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14 November 2022, Live in Central London
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14 November 2022, Live in Central London

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DAY 1

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Introduction

Despite the increased capital and liquidity buffers delivered under the Basel
Capital Accord since the sub-prime crisis of 2007-09, the greater resilience of
international banks (as revealed by toughened stress tests in many countries)
and the rolling-back of the implicit subsidies enjoyed by “Too-Big-ToFail”
institutions, regulators need to remain vigilant in the face of the re-emergence
of asset bubbles and the continued popularity of debt finance. 

For banks and other financial institutions, the need for sound risk management
and optimal capital allocation remain as important as ever for their continued
survival and prosperity in an increasingly competitive and innovative market
place. 

 * What is risk and why do we need to manage it? 
 * How do we manage or control risk? 
 * How do we make money taking risk? 
 * How do we avoid losing money when we take risk?



Introduction to the Types of Financial Risk and their Importance in Banking and
Finance
 * Credit risk 
 * Market risk 
 * Operational risk 
 * Liquidity risk 
 * Systemic risk 
 * Other types of risk



Introduction to the Quantitative Risk Management

How do we put a “number” on risk? 

 * Duration measures and sensitivities 
 * PV01/ DV01/BPV 
 * The “Greeks” 
 * Statistics for risk management 
 * The significance of Value-at-Risk (VaR) and Expected-Shortfall 
 * Risk and return in banking and finance



The Importance of Regulation

Why does regulation dominate the Banking industry? How does capital provide a
“buffer” for systemic risk? 

 * The evolution of Basel “rules”, from Basel Accord to FRTB 
 * Regulation by/within the EU, CRD IV and onwards



Regulation
 * What is the relationship between risk, capital and profitability?
 * How does regulation affect this?



The Evolution of the International ‘Rules’ for Bank Capital Adequacy Assessment
 * The background to Basel I 
 * The Basel I rules for credit risk and market risk 
 * The problems with Basel I 
 * The aims and objectives of Basel II: The 3 ‘Pillars’ 
 * The evolution of the Basel II [Pillar 1] rules for credit, market and
   operational risk 
 * The problems with Basel II 
 * The alternatives to Basel II 
 * The proposed changes to Basel II in the light of the global banking crisis
   and credit crunch 
 * Basel 2.5
 * Basel III and beyond including FRTB and MiFid II 
 * Where are we now?
 * The implementation of Basel I’s market risk rules 
 * Differences between EU and Basel Committee approaches 
 * The implementation of Basel II and III 
 * The reforms after the “Credit Crunch” Basel 2.5 
 * The impact of Basel III and further capital requirements



Practical Workshop
Practical Session
 * Covering market risk-based capital requirements under the standardised
   measurement methods



Practical Workshop
Practical Session
 * The application of the Basel 1 rules for market risk assessment



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