20 May 2016

Everything You Need to Know about Balance Sheet Management but Were Afraid to Ask…

Everything You Need to Know about Balance Sheet Management but Were Afraid to Ask…

Short training workshops from BG Consulting, the leaders in financial training – face to face or via webinar – these short training workouts to demystify the modern balance sheet

Overview of Basel III
¾  Causes and lessons from the Global Financial Crisis
¾  From I to II to III – Evolution of Basel Accords
¾  Connecting Risk Asset Ratio to Returns on Risk Adjusted Capital (RoRAC)
¾  The  impact of leverage
¾  Ambitions of Basel III
¾  Focus on Globally Systemically Important Banks
¾  How are banks responding

Overview of Net Stable Funding Ratio (NSFR)
¾  Why the ‘premier’ of liquidity risk in Basel III
¾  Ambition of NSFR
¾  What qualifies as Available Stable Funding [ASF]
¾  What is Required Stable Funding [RSF]
¾  How Liquidity Coverage Ration [LCR] and NSFR work in harmony
¾  The impact on banks and their clients

Funds Transfer Pricing (FTP)
¾  What is FTP and what does it achieve
¾  Why is FTP needed
¾  Construction of an FTP curve
¾  Best practices in derivation of both behavioural term and FTP
¾  Pricing of contingencies and cushions
¾  FTP as a rudder to ‘steer the ship’

Impact of Regulation on Capital
¾  Constraints on quality – changes to the hierarchy of capital and differences between CT1 and CET1
¾  Constraints on risk – changes to the required capital mix
¾  Constraints on ‘dominance’ Additional requirements for Globally Systemically Important Banks (GSIB’s)
¾  Constraints on Size – The Leverage ratio and its impact on Net Funding Generation
Impact of Regulation on Market Risk Management
¾  Overview of changes to evaluation of Market Risk under Basel II.5 and III
¾  Impact of Stressed VaR, how it is calculated and scenarios against which it is measured
¾  Impact Incremental Risk Capital (IRC) and Comprehensive Risk Measures (CRM), the regulators motivation for them and how they are calculated
¾  Counterparty Risk Management under Basel III and the evolution of Credit  Value Adjustments (CVA)
Credit Risk - Internal Rating Based Methodology Demystified
¾  Recap of Standardised Methodology for calculation of Credit Risk Capital
¾  Carrot and Stick – the benefits of complex risk management architecture
¾  Differences between FIRB and AIRB
¾  Intuitive Example
¾  FIRB model for Wholesale
¾  FIRB model for Retail
Counterparty Risk - Credit Value Adjustment (CVA) Demystified
¾  When do derivatives generate counterparty risk
¾  Ambition of CVA and how it’s impact on trading activities
¾  Key Risk Measures– EE, EPE, PFE
¾  Calculation of the CVA charge
¾  Challenges with implementing CVA
¾  Wrong Way Risk
¾  Overview of the rest of the XVA family
Banking 2020 with Foresight
¾  How has banking changed post Global Financial Crisis
¾  How may it change over the next 4 years
¾  Dividing the Family Silver – impact of Volcker, Structural Reform et al

¾  What may Basel IV look like

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