Bizenius - Basel IV Masterclass: Challenges, Implementation and Impact Trainings

Focusing on Basel IV, also known as extension to Basel III, this masterclass will enable participants to expand their knowledge on the impacts this regulation has on liquidity, capital, and credit risk.

This masterclass focusses on FRTB, credit and internal ratings-based approach (IRB), and the standard approach to counterparty credit risk management allow participants to explore how to manage each through the new standardised approach under Basel IV and its implications.

Participants will learn about banking in a Basel IV era and how to manage and mitigate the risks associated with this regulation.

WHAT YOU WILL LEARN

• The impact and implications of a fourth accord
• Best practices for managing the interaction of FRTB and BaseL IV
• Evaluate the impact on Standard Approach and IRB approach models for calculation of credit risk capital
• Appreciate the impact of IFRS impairment regulation on the balance sheet
• Mitigate the challenges presented in predicting and quantifying loss
• Understand the significance of credit risk as a major driver of potential bank instability
• Be able to extract default correlation from asset correlation and know the difference between these two important parameters into credit risk models
• Understand the Standardised Approach for Counterpart Credit Risk [SA-CCR]
• Interpret the proposed standards for treatment of Interest Rate Risk in the Banking Book and describe what types of cash flows are impacted, how they should be treated and evaluated
• Understand the reasons behind the regulatory capital calculations
• Describe the key regulatory updates since Basel III and the rationale for them
• Interpret the Standardised Measures Approach for calculation of Operational Risk Capital
• Articulate what qualifies as Going Concern and what qualifies as Gone Concern Capital, and proposed regulation in particular of the later in MRELandTLAC
• Appreciate the corrections applied to Basel II by the recent introduction of the Basel III accord.
• Know how to estimate the requisite parameters for the procyclical (Basel II) capital buffer and be able to model the long run mean for the countercyclical metric.
• Appreciate the origins of credit valuation adjustments (CVA), know why the calculation is difficult and the regulatory (Basel III) rules pertaining to CVA.
• Understand the significance of expected shortfall in the market loss estimation process.
• Learn some mathematical procedures to estimate expected shortfall.

WHO SHOULD ATTEND

• Risk managers - market/credit/operational
• Regulatory and compliance staff
• Internal auditors
• Chief Risk Officers
• Chief Financial Officers
• Financial Controllers
• Legal Team
• Regulatory Team
• Risk Management Team
• Operational Risk Management Team
• Compliance Team
• Finance Team