Course description

The objective of the course is to provide participants with detailed analysis and insight into the current financial regulation under the Basel Accords (Basel II, Basel III and 2017 Basel III reform). This will be achieved through examination of various regulatory requirements from Basel Committee for Banking Supervision (BCBS), the European Banking Authority (EBA), the EU Capital Requirements Regulation (CRR) and Capital Requirements Directive IV (CRD IV), as specified within the scope of Basel regulatory programme.

Course content

  • Analysis of the Basel Accords (Basel II 2004, Basel III 2010 and Basel III 2017 reform) and implementation guidelines.
  • Theoretical and practical in-depth analysis of Credit Risk, Operational Risk and Liquidity Risk under Basel accords.
  • Participants exposure to excel base risk engine simulator used in deriving risk measures.

Course Objectives

Module One
Credit Risk, Market Risk & Operational Risk Basel II Framework.
Topic 1 – Basel II Framework Overview

  • Introduction to Basel II accord
  • Implementation timeline
  • Examination of financial regulators and their roles
  • Basel Committee for Banking Supervision (BCBS)
  • European Banking Authority (EBA)
  • The Bank of International Settlements (BIS)
  • The three reporting pillars: Pillar I, Pillar II, Pillar III
  • What is RWA
  • What is Regulatory Capital?
  • Shortcomings of Basel II

Topic 2 – Credit Risk under Basel II Framework

  • Definition of Credit risk
  • Basel II regulatory reporting approaches
  • The Standardized Approach (SA)
  • The Internal Rating Based Approach (IRBA)
  • The foundation internal ratings based approach (FIRB)
  • The advanced internal ratings based approach (AIRB)
  • Key credits risk attributes used in derivations of RWA
  • EAD, PD, LGD, RW & Maturity
  • Class exercise
  • Group project on development of IRB RWA calculator for credit risk

Topic 3 – Operational Risk under Basel II

  • What is Operational Risk?
  • The Basic Indicator Approach (BIA)
  • The Standard Approach (SA)
  • The Advanced Models Approach (AMA)
  • Class exercise
  • Group project on development of IRB RWA calculators for credit risk .
  • Topic 4 – Market Risk under Basel II
  • What is Market Risk?
  • Trading Book under Basel I vs. Basel II
  • Market Risk Capital Requirement
  • Standardised Measurement Method (SMM)
  • Interest Rate Risk
  • Equity Position Risk
  • Foreign Exchange Risk
  • Commodities Risk
  • Option
  • Internal Model Method (IMM)

Module Two
Capital & Liquidity Risk Basel III Framework
Topic 1 – The Need for Basel III

  • Impact of the Financial Crisis
  • Capital Injection, Beyond Capital Injection, Too Big to Fail
  • Shortcomings of Basel II
  • Underestimated Risk, Lack of Liquidity Provisions, Lack of Leverage Restrictions

Topic 2 – Key Components of Basel III

  • Basel III Timeline & Key Documents
  • What is Basel III?
  • Key components of Basel III
  • Capital Standards
  • Basel 2.5 & Enhances Risk Coverage
  • Leverage Ratio
  • Liquidity Standards:
  • Liquidity Coverage Ratio (LCR)
  • Net Stable Funding Ratio (NSFR)
  • Systemic Risk
  • Globally Systemically Important Banks (G-SIBs)
  • Systemically Important Financial Institution (SIFIs)

Topic 3 – Implementation of Basel IIITransitional Arrangements

  • Global Coordination
  • Meeting the New Capital Adequacy Requirements .
  • Reducing RWAs
  • Capital Raising

Topic 4 – Financial Crisis, Liquidity Risk & Leverage Liquidity Risk & Liquidity Risk Management

  • Developments that Affected Liquidity Risk
  • Capital Market Funding
  • Securitization
  • Complex Financial Instruments
  • Collateral
  • Leverage & Liquidity Risk
  • Lesson Learned
  • Regulatory Response

Topic 5 – Liquidity Coverage Ratio (LCR)

  • Objective of the LCR
  • How is the LCR Calculated?
  • High Quality Liquid Assets (HQLAs)
  • Cash Flow Measurement
  • Implementation
  • Timeline and Issues

Target audience

Anyone interested in becoming BASEL II specialist

Location / Delivery

  • Online

Start date

  • September 7, 2020


  • 2 hours training session across ten days


  • £425.00 £850.00

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