The principal message of the Basel II framework is Capital Adequacy. Basel II signalled a move away from a purely static regulator driven capital adequacy measure to an internal and relatively invasive assessment of the capital profile of a bank, called the Internal Capital Adequacy Assessment Process (ICAAP).Basel III introduces significant reforms to the Basel II framework primarily by setting out the supervisory framework for liquidity risk measurement via two minimum funding liquidity standards.
To understand Basel II & III, you have to start with the history of banking regulation. To put Basel II to work, you have to understand why the standard failed during the 2007-2009 financial crisis and why US regulators opposed it tooth and nail. Take a walk through the recent post section to see Basel III updates to the Basel II accord. Give the modeling section a spin to get your hands dirty with Excel.
- Internal Capital Adequacy Assessment Process (ICAAP) – Overview and Core concepts
- Basel III – Liquidity Framework – Reforms to Global Liquidity Risk Regulations
- Basel III: Basel II Framework Revisions
- Collateral Valuation in Credit Risk Management
- Setting Counterparty Limits, Market Risk
- Limits & Liquidity and Interest Rate Risk Limits
- Stop Loss Limits – Review triggers
- Asset Liability Management
- Middle Office review: Middle Office External Audit and review
- Liquidity Stress Testing
- Basel II & III course guide for dummies
Recent Posts
- Comprehensive Capital Analysis and Review (CCAR) & Basel III – Overview
- Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
- BASEL III Updates – November 2014
- Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
- Liquidity Risk Monitoring
- Net Stable Funding Ratio
- Liquidity Coverage Ratio – The Denominator
- Liquidity Coverage Ratio – The Numerator
- Supervisory Approach to Liquidity Ratio Standards
- Setting Risk Limits: Worst Case Loss versus Most likely loss
Premium Courses
- ALM – Crash Course
- ALM Crash Course – EXCEL Example (Examples include: Cost to close liquidity gaps, Cost to close interest rate risk, Earnings at risk, Market value of equity)
- Basel III – Liquidity Framework
- Duration Convexity Example
- ICAAP – Overview & Core Concepts
- ICAAP Sample Report Template & Executive Summary
- ICAAP – Credit EXCEL Example
- Calculating VaR – includes case study
- Calculating VaR – EXCEL Example
- Collateral Valuation in Credit Risk Management
- Setting Counterparty Limits
- Setting Limits – EXCEL Example
