Basel III is a global regulatory framework on bank capital adequacy, stress testing, and market liquidity risk. It was developed in response to the deficiencies in financial regulation revealed by the financial crisis of 2007–08. Basel III, which is currently implemented until 2019, is intended to strengthen bank capital requirements across the world and avoid another systemic banking crisis.
This session provides participants with a detailed tour and review of the Basel accords issued by the BIS and the ever-evolving regulation stemming from Basel II and Basel III proposals and the Capital Requirements Directive IV (CRD IV) in Europe. Through a mix of lecture and case studies, the workshop will equip participants to achieve a detailed understanding of Basel guidelines, specifically on the following technical topics:
Participants will be required to bring a laptop to the course.
Case Study: participants will reconcile an IFRS book equity of a European bank to compute Tier I and Tier II capital
Case Study: participants will calculate the unexpected losses of a simple portfolio of a European bank
Case Study: participants will assess the VaR of a single and two-assets portfolio
Case Study: participants will reconcile the operational RWAs to its historical net banking income
Case Study: participants will calculate and comment on those 3 ratios for a European bank