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BaselIIIandtheNewBankCapitalRules

This3daycourseisdesignedtogivedelegatesacomprehensiveupdateonBaselcapital&liquidityreforms forbanks.

CourseInstructor:Dr.RichardFlavell
FormerDirectorofFinancialEngineeringatLombardRiskSystemsandHeadofFinancialEngineeringatANZ MerchantBankinLondon.

Coursedates
Dates 1012Dec2012 1921Jun2013 Location London,UK London,UK Price 3,845.00 3,845.00

CourseDescription
CourseDescription

Towardstheendof2008,followingtheWesternbankingcrisis,theBaselCommitteeannouncedafullscale reviewofthebankingcapitalframework.Asaresult,during2009and2010,theindustryhasbeenflooded withproposals,consultativepapers,impactstudies,andfirmdecisions.Thisprocesswasduetobe completedbytheendof2010,althoughsomepartswillcontinuethroughinto2011.Manybankingactivities willbeaffected,andthebroadconsequenceswillseverelyimpactbankingstrategies. This3daycourseisdesignedtodiscussthelikelychanges,andtheirimpact.Schedulingthecourseatthe endofJanuary2011isimportantthevastmajorityofthechangesarescheduledtobecalibratedand publishedbythen. TeachingMethodology Thiswillbeamixtureoftraditionalteaching,combinedwithcasestudiesandcomputerdemonstrations. Attendthistopical3daytrainingcourseandlearn:
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TheevolutionoftheBaselIIrulesforbankcapitaladequacy TherecentamendmentstoBaselIIappliedtothedefinitionofcapital Regulatoryupdatesformarket,credit,counterpartyandliquidityrisk Stresstestingforvariousriskmeasuresincludinghowtoformulateandarticulatestresstests TheenhancementstoBaselIIPillarIIandPillarIII ThelikelyeffectsofBaselIIIontheinternationalbankingindustry NewCapitalchangesintroducedinSeptember2010

WhoShouldattend? Thiscoursehasbeenspecificallydesignedforthebenefitof: l CROs l HeadsofRiskManagement l HeadsofCompliance l RiskManagers l RiskControllers l Auditors email:training@euromoneytraining.com|tel:+44(0)2077797391

ItisassumedthatalldelegateswillhavesomeknowledgeofBaselII Whynotrecommendthiscoursetoacolleague?

Agenda

Day1
Registrationcommencesat8:30ondayone Programmerunsfrom9:005:00daily

BriefOverviewofEventsbeforeandDuringtheBankingCrisis
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Securitisationandthemortgagemarkets CDOmarkets,superseniortranches,thechaseforyield,andtheroleoftheratingagencies PointofSaleaccountingandmarktomarketvaluation Relianceonwholesalefundingandthecreationoffundingliquidityrisk Useofstructuredinvestmentvehiclesandimplicitsupport Impactontheinterbankmarkets Limitationsinstresstesting Procyclicality Deficienciesinseniorandriskmanagementoversight

Casestudies:Thissectionwillbereinforcedwithsomecasestudiesdiscussingwhathappenedinspecific organizationssuchasSachsenLBaswellastheUSinvestmentbankingsectorgenerally

ChangestotheDefinitionofCapital
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Whataresomeofthemajorproblemswiththecurrentdefinition? Wascapitaltrulylossabsorbent? Anoutlineoftheproposedchanges Conceptofgoingandgoneconcerns Removalofhybridsecurities EliminationofTier3andharmonisationofTier2 Treatmentofminorityinterestsandotherinvestments HarmonisationwithIFRS NewcapitalchargesintroducedinSeptember2010 Whatisthelikelyimpact

ChangestotheRegulationofMarketandCreditRisk

email:training@euromoneytraining.com|tel:+44(0)2077797391

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Whyhastradedmarketriskbeenhighlightedasrequiringattention? Reinforcementtotheapprovalprocessforinternalmodels IntroductionofStressedVaR Howisthistobecalculated? Whatistheestimatedimpact? IntroductionoftheIncrementalRiskChargetoreplaceSpecificRisk Whatarethebroadrequirements? Nettingandothermitigation

Specifyingandimplementingtheliquidityhorizon Anoverviewofcreditportfoliomodelling,includingbothdefaultandmigration,toestimatetheIRC
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CriticismsoftheIRC,andlikelymodifications Estimationofacapitalchargeforcounterpartycreditrisk(CCR) Whatisthecurrentstate?Backgroundtotheexistingformula IntroductionoftheCreditValuationAdjustment(CVA) Howtomodelexpectedpositiveexposure ProposedBondEquivalentapproach Thecomprehensiveriskapproach

Practicalapplications:Therewillbecomputerdemonstrationstoreinforcehowthecalculationsmaybe performed

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CentralisedclearingforOTCderivatives Howisthecreditdefaultswapmarketoperating? Lessonstobelearnt Incentivesanddisincentivestocentrallyclear Whatarethecurrentproposals?

