BOOTCAMP ICAAP, Basel and Liquidity Risk

No content

ICAAP, BASEL & LIQUIDITY RISK [75 HOURS]

Sn Topics 
  Building Blocks 
01 Understanding RWA and capital requirements in bank
02 ICAAP Walkthrough
03 Interest rate and Liquidity dynamics
04 Understanding Banks Balance sheet - Deposits, Loans, Borrowings and Investments
05 Introduction to Value at Risk 
06

Introduction to Regression and Time Series concepts

07

Introduction to Simulations 

08 Understanding Bonds duration concept
   
  ICAAP (Internal Capital Adequacy Assessment Program)
01

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 

02

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 

   
  Pillar 1 Minimum Capital Requirements
01

 

  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)
   
  Liquidity Risk Management 
01 ALM Evolution and Challenges
02 Preparing Structural Liquidity Statements and dynamic liquidity statements
03  Comparing Liquidity Gaps with Limits
04 Liquidity Coverage ratio
05 Net Stable Funding ratio
06 Leverage ratio
07 Liquidity Risk Stress testing
08 FTP as a tool for asset liability management
09 FTP Methods - Single Spilt Pool and Matched Maturity Methods, components of FTP
10 Liquidity Transfer Pricing
11 Incorporating FTP into RAROC
12 ILAAP report
   
ABOUT THE TRAINER

No content

No content

ICAAP, BASEL & LIQUIDITY RISK [75 HOURS]

Sn Topics 
  Building Blocks 
01 Understanding RWA and capital requirements in bank
02 ICAAP Walkthrough
03 Interest rate and Liquidity dynamics
04 Understanding Banks Balance sheet - Deposits, Loans, Borrowings and Investments
05 Introduction to Value at Risk 
06

Introduction to Regression and Time Series concepts

07

Introduction to Simulations 

08 Understanding Bonds duration concept
   
  ICAAP (Internal Capital Adequacy Assessment Program)
01

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 

02

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 

   
  Pillar 1 Minimum Capital Requirements
01

 

  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)
   
  Liquidity Risk Management 
01 ALM Evolution and Challenges
02 Preparing Structural Liquidity Statements and dynamic liquidity statements
03  Comparing Liquidity Gaps with Limits
04 Liquidity Coverage ratio
05 Net Stable Funding ratio
06 Leverage ratio
07 Liquidity Risk Stress testing
08 FTP as a tool for asset liability management
09 FTP Methods - Single Spilt Pool and Matched Maturity Methods, components of FTP
10 Liquidity Transfer Pricing
11 Incorporating FTP into RAROC
12 ILAAP report
   

No content