Agenda

Day One: 6 December 2017

0830 - Registration and refreshments

0900 - Capital requirements under CRD IV

  • Capital adequacy requirements
  • Large exposures
  • Capital increases required by Basel III 
  • Compositions of capital changing 
  • How to stay competitive with large capital requirements

Karine Valtanen, Senior Credit Analyst - Structured Credit Management Team, Commerzbank

1030 - Morning Break 

1100 - Capital Buffers

  • Capital conservation buffer
  • Countercyclical buffer
  • Risk weighted assets
  • Systematic risk buffer

Karine Valtanen, Senior Credit Analyst - Structured Credit Management Team, Commerzbank

1230 - Lunch

1330 - Liquidity in CRD IV Implementation 

  • Liquidity coverage ratio
  • Net stable funding ratio 
  • Liquidity stress testing Leverage 

Karine Valtanen, Senior Credit Analyst - Structured Credit Management Team, Commerzbank

1500 - Afternoon Break

1530 - Counterparty Credit Risk

  • OTC Derivatives 
  • CCP exposures 
  • Capital requirements for derivatives 
  • FRTB in relation to counterparty credit risk 
    EMIR margin rules
  • SA - CCR methodology

Tariq Resheed, Partner, Berwin Leighton Paisner LLP 

1700 - End of Day One

Day Two: 7 December 2017

0830 - Refreshments

0900 - Operational Risk capital modelling under CRD IV

• Rules for Operational Risk Capital Modeling
• Basic Indicator Approach (BIA) and The Standardized Approach (TSA)
• The Advanced Measurement Approach (AMA) and the Loss Distribution Approach with examples
• The Standardized Measurement Approach (SMA) and related issues and debates
• Contradictory incentives across the BIA, TSA, AMA and the SMA

Ruben Cohen, Independent Consultant

1030 - Morning Break 

1100 - Corporate Governance and Reporting Requirements

  • COREP and FINREP 
  • Changes to Gabriel reporting
  • Transparency
  • Remuneration
  • Impact of Brexit

Oivind Andresen, Director, BDO LLP

1230 - Lunch

1330 - Market Risk Effect of CRD IV 

  • How to mitigate risk
  • Commodity and foreign exchange risk in the balance sheet
  • VaR and sVaR
  • Stress testing for CRD IV 
  • FRTB in relation to market risk 

Andrea Schnoz, Risk & Regulatory, PwC

1500 - Afternoon Break 

1530 - CRD V and CRR II 

  • Basel IV provisions
  • FRTB
  • Liquidity 
  • Pillar 2 guidance
  • Revised approaches for credit, market and operational risk 
  • New proposals of CRD V 

Karine Valtanen, Senior Credit Analyst - Structured Credit Management Team, Commerzbank

 

1700 End of course 

CRD IV Brochure
Q4 Risk Training Calendar
Call Back Request
Accredited by
Request This Training Course In-House