Day2

ChangestotheSecuritisationFramework
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Whatwentwrong,andwhatarethebroadintentions? TheIOSCOCodeofConduct RecalibrationoftheSupervisoryFormula SpecificriskchargesandSFcharges

MultiDimensionalRiskMeasures
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Iscapitaltheonlymitigant? Introductionofaleverageconstraint Background:theUSexperience Whyaleverageconstraintisrequired:theSwissview Whatisproposedhowisitlikelytowork? Theoveralltimetableforparallelrunningandfuturecalibration ShouldthismoveintoPillar1?

IntroductionofaLiquidityFramework
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Fundingliquidity:whathappenedduringthecrisis?

email:training@euromoneytraining.com|tel:+44(0)2077797391

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EstimationoftheLiquidityCoverageRatio Whatareeligibleliquidassets? Estimationofrunoffs EstimationoftheNetStableFundingRatio Proposedcalibration

Thesupervisorystresstest Regulatorymetricstoestimateliquidity

Day3

CounterCyclicalCapitalBuffers
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WhyisthecurrentAccordprocyclicalandwhatarethedangers? Thebroadintentionandwhatarethecurrentproposals? Earlywarningsignsofaboombustcycle EstimationofcredittoGDPandothermeasuresforeachjurisdiction Estimationofcapitalbuffers Homehostresponses

StressTesting
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Whystresstest?Whataretherecentlessons? Howwasstresstestingviewedpriorto2007? Whathappensintimesofstress? Whatconstitutesagoodstresstest? Whatarethemanagementmessagesfromstresstests? Seniormanagementresponsestostresstests Regulatorystresstests:resultsfromEuropeantests

OtherchangestoPillarsIIandPillarIII
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IncreasedfocuswithPillarII ChangingemphasisfortheICAAP HowtheSRePmaybeadjusted ReviseddisclosurerequirementsunderPillarIII

PuttingitallTogether
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Whatisthelikelyimpactofthesechanges? ResultsoftheQuantitativeImpactStudy(ifavailable)

CorporateGovernance
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Lessonsfromthecrisis Gettingthebasicsright Continualriskmonitoring EnhancedoversighttheroleoftheBoardRiskCommittee

email:training@euromoneytraining.com|tel:+44(0)2077797391

SummaryofCourse

Instructorbio
Dr.RichardFlavell
RichardFlavell DrRichardFlavellisaconsultantinthefinancialservicesindustry.Untilrecently,hewasDirectorof FinancialEngineeringatLombardRiskSystems,oneoftheleadingprovidersofderivativetradingsystems aroundtheworld.InthisroleheledateamresponsibleforthemathematicaldevelopmentofLombards derivativetradingandriskmanagementsystems.Atthesametime,healsoundertookextensive client/producttrainingandconsultancyprojects.

PriortohisroleatLombardRisk,DrFlavellwasHeadofFinancialEngineeringatANZMerchantBankin London,andwasReaderinFinanceatTheManagementSchool,ImperialCollege,whichispartofthe UniversityofLondon.Hehasworkedwithmanybanksandfinancialinstitutionsaroundtheworld,advising themontheirderivativeandriskmanagementactivities.DrFlavellhasaninternationalreputationforhis expertiseinswaps,otherderivativesandriskmanagement.

DrFlavellhasalsopublishedwidelyinbothacademicandprofessionalliterature,hismostrecentbookon SwapsandotherDerivativeswaspublishedinDecember2009,andheiscurrentlywritingabookonbank riskmanagement.Hisapproachtotrainingisstructuredandpractical.Hehasextensiveexperienceand successinteachingbothrecententrantstothederivativesmarketsandriskmanagement,aswellashighly experiencedtechnicalexpertsandmarketparticipants.

Coursesrunbythisinstructor
InterestRateDerivatives LondonSchoolofBankRiskManagement CreditDefaultSwaps

Venue
CentralLondonHotelVenue,London,UK Accommodation
Allofournonresidentialtrainingcoursesareheldin45starvenuesthroughoutcentralLondon. Thetrainingvenuesareselectedbyboththeirlocationandtrainingandrefreshmentfacilities, thisensuresthatyouwillonlylearnincomfortableandconvenientenvironments.Duetothe variationofdelegatenumbers,confirmationofthecentralLondonvenue,fulladdressanddetailsof howtogettherecanonlybesenttoyouapproximatelythreeweekspriortothecoursestart.

Coursedates
Dates 1012Dec2012 Location London,UK Price 3,845.00

email:training@euromoneytraining.com|tel:+44(0)2077797391

1921Jun2013

London,UK

3,845.00

email:training@euromoneytraining.com|tel:+44(0)2077797391