The Basel Consolidated Framework

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
  Site Map    Privacy Policy and Cookies    Mobile Version    Follow us on LinkedIn
COPYRIGHT © 2019 MONECO