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
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
