Risk Management: getting prepered for Basel III – IBR & ATTF

Risk Management: getting prepered for Basel III – IBR & ATTF

The Romanian Banking Institute and the Agence de Transfert de Technologie Financiere – Luxemburg invites you to participate to the course “RISK MANAGEMENT: GETTING PREPARED FOR BASEL III

OBJECTIVE

The objective of this course is to provide an overview of Basel II IRB implementation, Pillar 2 challenges and Basel III implementation.

The participants will get acquainted with risk methodologies related to the different risk parameters of an IRB implementation and retain them through the use of illustrative examples and practical applications

Participants will learn to get familiar with the Pillar II challenges like stress testing, concentration risk and liquidity risk.

The participants will be able to analyze the new requirements, impact and timeline of the new Basel III framework.

By attending this course, the participants will be able to integrate the learned concepts in their respective work as the course aims at mixing theoretical and practical aspects of Basel regulation in a systematic way.

TARGET GROUP

Managers and specialits involved in Basel II, Risk and Compliance Officers, Auditors and Project Managers with at least 2 years experience in the risk area.

METHODOLOGY

The methodology is based on theoretical lectures, interactivity and exchange of views, problem solving, practical exercises and case studies.

CONTENT

DAY 1

Basel II Framework

– History of Basel regulation, objectives of Basel II, three pillars
– The implementation of IRB Approach
– Concept, overview, minimum requirements
– Rules for different asset classes
– Quantification of probability of default, loss given default, exposure at default and effective maturity
– Treatment of risk mitigation techniques
– Treatment of expected loss and recognition of provisions

Practical examples of the different IRB risk components

Session: questions and answers

DAY 2

Pillar 2 Challenges

– Principles of ICAAP and Supervisory Review Process
– Stress testing
– Concentration and residual risk
– Interest Rate Risk in the banking Book
– Economic Capital

Practical examples of IRR in the banking book, calculation of economic capital

Session: questions and answers

DAY 3

Basel III Framework

– Objectives, impact and timeline of Basel III

Review definition of capital

– Tier 1 and tier 2 capital, leverage ratio, capital conservation and countercyclical buffer

Liquidity risk

– The Liquidity Coverage Ratio and Net Stable Funding Ratio
– Monitoring tools
– Latest update

Counterparty credit risk

– wrong way risk
– credit valuation adjustment (CVA),
– collateral management,
– central counterparties

Practical examples of liquidity risk and counterparty credit risk

Session: questions and answers

TRAINER

Mr. Michel Dorval is a Global Market Specialist in risk management, in charge of thought leadership and the ‘Centre of Excellency’ for capital market regulations at Misys Luxembourg – a British multinational software company, specialised in software for banking and investment businesses. He gained a good professional experience in risk management working with FRS Global Luxembourg and Dexia Bank Luxembourg.

Mr. Michel Dorval is the trainer for many risk management courses delivered by The Luxembourg Institute of Banking Training (IFBL). He tought workshops and seminars related to Basel II, Basel II.5 and Basel III in all EMEA region (France, Italy, Russia, Croatia, Russia, Saudi-Arabia, UK, Netherlands, Germany, Switzerlan).

Mr. Michel Dorval is the author of many publications and risk management articles in various newspapers and magazines, Member of Professional Bodies: Prim and PRMIA.

CONDITIONS

Participants must have a good level of English.

DATE

The course will take place at the RBI headquarters, throught 3 days

FEE

The fee represents the equivalent in RON of 600 euro/participant/course at the NBR exchange rate, at the date of payment. 

The payment will be done in the Romanian Banking Institute account number RO93BTRL RONCRT0261315401 opened at Banca Transilvania (please specify the name of the delegates on the payment order).

Contact person

Maria Plăişanu

maria.plaisanu@ibr-rbi.ro

(021)327 48 93; 0748 886 846

Nume și prenume*

Institutie

Departament

Functie

Telefon*

Fax

Adresa de email*

Titlul cursului*

Scrie textul de mai sus:

Comentarii