Designed as a senior management retreat on Basel II, this limited seating, one day workshop serves as a 6 hour crash course on Basel II for Chief Executives, Chief Financial Officers, Country Risk Officers, Credit Administration Heads, Treasury Heads, Basel II Coordinators and Board Risk Committee members.
Tag Archives: Economic Capital
The Economic Capital debate triggered by Basel II requires a mind shift that needs to flows all the way down to current limit management frameworks. Simply extending the existing structure does not lead to full compliance or value creation. The objective is to introduce active capital management and monitoring tools and apply them in a [...]
Serves as an introduction to the internal capital adequacy assessment framework being proposed by the central bank as outlined in the Basel II revised framework.1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
What is the ICAAP framework and how is it applicable to the local market?
How do we extend stress [...]
Serves as a Probability of default (PD) calculation refresher as well as reviews intermediate topics and implementation issues related to Probabilityof default models.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
Compare key methods used for PD calculations and work with them.
Apply these methods within the local environment.
Work with statistical test [...]
Serves as a guide to Internal Capital Adequacy Assessment framework implementation with a focus on the calculations required behind thereporting format.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
What is really required in implementing the ICAAP framework at your bank?
How do we extend stress testing to capital adequacy, economic capital [...]
This intermediate level workshop serves as a Value at Risk refresher and reviews intermediate topics and implementation issues related to Value at Risk.
We cover some of the ways in which liquidity risk may be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying liquidity and interest rate shocks to the assets and liabilities of the bank.
We will cover some of the ways in which market risk can be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying interest rate and equity shocks, as well as Worst-Case MTM Stress Tests.
A look at how stress test shocks are applied to various elements of the profitability analysis to determine their impacts on the profitability of the bank’s loan portfolio.
In this post we discuss one way of stress testing a rating grades transition matrix. The stressed transition matrix will then be used in the other credit risk quantification calculations. The revised results will be compared to the original credit risk quantification calculations to determine the impact of the stress test.
