Day One - Wednesday 20 June 

Day one delivered by Patricia White, Independent Consultant and author, mentor and tutor for ALMA's Certificate in Bank ALM (CertBALM) qualification. 

08.30 Registration and refreshments

09.00 Capital requirements under CRD IV, reporting requirements and governance 

  • Capital adequacy requirements
  • Large exposures
  • Capital increases required by Basel III 
  • Transparency
  • Remuneration

10.30 Morning break

11.00 Capital buffers and balance sheet resolution

  • Capital conversation and countercyclical buffer
  • Risk weighted assets
  • Systemic risk buffer
  • TLAC requirements, HoldCo Vs OpCo
  • Who has to comply with TLAC on each subsidiary level?
  • Resolution planning
  • Contractual, statutory and structural subordination

12.30 Lunch

13.30 Liquidity and leverage requirements

  • How to make the business more resilient 
  • NSFR - Assessment of funding risk across the balance sheet
  • Liquidity coverage ratio
  • Liquidity stress testing
  • Meeting leverage ratio requirements

15.00 Afternoon break

15.30 Interest rate risk in the banking book

  • Basel proposals
  • CRDV
  • ECB stress test results
  • EBA guidelines
  • Good practice so far

Looking forward to Basel IV

  • Pillar 1 requirements
  • Output floor

17.00 End of day one

Day two - Thursday 21 June

08.30 Refreshments

09.00 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

10.30 Morning break

11.00 Counterparty credit risk

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

12.30 Lunch

13.30 Stress testing capital 

  • What do the latest PRA and EBA stress tests results mean?
  • Scenario analysis
  • Capital adequacy in various crisis scenarios 
  • Reverse stress testing

Cecilia Gejke, Group Market and Counterparty Credit Risk, Nordea

15.00 Afternoon break

15.30 FRTB and CRR II / CRD V

  • FRTB under the current CRD IV framework 
  • The new framework under FRTB 
  • Rationale behind the development of FRTB 
  • Concerns on the framework and the latest set of guidelines 
  • Implementation challenges of FRTB 
  • Implementation of FRTB in CRR2

Andrea Schnoz, Director, Risk and Regulatory Services, PwC

17.00 End of course

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