Course Agenda

Agenda

Day one 

            

8:30

            

Registration and refreshments

            

9:00

            

Capital requirements under CRD IV

  • Capital adequacy requirements
  • Large exposures
  • Capital increases required by Basel III
  • Impact of IFRS9 

Speaker: Michael Gutsche, manager, BearingPoint       

            

10:30

            
Morning break            
            

10:45

            

Stress testing capital 

  • What do the latest PRA and EBA stress test results mean? 
  • Scenario analysis
  • Capital adequacy in various crisis scenarios 
  • Reverse stress testing 

Speaker: Dr Colin Lawrence, Lawrence & Associates 

            

12:00

            

Lunch

            

1:00

            

Liquidity and leverage requirements

  • How to make the business more resilient
  • NSFR – Assessment of funding risk across the balance sheet
  • Liquidity coverage ratio & Pillar 2
  • Liquidity stress testing
  • Meeting leverage ratio requirements

Speaker: Dr Torsten Pfoh, senior business consultant, BearingPoint

            

2:30

            
            

Afternoon break

            
            

3:00

            

Interest Rate Risk in the Banking Book

  • Basel 2016 Principles
  • ECB 2017 stress test results 
  • EBA Guidelines 
  • CRD V
  • Good practice so far

Looking forward to Basel IV

  • Pillar 1 requirements
  • Output floor

Speaker: Dr Torsten Pfoh, senior business consultant, BearingPoint

            

4:30

            
            

End of day one

            

Day two 

                                                                                                                                                                                                                                                                                                                                                                                                                     
            

8:30

            
            

Refreshments

            
            

9:00

            

FRTB and CRR 2 / CRD V

  • FRTB under the current CRD IV framework
  • The new framework under FRTB 
  • Rationale behind the development of FRTB 
  • Concerns on the framework and the latest set of guidelines 
  • Implementation challenges of FRTB 
  • Implementation of FRTB in CRR2

Speaker: Navin Rauniar, risk director, Quantico Consulting 

            

10:30

            
            

Morning break

            
            

10:45

            

Climate change risks 

  • Regulatory perspectives on climate change
  • Climate change risks - what are they? 
  • Capturing climate-driven macro-economic shock scenarios 
  • Whether and how climate change risks should be reflected in balance sheets, capital models and ICAAP 
  • Green-supporting and brown-penalising factors - what are they and how they may be used? 

Speaker: Miroslav Petkov, expert - climate risk, Parker Fitzgerald 

            

12:00

            
            

Lunch

            
            

1:00

            

Operational risk capital modelling under CRD IV

  • Rules for operational risk capital modeling
  • Basic indicator approach (BIA) and the standardized approach (TSA)
  • The advanced measurement approach (AMA) and the loss distribution approach with examples
  • The standardized measurement approach (SMA) and related issues and debates
  • Contradictory incentives across the BIA, TSA, AMA and the SMA

Speaker: Ahraz Sheikh, director, global financial services practice, Parker Fitzgerald 

            

2:30

            
            

Afternoon break

            

3:00

            

Counterparty credit risk 

  • CCR in OTC derivatives
  • Exposures to CCPs 
  • Capital requirements for derivatives
  • FRTB in relation to Counterparty Credit Risk 
  • The standardised approach for Counterparty Credit Risk (SA-CCR) 
  • Additional regulation 
  • Exposures to CCPs
  • Margin rules 
  • Implementation challenges

Speaker: Irina Ursachi, independent risk management consultant 

            

4:30

            
            

End of course