Objectifs
- Acquiring the basics of the Basel III framework.
- Understanding the stakes of Basel III regulatory issues: CRR, CRD 4, CRR2, CRDV, CRR3, CRDVI and delegated acts.
- Identifying the changes introduced by the Basel III Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD4).
- Explaining the main mechanisms, underlying concepts and issues.
Animateur(s)
Jean-François CARON
caron@afges.com
- Comptabilité, contrôle de gestion et fiscalité.
- Risk Management et règlementation Bâloise.
- Techniques d’audit et de contrôle interne bancaires.
- Techniques d'audit, Contrôle interne - Assurance.
Louis FAYE
- Gouvernance.
- Risk Management et règlementation Bâloise.
Henri JACOB
- Comptabilité, contrôle de gestion et fiscalité.
- Gouvernance.
- Risk Management et règlementation Bâloise.
- Marchés, produits et services financiers.
Manou KOKODOKO
- Gouvernance.
- Risk Management et règlementation Bâloise.
Jean-Marie LAY
- Comptabilité, contrôle de gestion et fiscalité.
- Risk Management et règlementation Bâloise.
- Marchés, produits et services financiers.
- Analyse financière.
Yannick LUCOTTE
- Gouvernance.
- Risk Management et règlementation Bâloise.
- Risk Management et règlementation Solvency.
- Gestion d’actifs.
Evelyne NGNOTUÉ
ngnotue@afges.com
- Comptabilité, contrôle de gestion et fiscalité.
- Gouvernance.
- Risk Management et règlementation Bâloise.
- Techniques d’audit et de contrôle interne bancaires.
- Risk Management et règlementation Solvency.
- Gestion d’actifs.
Programme
1INTRODUCTION: CONTEXT, IMPLEMENTATION, OUTLOOK
The main banking risks.
The four fundamental objectives of risk management.
From Basel I to the finalization of Basel III.
From CRR to CRR3.
Basel’s response to risk management objectives.
Understanding the importance of capital and the purpose of Basel regulations.
The concept of RWA.
Basel III: Methods for calculating RWA prior to CRR2.
Finalization of Basel III: the new methods for calculating RWA (CRR2+Finalisation of Basel III+CRR3).
Overview of pilar 1 ratios to be met.
2PILLAR 1: RATIOS
Context
The solvency ratio:
- Components of own funds: Common Equity Tier 1 (CET1) capital, Additional Tier 1 (AT1) capital and Tier 2 (T2) capital.
- P1R, P2R, capital buffers, P2G, MDA concept.
Bail in creditor hierarchy.
CRR3 credit risk:
- The standardised approach.
- The IRB approach: internal rating system, risk factors (PD, LGD, EAD, M).
Market risk:
- CRR2 and CRR3: overview of the FRTB.
Operational risk:
- CRR3: the new SMA approach.
The leverage ratio
Large exposure limits,
TLAC & MREL,
- How to manage a bank failure?.
- Bail-in mechanism: BRRD.
- TLAC
- MREL
- Target vision TLAC and MREL ratios.
Liquidity risk
- Liquidity risk main concept.
- The interbank market.
- ECB actions on liquidity.
- LCR ratio.
NSFR ratio.
3PILLAR 2
Pillar II
- SREP (supervisory review and evaluation process).
- RAF (Risk Appetite Framework) risk appetite framework.
- Stress tests.
4ESG RISK
Context for encouraging sustainable investment.
Definition of ESG risk.
- Environmental risk:
- Physical risk.
- Transition risk.
- Litigation & reputation risk.
- Social risk.
- Governance risk.
Domino effect of ESG risk amplification on other risks: credit risk, market risk, liquidity risk, operational risk, business risk, strategic risk, concentration risk, reputational risk).
Methods for handling ESG risk pillars 1, 2 and 3 following CRR3/CRDVI.
5FINANCIAL INFORMATION ON RISK MANAGEMENT: PILLAR III
General principles.
Basel III regulatory developments: CRR3.
Pillar III
- Information to be disclosed.
- General principles of the new Pillar III: P3DH.
6SUMMARY AND CONCLUSION
Summary of the day.
Training evaluation.
Public et pré-requis
Participants
- Anyone wishing to master the fundamental aspects of Basel III and the impact of the prudential system on the general economy of the banks.
- Accountants and finance professionals.
- Financial controllers and ALM managers.
- Risk managers.
Supports et moyens pédagogiques
- PowerPoint documentation.
- Alternate illustrations and practical exercises.
- QCU, True/False, questions/answers to verify, review and confirm what has been achieved.
- Synthesis.
Connaissances requises
- Knowledge of the bank’s activities.
