Basel III

Start Dates: TBC

Duration: 1 Day

Location: Ibec, 84-86 Lower Baggot St, Dublin 2

Full Fee: €600

Network Members Fee: €300

Early Bird Fee: €250

Programme overview

Learning outcomes

The key learning goals are:

  • Draw key lessons learnt from limitations of Basel I and II
  • Understand the key focus of Basel III
  • Identify the key changes on credit, market, operational and liquidity risks per Basel III
  • Impact on banking operations and business strategy
  • Appreciate the challenges and limitations of Basel III

Who is the course for

Suitable for front end sales, middle office staff, risk management, back-end staff to increase knowledge in Basel III.

Course Objectives

The course gives an overview of Basel III and the effects it will have on Financial Service providers going forward.

Participants should gain an understanding of the new rules relative to what was covered in Basel I & II and do so in a manner which removes some of the mystique that often surrounds such new regulatory changes

Course Content

Background to the Great Financial Crisis

  • Securitization of Mortgages
  • Funding and Liquidity

Changes in Regulation

  • Development of Basel Accord: I, II, II.5 and III
  • Pillar Structure of Basel Accord
  • Dodd Frank, CRD IV (EU) and ICB (UK)

Group Discussion: Basel III & Regulatory Arbitrage

Regulatory Capital under Basel III

  • Changes to capital definitions (CET 1, Tier II harmonization and Tier III elimination)
  • Core capital
    • Types: ordinary shares, retained earnings
  • Levels of Core capital required under Basel III: Minimum core capital, capital conservation buffer, SIFI requirements, counter-cyclical buffer
  • Other Tier One capital
    • Types: equity reserves, non-controllable interests (minorities and preference shares)
  • Tier two capital
    • Types: cumulative preference shares, perpetual and dated subordinated debt

Case study: Basel III – Capital Restructuring (Large Swiss Bank)

Credit Risk

  • Identifying types of credit risk and capital allocation
  • Credit risk: key elements – probability of default and loss given default; on and off balance sheet exposures and derivatives.
  • Capital treatment for specific types of exposure under Basel 2/3
  • Derivatives; current exposure, standardized and advanced approach.
  • Counterparty risk measurement, Credit valuation adjustment (CVA)

Case study: CVA Dynamic Hedging

  • CCP for OTC Derivatives

Case study: CCP Advantage & Risks

Trainer:

Intuition

 

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