Duration: 1 day
- Three Pillars of Basel II
- Measuring Credit, Market and Operational Risk
- Supervisory Review Process
- Role of Market Discipline
- Important Implementation Issues
- Impact of Basel II on Banks' Risk Management
- Managing Bank Capital under Basel II
The pobjective of this seminar is to give the participant a good introduction to the Basel II
Accord. We start with a look at the market trends such as "securitization" and the use of other
off-balance financing and risk management techniques that have necessitated the development of a
new framework. We then take a closer look at the "three pillars" upon which the new Basel Accord is
based. First, we give an overview and examples of methods for quantifying market, credit and
operational risk and we explain how these risks are related to a bank’s "eligible capital" to
arrive at the Capital Ratio. We present and explain the "standardized" as well as the more advanced
approaches to measuring these risk. Further, we look at the "supervisory review process" in Pillar
Two. We give an overview of the key principles of supervisory review, risk management guidance and
supervisory transparency and accountability with respect to banking risks and explain how
supervisors are expected to evaluate how well banks are assessing their capital needs relative to
their risks. Third, we briefly discuss how "market discipline" is going to complement the minimum
capital requirements and the supervisory review process. We explain how the increased disclosure
requirements will allow market participants to assess the capital adequacy of the institution.
Finally, we give an overview of important implementation issues and discuss the possible impact of
Basel II on the bank’s risk and capital management.
Day One
09.00 - 09.15 Welcome and Introduction
09.15 - 10.15 General Introduction to Basel II
- Background, Intentions and Scope
- The Three Pillars of Basel II
- The Capital Ratio
10.15 - 10.30 Coffee Break
10.30 - 12.00 Measurement Framework in Basel II
-
Measuring Market Risk
- Standardized Approach
- Internal Models Approach
-
Measuring Credit Risk
- Standardized Approach
- Internal Ratings Based Approach
- Risk Mitigation
12.00 - 13.00 Lunch
13.00 - 14.30 Measurement Framework (continued)
-
Measuring Operational Risk
- Basic Indicator Approach
- Standardized Approach
- Advanced Measurement Approach
- Risk Mitigation
Closer Look at Pillar 2 and 3
- The Supervisory Review Process
- The Role of Market Discipline
14.30 - 14.45 Coffee Break
14.45 - 16.15 Implementation and Management of Basel II
- Important Implementation Issues
- The Impact of Basel II on Banks' Risk Management
- Managing Bank Capital under Basel II
16.15 - 16.30 Evaluation and Termination of the Seminar