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Basel III (CRR, CRD 4) - fundamentals

475 €

at 1.8 KM
House of Training Follow

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Description
Training schedule
goals
Acquire the essentials of Basel III
Identify the challenges of Basel III regulation: Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD 4)
Recall the accounting approach and the move to the prudential approach to solvency
Explain the main mechanisms, the underlying issues and the issues
program
1. Introduction: context, implementation, perspectivesReporting requirements: COREP, Large risks, FINREP,
2. Basel III capital - crr
Mechanism of the Solvency Ratio and the Weighting Mechanism.
Contents of the accounting capital and transition to prudential capital. The minimum ratio, the cushions of protection, countercyclical and systemic.
Implementation schedule and transitional measures.
Leverage ratio.
Workbook :
Simplified calculation of Basel III capital and solvency ratio - crr.
3. Credit risk
General principles.
Standard approach: Summary of the main weights.
IRB approach: internal rating systems, risk factors (PD, LGD, EAD, M), asset classes and associated weighting functions.
Summary of the previous meeting.
Answer to questions.
Synthetic presentation of most of the other aspects. Credit Risk Mitigation Techniques.
Expected losses and associated provisions / impairments: methods of calculation and adjustment of equity in the IRB Approach.
actions.
securitization.
Counterparty risk.
The new requirements and weights introduced by Basel III - crr.
Workbook :
Illustration of the "corporates" weighting function.
Calculation of weights, capital requirements and profitability of different portfolios under the IRB approach.
4. Trading portfolio
Scope and valuation of the Trading Book.
Capital Requirement in Standard Approach.
Internal models approach: value-at-risk concept.
The new requirements and weights introduced by Basel III - crr.
5. Operational risk
Definition and methodologies. Exercise book:
Illustration of the capital requirement according to the basic approach and the standard approach.
6. Liquidity ratios
context.
Short-term liquidity ratio (lcr).
Stable funding ratio (nsfr).
Implementation schedule.
Workbook :
Illustration by a simple example of lcr.
7. Pillars 2 and 3
Objectives and context of the Prudential Review.
assessment of internal capital adequacy (icaap).
Review of the process by the supervisor.8. Synthesis and conclusion
Synthesis of the day.
Quiz and oral correction.
evaluation of the training.
Target audience
Anyone wishing to master the fundamental aspects of Basel III. Teams Finance and Risk Banks (approach to financial steering). Internal and external auditors. Statutory auditors and their collaborators.
place