Capital Management under Basel III and CRDIV

London, 20 & 21 March 2014

This course will specifically cover topics in counterparty risk including Basel III / CRDIV Capital Requirements, the Internal Model Method (IMM), Collateralised Monte Carlo, Central Clearing and Capital Management in the new regulatory landscape. 

Course Highlights:

  • Overview of capital regulations under Basel III and CRDIV
  • Internal Model Method (IMM) vs. standardised approaches
  • Initial margin requirements under central clearing
  • Capital management in the central clearing process
  • Collateral liquidity assessments

Learning Outcomes:

  • Understanding the capital requirements under BIII / CRD4 for cleared and non-cleared OTC transactions
  • Quantify the capital benefit of an IMM framework vs. the infrastructure costs
  • Learn how to make your IMM framework function in the most complex cases (collareralized MC, extended MPR, full simulation of initial margin)
  • Understand the business impact of new regulation (e.g. the BIS proposal for a unified Non-IMM and the BCBS-IOSCO initiative for IM for uncleared OTC's
  • Improve your capital management under central clearing
  • Discover which trades can and should be cleared

Course Tutor

Dr Fabrizio Anfuso, Head of IB CCR Backtesting, CREDIT SUISSE

Dr Dimitris Karyampas, Director IB Exposure Measurement, UBS




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Jan - March 2014 Training Brochure