12.15 - 13.15 Lunch
13.15 - 17.00 Disclosure requirements Walk through requirements BCBS web based
Core principles for effective banking supervision Introduction to principles Summary and/or BCBS web based
Implementation of the Basel Framework
  • Regulatory Consistency Assessment Programme (RCAP)
  • Semi-annual reports on members' progress in implementing Basel standards
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