Course Title
The new Basel Accord (Basel ii) and the implementation in
the European Union via the Capital Requirements Directive
5 days
Objectives:
The seminar has been designed to
provide with the knowledge and skills needed to understand and
support Basel II compliance in EU.
Target
Audience:
This course
can be customized to meet the needs of:
-
IT and Information Security
Directors, Managers and Professionals
-
Risk and Compliance Officers
-
IT and Information Security
Process Owners
-
Network, System and Security
Administrators
-
IT Auditors
-
IT, Security and Management
Consultants
Duration:
5
Days, 09:00 to 17:00.
Course
Synopsis:
·
From The Bank for International Settlements (BIS) to the Capital
Requirements Directive
·
The Bank for International Settlements (BIS)
·
The Basel Committee on Banking Supervision
·
Regulatory supervision of internationally active banks
·
From the failure of the Bankhaus Herstatt and the crisis of
confidence to the Basel i and ii frameworks
·
From the Basel ii framework to
the Capital Requirements Directive
·
Too many levels of freedom, too many challenges and difficulties for
the national supervisors
·
The First Basel Capital Accord
·
Assets are weighted by factors
·
On-balance sheet
·
Off-balance sheet
·
Examples of capital requirements
·
Basel I amendments
·
The New Basel Capital Accord (Basel II)
·
Realigning the regulation with the economic realities of the global
banking markets
·
How much capital is necessary to serve as a sufficient buffer?
·
Improving risk and asset management
·
The technical challenges for both banks and supervisors
·
The three-pillar regulatory structure
·
Purposes of Basel II
·
Scope of the application
·
Pillar 1: Minimum capital requirements
·
Credit Risk – 3 approaches
·
The standardized approach to credit risk
·
Claims on sovereigns
·
Claims on banks
·
Claims on corporates
·
The two internal ratings-based (IRB) approaches to credit risk
·
Some definitions: PD - The probability of default, LGD - The loss
given default, EAD - Exposure at default, M – Maturity
·
5 classes of assets
·
Pillar 2: Supervisory review
·
Key principles
·
Aspects and issues of the supervisory review process
·
Pillar 3: Market discipline
·
Disclosure requirements
·
Qualitative and Quantitative disclosures
·
Guiding principles
·
Employees Affected
·
Effective Dates
·
Framework for internal control systems in banking organizations -
Basel Committee on Banking Supervision
·
The 13 Principles for the Assessment of Internal Control Systems
·
The 13 Principles and COSO
·
The control environment
·
Risk assessment
·
Control activities
·
Information and communication
·
Monitoring
·
Types of control breakdowns typically seen in problem bank cases
·
The objectives and role of the internal controls framework
·
The major elements of an internal control process
·
Evaluation of internal control systems by supervisory authorities
·
Role and responsibilities of external auditors
·
Supervisory lessons learned from internal control failures
·
Operational Risk
·
What is operational risk
·
Legal risk
·
Information Technology operational risk
·
Operational, operations and operating risk
·
The evolving importance of operational risk
·
Quantification of operational risk
·
Loss categories and business lines
·
Operational risk measurement methodologies
·
Identification of operational risk
·
The Delphi method
·
Operational Risk Approaches
·
Basic Indicator Approach (BIA)
·
Standardized Approach (SA)
·
Alternative Standardized Approach (ASA)
·
Advanced Measurement Approaches (AMA)
·
Internal Measurement Approach (IMA)
·
Loss Distribution (LD)
·
Standard Normal Distribution
·
“Fat Tails” in the normal distribution
·
Expected loss (EL), Unexpected Loss (UL)
·
Value-at Risk (VaR)
·
Value-at Risk and Basel I amendment, 1996
·
Value-at Risk and Basel II
·
Calculating Value-at Risk
·
Monte Carlo simulations
·
Monte Carlo limitations
·
Extreme Value theory
·
Scoreboards
·
Stress Testing
·
Stress testing and Basel
·
(AMA) Advantages / Disadvantages
·
Recognition of the firms’ own modelling of operational risk losses
·
“Weak banks”, internal and external audit and sound practices for
operational risk
·
Self assessment
·
Key Risk Indicators
·
Operational Risk Measurement Issues
·
The game theory
·
The prisoner’s dilemma – and the connection with operational risk
measurement and management
·
Operational risk management
·
Operational Risk Management Office
·
Key functions of Operational Risk Management Office
·
Key functions of Operational Risk Managers
·
Key functions of Department Heads
·
Internal and external audit
·
Operational risk sound practices
·
Operational risk mitigation
·
Insurance to mitigate operational risk
·
Third-party service providers and vendors
·
Redefining outsourcing
·
Outsourcing services and Basel II compliance
·
The new definition of outsourcing
·
Outsourcing after Basel II
·
Offshore outsourcing is also redefined
·
Key risks of outsourcing
·
What is needed from vendors and service providers
·
Capital Requirements Directive (CRD)
·
Harmonizing Europe with Directives
·
Directive 2006/48/EC
·
Subject matter,
scope and definitions
·
Requirements
for access to the taking up and pursuit of the business of credit
institutions
·
Provisions
concerning the freedom of establishment and the freedom to provide
services
·
Relations with
third countries
·
Principles and
technical instruments for prudential supervision and disclosure
·
Provision
against risks
·
Calculation
of requirements
·
Minimum
own funds requirements for operational risk
·
Large
exposures
·
Qualifying
holdings outside the financial sector
·
Disclosure
by credit institutions
·
Powers
of execution
·
Transitional
provisions
·
Directive 2006/49/EC
·
Subject matter and scope
·
Initial capital
·
Trading book
·
Own funds
·
Provisions against risks
·
Application of requirements on a consolidated basis
·
Calculation of consolidated requirements
·
Monitoring and control of large exposures
·
Valuation of positions for reporting purposes
·
Risk management and capital assessment
·
Reporting requirements
·
Competent authorities
·
Supervision
·
Powers of execution
·
Home and Host Supervisors
· Cross-border
challenges
·
The
Accord Implementation Group
· Implementing
Basel II Across Countries
·
Differences: The European Union and the USA, Middle East, Pacific
Rim, Caribbean
·
The
implementation of Basel II around the globe
·
Markets in Financial Instruments Directive (MiFID)
·
From Basel ii to Mifid
· The
impact of MiFID to EU and non EU banks
·
Aligning Basel II operational risk and Sarbanes-Oxley 404 projects
·
Common elements and differences of compliance projects
·
New standards
·
Disclosure issues
·
Multinational companies and compliance challenges
The course
can be customized to meet specific needs
DIRECTIVE 2006/48/EC OF THE EUROPEAN PARLIAMENT AND
OF THE COUNCIL of 14 June 2006
relating
to the taking up and pursuit of the business of credit institutions
(recast)
DIRECTIVE 2006/49/EC OF THE EUROPEAN PARLIAMENT AND
OF THE COUNCIL of 14 June 2006
on the
capital
adequacy of investment firms and credit institutions
(recast)
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