Basel III Risk & Stress Testing: Comprehensive 5-Day Course

Course Description

This intensive 5-day course provides a comprehensive overview of Basel III risk assessment and stress testing methodologies. Participants will gain in-depth knowledge of regulatory requirements, risk management techniques, and practical stress testing applications. The course combines theoretical concepts with hands-on exercises to ensure a thorough understanding of Basel III implementation.

Learning Objectives

• Understand Basel III regulatory framework and its impact on risk management
• Master risk assessment techniques for credit, market, and operational risks
• Develop proficiency in stress testing methodologies and scenario analysis
• Learn to interpret stress test results and integrate them into decision-making processes
• Gain practical skills in implementing Basel III requirements and stress testing programs

Course Modules

Day 1: Basel III Framework and Risk Management Fundamentals

• Overview of Basel III regulatory framework
• Key changes from Basel II to Basel III
• Risk management principles and best practices
• Introduction to risk assessment methodologies

Day 2: Credit Risk Assessment and Management

• Credit risk measurement techniques
• Internal ratings-based (IRB) approach
• Credit risk mitigation strategies
• Counterparty credit risk management

Day 3: Market Risk and Operational Risk

• Market risk measurement and VaR models
• Trading book and banking book risk management
• Operational risk assessment techniques
• Advanced measurement approach (AMA) for operational risk

Day 4: Liquidity Risk and Capital Management

• Liquidity coverage ratio (LCR) and net stable funding ratio (NSFR)
• Capital adequacy and capital conservation buffer
• Leverage ratio requirements
• Internal capital adequacy assessment process (ICAAP)

Day 5: Stress Testing and Scenario Analysis

• Stress testing methodologies and best practices
• Scenario development and analysis
• Integrating stress testing results into risk management
• Regulatory reporting and disclosure requirements

Practical Wins for Participants

• Ability to implement Basel III risk assessment frameworks in their organizations
• Proficiency in designing and conducting stress tests for various risk types
• Skills to interpret stress test results and make informed risk management decisions
• Knowledge to enhance regulatory compliance and reporting processes