BOOTCAMP ICAAP, ILAAP and Basel

At a Glance
At a Glance
Machine Learning (English)
New AGE Excel
Sustainability Climate Risk
Deep Quant Finance
Credit Risk Modelling Platinum
Market and CPD Risk Platinum
Stats for Finance
Market and CPD Risk Gold
Python for Credit Risk
Quant Finance
FDP (Hindi)
Credit Risk Modelling Gold
ICAAP, ILAAP and Basel
Bonds Techno Funda

BOOTCAMP ICAAP, ILAAP AND BASEL

REGISTER
REGISTER

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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

Ans. 1. Anyone with finance background like having studied some level of CFA FRM or actuaries can join this program.

Ans.2. Maths Primers and Python Primers have been included in the program, so no previous experience is expected.

Ans 3. This course is quite long & comprehensive only because we have covered the entire curriculum in 3 parts – theory discussion, visualisations in excel, practical implementation through hands-on session in excel & python

Ans.4. To get certificates you need to complete all topic wise assignments, master project and pass the Final exam.

Ans.5. You can take either 1 year access or lifetime access. Please note that lifetime access is chargeable extra

Ans.6 With this website we have integrated a customized P2T player that will allow you to play encrypted classes. There are no limitations on the number of views. Also the software is compatible with Windows, Mac, Android or iPhone

Ans.7. To interact with the trainer we have a dedicated forum ‘D-forum’. Any questions asked on D-forum are expected to be replied within 24 hours by trainers and team of moderators & experts.

Ans. 8. Presently we are conducting exams in Aug mid and Jan mid. You can choose any of the cohort. In case you are not able to pass the exam in one go, you can re-book at a nominal charge

Ans.9. Every class is supported by One note files, Excel sheets & Python notebooks, Assignments and Quizzes, all these are available in the course section only.

Ans. 10. You get Letter of Recommendation physically delivered to you within 60 days of passing the exam. LOR’s also mention the chosen specialisation with the project details.

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

Ans. 1. Anyone with finance background like having studied some level of CFA FRM or actuaries can join this program.

Ans.2. Maths Primers and Python Primers have been included in the program, so no previous experience is expected.

Ans 3. This course is quite long & comprehensive only because we have covered the entire curriculum in 3 parts – theory discussion, visualisations in excel, practical implementation through hands-on session in excel & python

Ans.4. To get certificates you need to complete all topic wise assignments, master project and pass the Final exam.

Ans.5. You can take either 1 year access or lifetime access. Please note that lifetime access is chargeable extra

Ans.6 With this website we have integrated a customized P2T player that will allow you to play encrypted classes. There are no limitations on the number of views. Also the software is compatible with Windows, Mac, Android or iPhone

Ans.7. To interact with the trainer we have a dedicated forum ‘D-forum’. Any questions asked on D-forum are expected to be replied within 24 hours by trainers and team of moderators & experts.

Ans. 8. Presently we are conducting exams in Aug mid and Jan mid. You can choose any of the cohort. In case you are not able to pass the exam in one go, you can re-book at a nominal charge

Ans.9. Every class is supported by One note files, Excel sheets & Python notebooks, Assignments and Quizzes, all these are available in the course section only.

Ans. 10. You get Letter of Recommendation physically delivered to you within 60 days of passing the exam. LOR’s also mention the chosen specialisation with the project details.