E-Learning Course: Basel II University

  • ID: 335551
  • Training
  • KESDEE Inc
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A comprehensive e-learning product on the new capital adequacy framework issued by the Basel Committee.

This is a comprehensive course that covers the requirements for Basel II as per the revised framework "International Convergence of Capital Measurement and Capital Standards". It covers in detail the primary components, or pillars, i.e., minimum capital requirements, supervisory review process and market discipline

Upon completion of the course, the user will be able to:

- Understand the requirements of Basel II and its background
- Specify the data requirements for the key calculations involved in various approaches
- Perform the basic calculations for both the Standardized and IRB approaches
- Understand the advanced approaches for credit risk as well as operational risk
- Identify the specific issues to be addressed under supervisory review process (Pillar II)
- Understand the general considerations with regard to disclosure requirements (Pillar III)

Target Audience:

Every professional involved in the global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from these innovative solutions.

- Supervisory Agencies
- Central Banks
- Financial Institutions
- Commercial Banks
- Investment Banks
- Housing Societies/Thrifts
- Mutual Funds
- Brokerage Houses
- Stock Exchanges
- Derivatives Exchanges
- Insurance Companies
- Multinational Corporations
- Accountancy Firms
- Consultancy Firms
- Law Firms
- Rating Agencies
- Multi-lateral Financial Institutions
- Others

Course Level & Number of Courses
- Intermediate Level
- Library of 39 Courses

Instructional Method
- Dynamic, Interactive e-learning

Recommended Background
- Familiarity with basic financial concepts
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A. General

1.Basel II - An Overview

The objectives of the" International convergence of capital measurement and capital standards". (Also known as Basel II)
The substance of minimum capital requirements (Pillar I)

The role of supervision as an essential complement to minimum capital requirement

The broad qualitative and quantitative disclosures which banks have to disclose under new Basel Capital accord

2.Scope of Application

General considerations with regard to disclosure requirements

Scope of application

B. Credit Risk

3.Credit Risk - Standardized Approach

Risk components and risk weights for corporate, bank, equity and sovereign exposures

Approaches used to estimate the risk components

Minimum requirements for corporate, bank, equity and sovereign exposures

4.Standardized Approach-Credit Risk Mitigation

Techniques that banks use to mitigate credit risk

Treatment of risk mitigation techniques in standardised approach

5. Simplified Standardized Approach

Simplified Standardised approach for credit risk

Treatment of credit risk mitigation techniques under simplified standardized approach

Treatment securitization transactions
Simplified Standardised approach for operational risk

6.IRB Approach - Overview

The mechanism of IRB approach

Different categories of exposures

Risk components involved

Sub-approaches in IRB approach
The procedure for adopting IRB approach across asset classes
Transition arrangements under the IRB approach

7.IRB Approach - Rules for Exposures

Risk weight for corporate exposure

Risk weight for Specialized Lending portfolio

Risk weight for IRB Sovereign portfolio

Risk weight for IRB Bank exposures Portfolio

Risk weight for qualifying revolving retail exposures portfolio
Risk weight for Other Retail exposures Portfolio
Risk weights for equity exposures
Risk weights for Purchased receivables
8. IRB Approach - Minimum Requirements

Minimum requirements under each exposures to be eligible for the IRB approach

9. Credit Risk - Securitization Framework

IRB approach for securitization exposures

Credit Risk Securitization framework

C. Operational Risk

10. Operation Risk Measurement Approaches

Principles for management and supervision of operational risk

Framework for evaluating operational risk management policies and practices

Role of supervisors and the utility of disclosure

Qualifying criteria for operational risk measurement approaches

11. Qualifying Criteria For Operational Risk

Qualifying criteria for operational risk measurement approaches

D. Market Risk

12. Market Risk - Measurement Framework

Methods to measure market risk capital

Capital Ratio

13. Market Risk - Standardized Measurement Approach

Treatment of Interest rate risk

Treatment of equity position risk

Treatment of Foreign Exchange Risk

Treatment of Commodity Risk

Treatment of options

14. Market Risk - Internal Models Approach

'General' and 'Qualitative' requirements banks need to fulfill to be eligible to use the internal models approach

Quantitative standards that banks have to keep in mind for calculating their capital charge

Specification of market risk factor

Back Testing
Stress Testing

E. Supervisory Review Process

15. Key Principles

Key principles of Supervisory review process

16. Specific Issues

Specific issues to be addressed under supervisory review process
Principles for the management and supervision of Interest Rate risk management
17. Supervisory Review Process for Securitization

Significance Of Risk Transfer
Market innovations
Provision Of Implicit Support and the supervisory action
Residual risks
Early amortization
Call Provisions
F. Market Discipline

18. Market Discipline

General considerations with regard to disclosure requirements
Scope and applications
Disclosure requirements for various risk exposures
G. Implementation - IRB Systems for Corporate Credit

19. An Overview of IRB Systems for Corporate Credit

Concepts and requirements for an IRB framework for corporate credit
20. Ratings for IRB Systems

Supervisory guidance on ratings of IRB systems for corporate credit risk
21. Quantification of IRB Systems - PD

Supervisory guidance on quantification of probability of default of IRB systems for corporate credit risk.
22. Quantification of IRB Systems - LGD

Supervisory guidance on quantification of loss given default of IRB systems for corporate credit risk.
23. Quantification of IRB Systems - EAD and Maturity

Supervisory guidance on quantification of exposure at default of IRB systems for corporate credit risk
Supervisory guidance on quantification of maturity of IRB systems for corporate credit risk
24. Data Maintenance Framework

Supervisory guidance on data maintenance of IRB systems for corporate credit risk.
25. Control and Oversight Mechanisms

Supervisory guidance on Control and Oversight Mechanisms of IRB systems for corporate credit risk.
H. Implementation - IRB Systems for Retail Credit

26. An Overview of IRB Systems for Retail Credit

Concepts and requirements for an IRB framework for retail credit.
27. Retail Risk Segmentation systems for IRB

Supervisory guidance on retail risk segmentation.
28. Quantification of IRB Systems - PD

Supervisory guidance on quantification of IRB systems - Probability of Default.
29. Quantification of IRB Systems - LGD

Supervisory guidance on quantification of IRB systems - Loss Given Default.
30. Quantification of IRB Systems - EAD and Maturity

Supervisory guidance on quantification of IRB systems - Exposure at Default
31. Quantification - Special Cases

Supervisory guidance on quantification of special cases and applications.
32. Validation

Supervisory guidance on validation of IRB systems for retail credit risk.
33. Data Maintenance Framework

Supervisory guidance on data maintenance of IRB systems for retail credit risk.
34. Control and Oversight Mechanisms

Supervisory guidance on control and oversight mechanisms of IRB systems for retail credit risk.
I. Implementation - AMA Approach for Operational Risk

35. Operational Risk - AMA and Corporate Governance

Supervisory guidance on operational risk to implement Advanced Measurement Approach (AMA) with reference to corporate governance.
36. Operational Risk Management Elements

Supervisory guidance on the operational risk management framework for implementing advanced measurement approach.
37. Elements of an AMA Framework

Supervisory guidance on the elements of an AMA framework.
38. Risk Quantification and Mitigation

Supervisory guidance on risk quantification and mitigation for implementing advanced measurement approach.
39. Data Maintenance and Testing

Supervisory guidance on data maintenance and testing requirements for implementing advanced measurement approach.
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