Introduction to Regression and Time Series concepts

Introduction to Simulations 

Pillar 2 Stress Testing

1. Stress testing for Credit risk
2. Stress testing for Market risk 
3. Stress testing for Credit Risk 
4. Stess testing for Liquidity Risk

Impact of Stress scenarios on CAR and Liquidity ratios 

Risks not captured in PIllar 1

        1. Interest rate Risk in Banking Book (IRRBB) 

1.   Preparing Traditional Gap analysis report
2.   Behavioural analysis for CASA, Term deposits renewals and withdrawals, Prepayments on loans etc
3.   Understanding IRRBB - NII and EVE analysis (Repricing risk, Yield curve risk, Basis Risk, Options Risk)
4.   IRRBB  stress 

       2. Concentration Risk 

1.   PRA and Spanish guidelines
2.   HHI and GA approach

       3. Building Scorecards

1.   Reputational Risk 
2.   Strategic Risk
3.   Cyber Risk 
4.   Compliance Risk 
5.   Model Risk 

       4. Climate Risk 

1. Credit Risk capital using Standardised Approach, FIRB, AIRB 
2. Market risk capital using Standardised duration approach and internal models and basic idea of FRTB
3. Operational Risk Capital Charge using BIA, SA,  AMA and SMA
4. Basel III to Basel IV reforms
5. Economic vs Regulatory Capital ( Residual Risk for ICAAP)